Recent content by tgibson11

Guess I can answer my own question: looks like DO is getting that exposure via the EU-OIL sector instead. Makes sense.

Rob, where are your Oil & Gas positions? That's the sector with the highest risk for me right now. Hard to believe your system doesn't have a single position on.

I also wanted to add that if I use reqMarketDataType(1) it fails for the usual reason... Just to preempt anyone wondering if that CME example works for me because of the free non-professional US futures data package (I don't have it).

Wow! I can confirm this is working for me too, at least with TWS...have not tried with the Gateway. Edit: also wanted to add that I have definitely tried this before (a couple years ago, not recently), and it didn't work. I'm using TWS version: Build 10.21.1o, Feb 14, 2023 5:00:24 PM Here is...

I see Rob has provided the authoritative response, but if you're still curious what kind of crazy s**t I'm doing, here are some more details. 25% Cash Another 50 years, if I'm lucky. Ideally I'd like one of my kids, or even a niece or nephew to take over, but I'm disappointed to say that...

I only update when I'm having issues that I suspect might be due to the gateway. Not really a matter of policy, just that as long as it's working I just don't think about it. I'm currently on 10.18.1b, and everything is working fine for me. Some people have been complaining of issues in the...

I'm at about 60% in systematic futures trading right now. My target is 50%, so I'm overweight at the moment, but I'm quite comfortable with that. It happens that Rob recently did a blog post about the optimal allocation to TF vs a 60/40 portfolio. TL;DR - a 60% allocation to TF was determined...

Thanks, but I bet you could have. A quick glance at the CME website shows the carry on cattle at around -10% YoY, whereas hogs are -1-2% (just eyeballing it), so there really is a big difference. Another aspect to this is seasonal effects. That is probably why the carry on hogs changes...

I see the same thing, and here's my stab at an explanation. Rob's forecast scalars are calculated across all instruments. But the average carry forecast can vary widely among different instruments because of the properties of the underlying commodities. Just guessing, but I'd say live cows...

If that isn't a typo, then that seems insanely frequent. (No offense intended...just trying accurately express my reaction to reading that.) I will admit that it's impressive that you can do that. But why would you care about tracking error on that small of a timeframe?

I've also been thinking about this. I've always used outright orders to roll. I looked at spread orders once a few years ago, and in many cases it seemed more expensive than 2 outright orders. I know Rob prefers spread orders, at least for some contracts. I would be interested in discussion...

Definitely works. Been doing it for years, because my IB account is in the name of an LLC, which means automatically paying the professional rates for market data. I've been using the IB Adaptive Market orders, which sound vaguely similar to your algo, but probably less smart in some ways.

Using an ideas-first approach, I would argue that this is wrong, even though it seems to work OK on crude oil. (I suppose because the term structure is usually monotonic.) I think it is wrong because you're not realizing the carry from X to Z. You're realizing the carry from 2020 Z to 2021 Z...

The key part of that quote is "every single day". The system described in Systematic Trading has an average annualized volatility target that is fixed, but it does not attempt to hit that target every trading day, or every year for that matter, only over the long-run. Expected vol will be...

IB also offers snapshot quotes that could be used to work around this problem. They charge a few cents per quote depending on the market, and will automatically upgrade you to a subscription in any month that you spend more than the subscription fee would have been. I don't know if a bit more...