Recent content by thefairarbiter

Not an option. In the US

Recent volatility in crypto markets has provided unprecedented opportunities for swing/volatility/combo/spread trading with futures and future options. But I'm priced out of ETHK1 futures (IB maintenance margin: 60%/190%, initial margin 80%/240% [buy long/sell short] , Gain Capital maintenance...

My opinion is this is for the better, all things considered. Losing money is the best teacher. But you have to size your bets such that one loss, or even a string of losses, won't wreck you. If you're still in the game, you've probably done that. Pretty much in the same boat myself. I was once...

@Magic thank you Do you have a recommendation for reading about these maths? Obviously I could just grab a statistics textbook and start reading about stochastic processes, but is there a book out there that discusses these subjects from a financial engineering perspective? What are your...

I'm getting into option strategies and trying to develop a risk model for the capital i have (about 4k). My platform is IB TWS. The risk/reward of options strategies can be complicated when you start factoring in probabilities and integrating risk over a series of trades as opposed to just a...

First, awesome post. Thank you. I think the larger narrative you're conveying here is that the professional world of quantitative finance has a much harder time building a backtester that can actually emulate live trading. I totally believe that. But I'm not convinced that an amateur...

Yes. I started seriously developing the backtester in March. Perhaps we've been trying to invent something new. I think there's a need for modern C++ in the open-source quantitative finance world. Such a useful and universal language ought to be brought into the picture. Many of the world's...

I checked out Lean. Super awesome project! I'd heard of quantconnect before starting on building a backtester. I didn't really look into them because at the time, I didn't want to learn C# and I thought that developing a C++ backtester like BackTrader would only take like one summer. The...

1.) familiarity 2.) IB API support compatible with my needs In short, no. Though I need more information about what you mean by working. If you mean to ask if I have a strategy that works all the time on any trading day in any market condition, the answer is absolutely not. If you mean to ask...

First the status of my own work. The backtester as a whole can run a strategy using stock and option data, use indicators, and record unrealized and realized PnL using a non-margin or margin account. The backtester is implemented as a pipeline, listed below. Data -> Stock or option data. Reads...

Does anybody have a C++ project for backtesting trading strategies and is looking for collaborators? Is anybody looking for a C++ backtesting project to collaborate with?