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Bravo!

How is everyone getting on with the VIX explosion?

Thanks for that, tis interesting. I might try and highlight significant instrument rotations on the dynamic plot, now that I can! Thanks again for posting the full config for the blog post.

Another question for Monday morning, I guess we have been using the weekend for some offline processing. I wonder if your daily order generation process involved running a complete backtest? Or can you run a smaller time range of size equal to the longest look-back window? From the docs of...

I look forward to it, I've managed to poke around and get the optimization running. I look at how instruments are differing thought time. With the 'chapter15' provided system I find Sharpe .7, is your blog post system very different to this?

Exciting! What's the working title?

Would it be possible to view the configuration of your system used in the blog post? Is the Config yaml commited anywhere?

Hi, I'd be interested in the Python version, it's been on my todo list to play with cvxpy (suports CPLEX and others). Also, there is a nice multi-horizon optimiser from the same Stanford team as cvxpy: https://github.com/cvxgrp/cvxportfolio paper...

My kids would call this the OG approach :D

Hey Rob, I think what you are looking for is the chunksize param to "pool.map" grid_possibles = list(itertools.product(*grid_points)) if use_process_pool: with ProcessPoolExecutor() as pool: results = pool.map( neg_return_with_risk_penalty_and_costs...

yeah i guess context would be helpful eh? Datascope provide intraday and daily data for all asset classes. The REST API is pretty decent e.g. you can schedule 'extraction jobs' for large number of symbols.

Hi, I'm interested in augmenting my IB data with another provider. I like the look of the Datascope REST API (from github docs), does anyone have experience of this service and what kind of cost is it positioned at? I'm on a low budget so any other providers you can recommend are gratefully...

Hi GAT, I wonder if you have any thoughts about bargain hunting for potential buys for your long only equity portfolio? Do you have any favourite size / universe filters? Any mean variance style portfolio optimization? Now seems like a good time to stock up on equities. Cheers!

English humor, I was being facetious.

I knew you would say that

OK Nooby, you seem to be too successful and therefore I think it only fair to the reset of us that you build your strategies using this Visual Basic written IB platform https://github.com/rlktradewright/tradebuild-platform from now on :D

Typically quant data is suited to a columnar layout not SQL rows. Also, these days you can get extreme storage along the columns. Some good options for storing quant data are https://github.com/man-group/arctic or use pyarrow parquet files. I use pyarrow parquet files and roll my own flat file...

we're just jealous of the optimisation the JVM does (seriously) pypy is our closest attempt at that speed

Hi GAT, Would be really interesting to hear your thoughts on system design from a coding perspective. I'm familiar with your initial pysystemtrade but lost track after a large refactor, i'm assuming it hasn't changed too much. What I really like(d) about pysystemtrade was the simplicity of...

probably too well known for this list: Red Notice: How I Became Putin's No. 1 Enemy, Bill Browder