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So I finally started implementing trading ICE markets without a data subscription. Sugar #11 is the first one. I was able to setup EOD price collection pretty easily., IB doesn't give historical data as well w\o subscription, but it does give last-close for the previous day (tick 75) and 15min...

I haven't experienced this particular problem, but I'm fully shutting down Gateway every day for about an hour while automatic backups and other maintenance tasks are running. Even doing that I had cases when it couldn't properly start and was hanging with some kind of error. Since I upgraded my...

I also currently have 2 bond shorts (-1 contract each), although the natural positions are quite small, so DO did the rest: GBM:-0.01; ZB:-0.18

ok, my bad, misread the number from my own graph :), the actual numbers are VIX: -0.09; V2TX: +0.13; v2tx turned positive at around 3:15AM today. But good catch, it didn't cross my mind that it shouldn't actually happen..

hmm, you're right, checking the code\logs..

Just noticed that I'm long V2TX, one contract, this hasn't happened before in live trading. The unrounded position of V2TX is -0.5; VIX: -0.09, but DO decided to go long.. Probably because of other correlated instrument signals..

possibility of the war negotiations ?

yes, looks like everything reverted, oil and gold are down, stocks are up, something shifted in the world I guess..

Also, just noticed nickel is shooting up, but looks like it's only OTC traded? and that NI contract unavailable for a lot of countries.. Too bad, would've been a really diversifying commodity..

just looked at my positions, I'm short SP500, jpy, Nikkei, eurodollar, FBON, long oil, gold, pork, soybeans, corn, French OAT bond. So it's starting to short equites! The paper system is getting really close to HWM, but prod is lagging..

I'm getting close to HWM in paper, but not in prod (about 10% more to go)

great stuff :) I'm looking at my prod and paper systems, both use DO, but I added ~15 new instruments including gasoline and heating oil only to paper so far, so PROD has only crude from that group and looks like it took all the allocation., In paper my biggest winner is heating oil, strangely...

Naah, it started to go down and changing positions frantically..

I was expecting some sort of Armageddon when the system was turning on today after all the news over the weekend, but the P&L barely moved from Friday.. Made some money on crude, lost a little on some other things.. hmm..

after a nice rally P&L is now going down, looks like MXP, CAC, NIKKEI, Cattle, EuroStoxx, BTP, well a lot of things seem to go wrong..

Strangely my biggest winners are US20y and BTP, I'm short both of them and they're going down.. I unfortunately haven't onboarded the new energy products yet, and apparently this time oil and nat. gas didn't fully substitute them. I also made some money on Soybeans and Lean Hogs..

is it only me, or things were kind of good in the last few days? :) About 12% up in a week.. Still fascinated with how this system can just start moving without any "apparent connection" to the real world events. (better when it's up though :) )

oh, right, Bid-Ask spread is another check that I'm actually doing (the system will not trade if the spread is above some value I manually define for each instrument). And by depth I guess you mean that the number of contracts on the top of the book (opposite side) should be equal to or above...

Not related to carry, but to volumes again (if that's ok?): "NYMEX Aluminum Index" (ALI) has a very weird volume distribution, some days in the month reach 2,000 contracts while other have zero trades (e.g. Jan 27,28 in Mar 2022 contract), open interest seems pretty constant though.. Does anyone...

The system made some profits this morning, Rob published a new blog-post (https://qoppac.blogspot.com/2022/02/exogenous-risk-overlay-take-two.html) - Life is good! :)