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Hi all, Has anyone another source for Korean bond data? The usual Quandl feed i consume https://www.quandl.com/data/KRX/KRD...Year-Bond-Futures-KTB3-December-2018-Contract has not been updated since 25th October.

I must say it is hard to keep the faith having started trend following 12 months ago. I'm down 25% although the lesson is to stick to the programme as large losses came from thinking I could do better than the system when trading NQ. Ha! This is going to disappear when I am fully automated...

It's like when one of your favourite bands goes commercial :)

Book 3! Nice. Give us a clue?

Hi! To butt in here - my prod system (manual executed) is running off these git hash https://github.com/robcarver17/pysystemtrade/commit/e01cd6901971d988c7efdd0ee67612ae920cb65f which seems to be behave as I would expect. There was a heavy refactoring which occurred sometime after that commit...

Iirc there are multiple sources of FX within Quandl, which one has become delayed? I've used the feed from the ECB before both via Quandl and direct from ECB website.

Macro voices is good

Yeah I'm aware if that project, the code is really nice. I was meaning more of a ib_insync++ which had execution logic and simple execution strategies.

Nice, I hope to contribute. What about feeding the execution stuff into GATs, e.g. creating an abstract project which executes against IB. Then both frameworks could use that library... I guess that could be a nice pull request :)

How do you handle security master? Who do you track entities through corporate actions ?

Keen to hear about this data quality. I currently don't have point in time fundamentals data, I only have recent data for company fundamentals

Would a service like openFIGI help here? They claim to track entities across mergers etc through a static id

Hey, I'm not automatically executing but rather have a process which sends out an email each day with trades on. I'm only trading 10 markets so manual execution is ok. Happy to collaborate on the execution algorithm stuff but I think I would rather spend my time on research...very own...

Hi traider, yep happy to help in any way possible. I'm generating signals algorithmically but executing manually for now. Number of contracts is small so I thought this manageable. So far so good.

woooo, massive code drop on https://github.com/robcarver17/pysystemtrade looking forward to playing!

The roll dates can be backed out from the carry files, these contain raw prices for the listed PRICE and CARRY contracts. I use these dates to construct my own panama price series from Quandl data, sometimes using data from pysystemtrade carry csv files to if it covers more dates than Quandl data.

I wonder if anyone has tested a "volatility filter" within their system? Meaning that for market shocks like we are currently moving through the system could be programmed to ignore position changes when market volatility is over a certain level. The rational being that volatility begets more...

I feel your pain! :) BTW @isotope1 you mentioned a while back that you scale out of positions when loosing - by this do you mean you do this in addition to the natural scaling out of positions which would occur in a decreasing forecast strength? If so do you do this programmatically and if so...

thanks!

Too lazy to see is this has been mentioned already but https://github.com/manahl/arctic is excellent