Is it possible to submit an adaptive order type via the API? It seems to be missing from the API docs....
Are you still using your execution algorithm (here)? I noticed there's an 'adaptive' order type on IB that looks similar...
How does your system cope when the carry signal vanishes due to no next contract? For example, on 2-Year T-Note, March is in play but there's no...
I'm just doing the last bit now, connecting the whole lot to IB. Thanks so much for all of this, I've learnt so much from you, and genuinely...
Do you apply a portfolio position size scaling multiplier that is a function of cumulative drawdown?
Hi GAT, I missed the panel discussion yesterday; was it recorded by any chance?
Hi GAT Are there any other books you can recommend for algorithmic trading? Happy to read something with a more technical bent; just trying to...
Is there a reason why you went down the swigibpy route vs using FIX? Would you do the same again?
Actually, your argument makes a lot of sense, thanks. I see the main groups as being: Corn & wheat US2, Eurodollar, bobl What I'll try to do is...
It's a little trickier than that. Equal weights, 14 instruments: [ATTACH] I'm tackling the large drawdown at the end of the curve, that...
Hi GAT, I'm struggling a bit with the instrument weight multipliers, with respect to correlation. Is there a general formula for how to...
I experimented with this extensively and found it made no difference. If you are finding it is making a big difference, perhaps: Check you're...
A quick question about correlation. I have rebuilt the system from scratch using your suggested instruments. It all works well; just looking at...
Hi GAT, In a previous blog post, you mention IB was pretty much the only game in town for retail API/Futures. I want to see if you still think...
Perfect, that's just what I needed! Thank you! :)
I wanted to explore this question of FX volatility and impact on base returns a little further, so I tried to set up a test. (Spoiler: your method...
I'm just looking at combining instruments now. If I've read the source code correctly, the forecasts in Pysystemtrade are calculated based on...
How likely is it that you hit your volatility target in the long term? On my single instrument model (Corn), no matter what I do, my annual...
Hi GAT, I just wanted to check that you ignore the inherent drift in panama stitching when calculating EWMACs, as it's not significant over the...
So, for someone rolling a contract for the first time, the key things to look at are: Liquidity of contracts Carry between them ?
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