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@AvantGarde this is a nice probability review with market focus https://faculty.washington.edu/ezivot/econ424/probreview.pdf, skew formula above pretty printed on page 25

@isotope1 is Harding not talking purely about capacity, and in particular the capacity of Winton?

@AvantGarde perhaps the simplest way right now is to get_position and then process the dataframe to yield trades

@fan27, could you talk about your saving plan and what kind of cash reserves you are keeping for living and for trading?

Strange, so the settlements are published like: 5300 but market data is published as 0.053, I can't find any detail about why this is done so assume it is convention?

Hi all, Does anyone know why Quandl published MXP futures prices 1x10^6 times the quotes on CME? https://www.quandl.com/data/CME/MPZ2017-Mexican-Peso-Futures-December-2017-MPZ2017 http://www.cmegroup.com/trading/fx/emerging-market/mexican-peso.html Apologies if I am being dense! (I blame it on...

Hi GAT, I have a simple question regarding the forecast position of pysystemtrade. I'm using close prices and therefore pysystemtrade spits out a position to take for the day of the close price. Is there a function which gives me a position to take for the next day? Or do you use these...

just wondering why you use Tradier rather than IB, costs seem to be higher for Tradier

the API is extremely simple and analogous to Python dictionaries. It's a simple key value store where the values can be Python objects (serialised automatically by Arctic) or pd.Dataframes or np.array all stored as ndarry natively and so can be sliced and diced to save streaming back the whole...

@Elder, checkout Arctic https://github.com/manahl/arctic i'm using it in my live system as the core database for ticks, end of day data (source Quandl) and even for intermediate model results during research (in a separate namespace / db). Arctic is a layer at the client end of Mongodb which...

Hi all, Does anyone understand how indexes such as dbIQ the USD 3m Money Market Indicator (MMI) work? By work i mean: How does one get exposure to this? How to find out the constituents? I thought that indexes from the sell side had to be transparent - seems not so for the case above. Thanks

Hi GAT, The recent Eurodollar sell off has got me thinking whether you or anyone else on here have tried to successfully trade a hybrid approach: 1. long term target position determined by TF system 2. trade around long term position using discretion getting back into TF position when possible...

@AvantGarde some of this is discussed here https://qoppac.blogspot.co.uk/2015/04/system-building-data-capture.html

ah, right that clarifies things (also re-read your blog post https://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html) I'm attempting to construct your price file for V2X from the carry file, not ideal but will be self contained within pysystemtrade, so i'm moving backward...

Hi GAT, I'm trying to understand how you rolled the V2X data (in order to understand the process in general) looking at the recent file in pysystemtrade around the roll date of 2016-10-17 you have price of: DATETIME,PRICE 2016-10-10,23.15 2016-10-11,23.4 2016-10-12,23.5 2016-10-13,23.8...

would it be that crazy to reoptimise weights every day as new data is added? is it not better to use all available data as it's available rather than fixing weights statically?

OK, stupid question coming up. I'm about to place my first trade for Eurodollar (GE), buying 2 lots, in my test portfolio i have GE and V2TX, varget vol 15% and 50k account balance. With these params i should be long 2 GE, short 5 V2TX with longer MAs and carry rules. But, when placing the...

I seem to have gotten out of the mire by moving further out on the curve, this gives: (contract date) - date: Panama stitch: I think I can with that discrepancy between GATs data and mine, will see if that's foolhardy or not!

Thanks @HobbyTrading, makes sense. I'm still keen to find out from @globalarbtrader how the data for v2tx (and others) included in pysystemtrade was constructed. Perhaps he is using open interest or traded daily volumes as triggers for rolling in this dataset. I'd prefer to code up as much of...

I'm not sure what you mean by that - could you be more specific? I guess in some ways the point is moot as I'm trying to recreate GATs provided Panama data. In the data he provided is he using an algorithm to determine roll dates for contracts before live trading or is he hand picking them? If...