Recent content by djames

This is the bees knees https://harriman-house.com/systematic-trading

never a dull moment with IB!

With barchart.com I have been quotes 500usd/month for the on demand API. Presumably that's not what you are using is it?

What goes into the timing of trading per markets? I observe the volatility of most futures explodes around the US stock market open - have you ever tested impact of targeting before / after US open? Or perhaps as @wopr states maybe a heuristic rule executing when we see lowest spread within a...

I know you like to roll your own, but this is pretty nice https://github.com/quantopian/pyfolio/blob/4b901f6d73aa02ceb6d04b7d83502e5c6f2e81aa/pyfolio/plotting.py#L143 sns.heatmap( monthly_ret_table.fillna(0) * 100.0, annot=True, annot_kws={"size": 9}...

I think this would've saved me yesterday, going to experiment with something similar. Although it probably would've prevent the initial opening of my Silver long which went completely in my face. I realised I had too risk on by holding the contract when the account madly increased on Tuesday...

What are your scores today Rob? I'm having the mythical 5%'er, at least until the Silver surfer gives it all back.

It's a wild ride following the DO signals, the instance that I'm running can't shake off a love of Japanese equity and today it had me shorting e-mini nat gas (OG) which I did with reservations. Computer says yes!

@emretezel any updates on this? I'm a buyer.

I'm jealous of these positions, the DO i'm running has me in SMI (Swiss bluechip index), some Japenese equity indices, MXP and thankfully oil. Down around %4 over the past ten days.

Well, I think you guys jinxed it! I'm being killed by energy markets today.

Please let me know which one you choose as I anticipate a similar decision in the near future, thanks!

Do you need the splits and spinoff data as well?

Sorry ignore that, seems the IB data API is still booting up on Sunday afternoon :confused:

I wonder how you have setup TSEMOTHR, I'm not seeing any prices for the June expiry which should be being used as the carry contract