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Thanks for the replies, but it's still murky. If I understand the below right, the VX futures are settled on the same VIX index that I'm seeing printed, using the same methodology deriving index price from current SPX options, and they put special controls in place to ensure that no one...

Question for you VIX futures traders out there: Right now (1pm ET on 1/13) I see spot VIX at 21.78 and January VIX futures (exp 1/17) at 23.45. That seems like a big gap considering that it's really just more than 2 trading days until expiry and I'm wondering if I may have missed something...

I'm not exiting OpenQuant, I am finding it decent and plan to continue to use it. It does a nice job of bridging the gap from backtesting -> paper trading -> live trading. It's got enough structure placed around it in areas such as data collection, charting, performance measurement etc... I...

I'm just switching to OpenQuant now (not fundamentals-based) and think it's good but NOT for what you're looking to do. The experience I've got most experience with is WealthLabPro, which is *excellent* for fundamentals data and comes with a built in / free fundamental data feed from...

Please report back with your experiences on TradeLink. I'm very interested in how the learning curve is with it. I'm considering migrating my IDE (OpenQuant) development there once I've gotten things tested and debugged (it seems like a similar event architecture)

Here was the reply I got in PM from ids. Exactly answered my needs, maybe some others could benefit from the same. This applies only to short positions, where they're treated differently than longs. The list on the Web page has non-marginable securities. Your securities are marginable. If...

Certainly. I've PM'd you. Thanks for the help

rmorse, thanks for the link. Unfortunately I don't think it really addresses equities very well, more options focused naturally. I will continue to look for an accessible list of symbols and their margin requirements. IDS, if there's some source that IB points to (I assume you access info...

Well then that raises another question. The margin seems to be not very portfolio aware. I could leverage 5.5x plain long, but if I went equally long and short a basket of diversified ETFs, I could only get about 2x long and 2x short. The +2x - 2x portfolio should be much lower risk than a...

So, I've tried to post this on the IB forums but keep getting an HTTP 400 bad request message, so trying the good people of EliteTrader... ************** I'm looking for a way, ideally within TWS, to get an accurate estimate of how IB reduces my excess liquidity for specific open short...

Thanks for the reply and your comments. I'm interested in anything you're able to share about what you've designed your custom tools to do. I suspect this isn't the secret sauce of your trading methods so maybe you could share some ideas... I'm going to develop something of my own to...

Nope, 100% annualized across 365 days (you know you pay on the weekends, right?) is about $0.30 per day, per share. But for a 100 share lot, that would be $30/day. Ridiculous price, never seen a borrow fee that high.

IB allowed shorting today (first day I've been able to get a borrow). I placed a (very) small short position and then looked at the indicative borrow rates (IB passes through the cost of borrowing shares, not sure if other brokers eat this cost). Anyway, borrow rate was 100% annualized! I...

I'm wondering whether anyone uses - or knows of - an API based tool that allows you to monitor the quality of execution you're getting from IB. My specific need is to understand three things: (1) what my total transaction costs are (including the cost of the market moving away from me while my...

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Attached is a sample of ~2000 bars of fundamental input, EMA(fundamental input), signal (just over/under vs. EMA) and closing price. My hold period is roughly 5 daily bars and I'm holding a large portfolio of overpriced/underpriced securities, so it's sort of statistical arbitrage where I just...

Your diagram in that other thread is spot on, and is exactly what I'm trying to quantify. I'm pretty confident that within my basket of potential targets there are some that tend to chop up and down around a steady level, and others that do more the uphill climb like you show in the sketch...

Thanks for all the input & ideas. I'm looking for something that can be automated (for backtesting and scanner purposes) so I can't follow some of the more subjective approaches (double tops, etc...). My current implementation, which seems to be reasonably effective, computes a ratio of...

I'm not a technical trader but am looking to incorporate some basic technical studies into a fundamentals-based strategy. I'm certain it's a problem that has already been solved, likely in my charting/backtesting programs, so I'm turning to the forum gurus for suggestions on which indicator(s)...

Agreed with the above comment that VXX, even if a horrible way to trade VIX, is a good approximation of the continuous contract type strategy - they basically just roll front and second month futures to keep a constant 30 day weighted expiry Here's an article I posted a while back that...