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Yeah, IB has cut-off rules here: https://www.interactivebrokers.com/en/index.php?f=deliveryExerciseActions&p=physical (and maybe in other places). Also, there's things like "First position" and "First Notice" in the contract specs, I basically always roll out of the contract before these dates...

I guess that's true, if a couple of hundred contracts a day is sufficient volume.. Actually I do trade some thinly-traded products that have 100 contract per day in their most liquid expirations, but for these I don't have a choice, when for oil I would naturally choose the most liquid month to...

But I think almost every product has basically only one liquid contract at a time., So you really don't have any options which expiry you can trade on any given day, almost all liquidity will be in only one contract. There are probably exceptions to that and some instruments might have multiple...

Just received this from IB: I checked my code and looks like I'm populating the actual exchange instead of just passing "SMART" in the field "contract.Exchange" when submitting futures orders with "ClientSocket.placeOrder(newOrdID, contract, order);" So Yeah.. looks like I'll need to change...

I'm also looking at these: but they don't appear to be tradable even with delayed data, the volume on IB looks very weird, one giant spike in the middle and almost nothing the rest of the days..

Btw, what about forecast weights, do you also handcraft them for live-trading? These I actually get from pysystemtrade because it incorporates performance and adjusts them for costs during the optimization.. But I don't re-estimate them every time I add a new instrument because they were...

yes, the initial historical several years I download from BarChart (you can actually get up to 5 downloads for account per day for free, up to 2 years for each contract expiry), e.g. here and switch to "2 years": https://www.barchart.com/futures/quotes/kCk17/price-history/historical

I see, do you have only one level of hierarchy when you do handcrafting with futures, i.e. just these 8 groups equal weights between them and then equal weights to each instrument within every group, or you use the grouping similar from the appendix of your first book, like: Top level...

But you certainly can get it from the IB API., before subscribing to the RT ticks I make this call "ClientSocket.reqMarketDataType(3);" which tells the API to send me delayed data as well for things I don't have subscriptions., then I subscribe to RT ticks the usual way with "reqMktData" call...

A small update on my ICE-futures trading with 15-min delayed data, I started doing it in PROD with "SNAP MID" order type (only Sugar so far but adding coffee and cocoa starting next week). But I also switched to this order type all my paper trades temporarily and I'm running a report that...

Pity that didn't work, was that supposed to theoretically, or it's actually the opposite to what's happening in reality on such time-scales? I was hesitant to add all these stock-sector futures to the trend system because they can't be that diversifying after having other major stock indexes...

I think I'm calculating costs slightly differently, because I express both costs and GapSigma in USD. I.e. when I first calculate risk of the gap portfolio I use daily percentage returns: (TodayPrice-YesterdayPrice)/YesterdayPrice and standard deviations of these returns, (the weights are...

Yeah, the futures system is killing it, my prod system is almost at HWM, paper system (more capital) is making new HWMs for several days. Stocks and bonds are the opposite of course, so net net I'm somewhat down..

Yeah, I agree that it's a bit crazy in the context of this relatively slow system :) The thing is that my system was real-time event-driven from the beginning, it's a service that's always on (excluding daily maintenance periods) so it receives every new bid and ask tick, decides the new...

yes, I definitely see that behavior.. yeah, I need to try to construct another report: cumulative costs as (Ask-Bid)*Qty+Commission at the time of every trade and see what that looks like, because the number of trades might not reflect costs well. But the problem for me is that my backtest is...

actually, this was on my list for some time - to check if I started trading more after implementing DO in reality, because I run my backtest on the daily prices but trade on ticks, so the results might not be the same. So I ran a query now that shows weekly number of filled orders: I put DO to...

I do get some position flips, even in the same day because I'm running on ticks: But it doesn't happen every day and in general the number of trades is in line with what I had before DO. And I think of them not as flips but as "well, the situation(prices) changed, so the positions changed...

I'm able to do that with my system, i.e. I can simply pump individual historical EOD prices through it as if it were RT-prices and it behaves exactly the same as it would with actual prices (the execution layer gets replaced of course..). The problem with that is it's still not as realistic as...

"mean reversion strategy with a momentum overlay and volatility attenuation" - that's a cool name for a strategy, my inner geek is already drooling :)

I haven't tried Snap to Market, from the description they look very similar, the reason I'm trying snap to mid is that I hope it will give me better executions on average. I.e. most times I'll get the mid price and occasionally will have to re-submit. Or there's really no hope there and I should...