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I don't know, for sure I wouldn't put everything in e.g. MXN, but among the "stable currencies" it seems that many countries have stopped hiking rates, while the US still continues, so if the choice is between e.g. EUR and USD it does seem more profitable to hold USD at the moment. here's what...

Also, what if the borrowed currency (the country of that currency) has a lower interest rate than the base or some other currency, wouldn't you make more on the interest on the currency you hold than spend on the borrowing rate on the currency you borrow? And if that's the case then looks like...

Yes, thanks for the new book Rob! I think I'll at least integrate the skew rule and the 70\30 volatility estimation into my system, also need to finally recalculate the weights of everything based on handcrafting, I'm still using optimized weights from pysystemtrade, it'll require digging deeper...

yeah, not too good, not too good :)

Unless now with the introduction of weekly contracts populating LastTradeDateOrContractMonth with only year and month will not be enough to resolve the particular contracts, because several weekly contracts will be expiring in the same month? Maybe we will now be forced to always populate...

Yeah, I also don't understand what exactly I need to change (if anything?). When I'm placing an order or subscribing to prices I'm providing a contract object in which I populate the following fields (let's take BTP for example ): Symbol = 'BTP' SecType = 'FUT' Exchange = 'EUREX' Currency =...

A pretty-painful day today (and yesterday as well), I'm short CHF, CGB and VIX and they're doing the opposite.. I suspect others are probably in the same boat, as the magnitude of the damage is high enough that usually when this happens it's not just me :)

oh, wow, did IB email it recently ? I never saw it.. Anyway, thanks for the info!

something strange is happening with SB, KC, CT and OJ contracts today: my historical prices are 100x lower than what IB is giving me today. And the multiplier from them is also different in different places: e.g. for Orange Juice, when I'm adding the contract in TWS it shows 150$ but the...

hmm, I just tried Coffee (KC), for which I don't have a subscription, and reqHistoricalData worked, but only after adding reqMarketDataType(3). I've never tried it before, so can't say if it always worked or it's something new..

I've already spent several evenings moving to the new gateway version (10.19i or whatever) (and the API, as the helper classes also change with each new version and I neglected to update them for a number of years)., Because I just know that sooner or later I'll also get such an email and will...

yes, that was one of the links in the email, the other two were: https://www.eurex.com/ex-en/find/circulars/circular-3014888 https://www.eurex.com/resource/blob/3077176/c8c4befb60cdfefd2dee92ac0f3fd686/data/presentation_NextGen.pdf

Do people here update IB gateway often? I was using v.981 before and upgraded to 10.12 a month ago - started having some issues (couldn't re-subscribe to RT-quotes again to the same instance of the gateway, it had to be restarted every time), now tried to upgrade to 10.19 - can't subscribe to...

Yeah, I'm pretty-much in 1. long-term portfolio (20% (Cash-weight) bonds, 75% stocks, 5% gold + misc.), 2. some real-estate (which I live in) and 3. the futures system. I'm not changing much based on the grim outlook, except that I'm being quite slow to allocate to my LT portfolio a...

That makes sense, although, I just checked Lean Hogs, which same as cows should be really messy to "store", probably even more :) and carry on that instrument was hovering around zero\slightly positive over the last year. Of course it depends on the particular price and carry contracts, and I...

Oh, I see, so "COMEX listed metals (previously reflected as NYMEX) will be updated to exchange ‘COMEX’ " means that only metals which were ?incorrectly? labeled by IB as NYMEX will be changed to COMEX and those that are truly NYMEX like PA will remain NYMEX.. Because at the end the last email...

yeah, it kinda seems that way, though PA (Palladium) is still NYMEX but GC and SI are now COMEX.. https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Futures%20Search&entityId=a19207373&lang=en&ib_entity=&wlId=IB&showEntities=Y

Just doing a sanity check in my system, and for the last year+ all permutations of carry forecast for LE (Cows, live cattle) were -20, do other people see similar values for LE? Maybe it's normal for this instrument..

So I think what Rob's algo does in addition to crossing the spread after a time limit, is it also crosses it if the price(your side) moves against you even slightly. Don't know if it's easy in your system\data to plot something like " PnL vs 'has the price ever moved against me before the fill'...

For me it's all of the above (there's always a hope that I can do it better :) ), plus I'd need to research and understand what exactly these things are doing to trust them, and for sure they don't have all the signals that I incorporate in my system. But also a huge "geek-factor" :) i.e. it's...