Could've been like a new form of sustainable investing :)
Power outages is an annoying thing which I addressed even before starting to run the system, by buying a big APC UPS (rack mounted with extra...
$408 looked kinda scary to me, so went ahead I calculated all that slippage in USD myself (thanks a bunch for the extra work :) :) ) and this is...
Here's some PROD execution statistics on delayed instruments., Turns out I only had orders on sugar so far, the bid\ask in the table are as the...
ohh, that's a bummer, so like it's not allowed to "trade" without an LLC? how about "investing" and where's the dividing line exactly? :) or...
Yeah, IB has cut-off rules here: https://www.interactivebrokers.com/en/index.php?f=deliveryExerciseActions&p=physical (and maybe in other...
I guess that's true, if a couple of hundred contracts a day is sufficient volume.. Actually I do trade some thinly-traded products that have 100...
But I think almost every product has basically only one liquid contract at a time., So you really don't have any options which expiry you can...
Just received this from IB: [ATTACH] I checked my code and looks like I'm populating the actual exchange instead of just passing "SMART" in the...
I'm also looking at these: [ATTACH] but they don't appear to be tradable even with delayed data, the volume on IB looks very weird, one giant...
Btw, what about forecast weights, do you also handcraft them for live-trading? These I actually get from pysystemtrade because it incorporates...
yes, the initial historical several years I download from BarChart (you can actually get up to 5 downloads for account per day for free, up to 2...
I see, do you have only one level of hierarchy when you do handcrafting with futures, i.e. just these 8 groups equal weights between them and then...
But you certainly can get it from the IB API., before subscribing to the RT ticks I make this call "ClientSocket.reqMarketDataType(3);" which...
A small update on my ICE-futures trading with 15-min delayed data, I started doing it in PROD with "SNAP MID" order type (only Sugar so far but...
Pity that didn't work, was that supposed to theoretically, or it's actually the opposite to what's happening in reality on such time-scales? I...
I think I'm calculating costs slightly differently, because I express both costs and GapSigma in USD. I.e. when I first calculate risk of the gap...
Yeah, the futures system is killing it, my prod system is almost at HWM, paper system (more capital) is making new HWMs for several days. Stocks...
Yeah, I agree that it's a bit crazy in the context of this relatively slow system :) The thing is that my system was real-time event-driven from...
yes, I definitely see that behavior.. yeah, I need to try to construct another report: cumulative costs as (Ask-Bid)*Qty+Commission at the time...
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