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You can get daily futures data from IB going back 50+ years? How?

I use CSIData and love them. Yes, software is a bit clunky at times, but once it is setup, you just schedule it to update automatically. I rarely have to interact with the software; only when adding new instruments, which isn't too often. 150 futures isn't enough? BTW, if you want to trade...

I store all my instrument information in a csv file which contains the correct multiplier. But my system needs to calculate the correct multiplier when it rolls and generates the next contract. So I have the following inelegant code for that: if InstrumentsIBSymbol[i] == 'NGF'...

Not sure why you'd want to trade Eris SOFR swap futures, but a good place to look is always https://www.interactivebrokers.com/en/trading/margin-futures-fops.php You'll see: CBOT YIA 1-Year Eris SOFR Swap Futures YIA 93.75 N/A 93.75 75 USD No 93.75 75 CBOT YIC 3-Year Eris SOFR Swap Futures YIC...

Have you checked your "Transaction Cost Analysis." In the IB portal (website), it's under "Other Reports." It shows orders placed that were not filled. Unless the order was cancelled right away (for lack of margin, lack of market access/permission, trade restrictions, etc.), it should be there.

Thanks. That makes a lot more sense. Why cash ETFs rather than just cash? IB's interest rates are good.

Rob, In your risk report, it says your "Percentage of capital used for margin" is currently 72.3%. Is this correct? Given your current risk is just 12.6% according to that same report and your risk target is 25%, won't you be pushing up against the margin limit if your got back up to 25% vol...

Depends on the elasticity of demand.

IB has a Transaction Cost Analysis report. where you can check the quality of your fills. I keep my own data as well, but IB's TCA is better for instruments where I don't have realtime data. My own data on realtime markets confirms the accuracy of IB's report (within a margin of error since...

The largest test I did (over 3,000 trades) yielded, in terms of spread paid: Patient 56.1% Normal 60.2% Urgent 88.3% Another factor is the time to execution. Depends how your system works, but I don't want my system waiting around too long to get filled. Median/average fill times: Patient 73.4...

I use IB's Adaptive Algo with Normal speed (after testing the various speed options). I've paid 73.5% of the bid-ask spread over the last year, so it's definitely better than using market orders. When I last asked Rob, his and my spreads paid were about the same (our numbers have probably...

FYI, Micro Natgas commission at IB dropped from 1.47 to 0.87.

From what I can tell, HHI (HHI.HK), HSI, MHI, MCA, and MCH (MCH.HK) are all tradable on the HKFE, but HTI (HSTECH) is marked as not tradable in my TWS due to sanctions and CUS (CNH) and MTW are not tradable due to regulatory restrictions. There may be others, but I believe these are the most...

How is anyone supposed to keep track of all these changes? Do you know which Hong Kong Futures Exchange (HKFE) futures US citizens are allowed to trade and is offered by IB? I'll add them to my system. It appears that the list is quite long (most probably don't have the liquidity needed)...

Actually, US traders can no longer trade KOSPI due to a recent CFTC decision. We can still trade KOSDAQ futures though. More generally, US traders can trade Asian futures but not Hang Seng Futures. I trade futures in Singapore, Japan, Korea, etc., but not Hang Seng. But for a European trading...

Everyone wants to be "fully" automated until the exchanges change things on you. For anyone trading BAX futures, I got this from IB: BAX to CORRA futures Migration Dear Trader, Since you either have positions or have previously traded in Montreal Exchange listed BAX contracts, we want to make...

Nestle and Hersheys would be long cocoa since they have to buy cocoa at a future date. It would be the farmers who are short.

"When in doubt, reboot."

So Cocoa could fall by 70%, but it might rally another 40% before doing so. :D

I don't want to share it in public because my code is terrible. I'll send it to you privately (if I can figure out how) and you can fix it up all nice.