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I am mulling over the following decision. I want to increase the capital allocated to my system and had planned to do that this year around now but with no fixed date in mind. By allocating more capital to the system right now, conditioned on my knowledge of the existing positions, I am in...

CORRECTION. Belatedly just checked again and my gross from Jul 1 19 - Dec 31 19 was more modest 7% (I thought I started mid year when in fact I started a couple of weeks earlier and I was including returns from the earlier start). After costs then I think GAT you in fact beat me. I wouldn't want...

I had to really bite my tongue to stop myself from posting 'lets not jinx it' :). I guess I am still superstitious (and like mixed metaphors). Is it possible you posted because you knew the market was about to dump (see here) On a more serious note, I lost 1.5% yesterday but I am back at the...

Looks quite diversified to me but there is a big lean towards agris, although I don't know the weights. Also out of GAT's biggest performers last year (although I haven't done the analysis), I am guessing carry was big piece of GE, and you were not TFollowing the other two. That could explain...

For me BTP was also the standout (~5% for 1/2 year). Lots of little contributions elsewhere (I couldn't trade palladium as instrument was too large for my account size). Worst performers were the kiwi and coffee -1%, -2% respectively)

Actually nor me (contributed 6.5 bps)

Hey no, despite it being an excellent option, I didn't. I am very poor at reading other people's code so I wrote my own which actually took me much longer than I had anticipated (hence why I only went live middle of last year). I doubt that your returns would be code related. What's your vol...

OK well I think I have the same vol target (25%) but I won't gloat as you would be the first to point out that 6 months proves nothing :) and half a year doesn't make a track record. Lets check back on this in a year I guess! Any more on this thread willing to share?

This is an awesome result GAT, congrats!. I went live middle of last year and achieved +12% gross (10% net - not annualised - I have expensive markets which require ICE data, perhaps I should review whether they are strictly necessary and can be replaced, for example I chose IPE gasoil instead...

-2sd day for me

Hi Gat, I don’t know if you have explored this in the past but it should possible for you to run a paper and live gateway with the help of IBC as explained here: https://github.com/IbcAlpha/IBC/blob/master/userguide.md#multiple-ibc-instances.

Congrats GAT on both the performance and the book! And its good to have you back on this thread, however fleetingly :). I wonder if I could ask whether this performance relates to systematic futures trading and is ringfenced from other trading activities or does it include everything such as...

Indeed that is a possibility, thanks. Its a tradeoff between one-off extensive set up time (with some unknown operational risk) against using up free time outside trading hours on an ongoing basis. Worth considering though.

OK I see. In order to run paper and live account in parallel, you actually need 2 gateway instances with separate logons and configurations. 32 clients of your live (or paper) system will connect to a single instance. The issue is paper accounts are useful for testing risk, including operational...

Seems like a big effort to set up. You are duplicating everything so imho you have to be extra careful one doesn't collide with the other. Sounds like you are running live and paper in parallel yourself?

GAT, you are right. Having given this further thought, I have concluded that the benefit of merely getting extra marginal data does not justify the effort of setting up the dual accounts. However, there is a use case for testing new trading code (either because I want to, or have to, upgrade due...

Sorry at end of first para, meant: '...about execution and costs)?'

I was wondering if anyone here has used a dual setup on their machine running both a live account and a paper account? I am considering setting one up simply to be able to compare the outcome of live trading with simulated trading but its a big process and requires duplicate dbs and careful...

To report back, after I raised this issue with them (repeatedly) it appears shortstg prices finally have the correct mintick attr. I imagine IB had to amend a config file somewhere. I must confess I only found out when shortstg prices were suddenly being returned with an extra dp recently...not...

GAT/Quiet1 thanks - I have dug a bit deeper and if you check the ICE website, short stg does indeed have 0.005 tick value (as both of you have observed). When I retrieve the IB API 'minTick' attr for short stg I instead get 0.01. So I am guessing they probably need to update this attr in order...