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I prefer to not name them until my case is resolved. Feel free to pm me if you want to know the name.

Thanks, I was looking at something like that. Will give it a try.

Outrights don't move that much, I'll do that if I can't find anyone quickly enough.

Well really the main problem for the unwind is that it is not possible in liquidation mode unless I trade outrights. Liquidation would cost me around $1-2K I guess, not that much but given how hard it is to make money it is quite annoying.

Yes this is what I am trying to do but I need approval from a risk manager before. I am in contact with 2 FCMs already. I should get an answer tomorrow hopefully.

I trade STIRs, the spread markets are quite thick, but some butterflies or double butterflies not really. Of course I can cross the spread but I'd rather avoid this. And unwinding in some cases is not possible as I am in liquidation mode and unwinding a position on a legged double butterfly...

I have not done anything illegal, never had a margin call and never breached any risk limits (it is not possible with the way the software is setup). And also never received any other warning letters. I hold some large positions (on individual outrights) but everything is hedged and the...

Hi, I have been asked by my current FCM to move to another FCM and to close my positions in 48 hours as my "trading style and needs are outside of their preferences". Aside from the reasons for this, are they allowed to do this and can they really give me only 48 hours? I have some positions...

What about if you buy a calendar spread, i.e. buy Sep vs sell Dec, how would the risk system work (when working the order and once filled)?

@bone: Are you able to recommend any FCM that are good for spread trading by any chance? My current one is good but gives me some issues when I trade outrights while holding positions on spreads... Which means that I have to have 2 accounts, one for outrights and one for spreads...

I agree with abattia... There are so many factors that will slow you down here... What are you trying to achieve? Always trying to get passive executions (adding liquidity)? I think it can be quite difficult to write such an algorithm when you don't have a low latency setup.

It's the time between the moment you sent the order and the moment you have received the acknowledgment from the broker. But being co-located you should have a very low latency already... Why do you mention wifi? Is your trading algorithm on a co-located server?

As rmorse have suggested, have you tried to submit an order with a penny increment?

Hi, What broker are you using? Are you going through a SMART router or are you directly connected to an exchange? What sort of latency do you have? Might be due to your priority in the queue, do you have any way of tracking it?

Hi Tom, Great work, the new version looks good! After looking at G-Bot trading over the past few days I can see that your new PnL decomposition makes more sense than your actual one. It is good to see while in drawdown that the bot is still scalping and making money trying to fight his way...

Seems like a good idea to use with the automatic folio creator. Let's say we have 20 tradable instruments, then we pick up 5 instruments to start trading based on correlations, then the bot will automatically adjust which instruments are traded using this metric and automatically adjust the...

Hi PocketChange, How would you then define a balanced/diversified folio? According to correlation too? Thanks