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It was a fun experiment but I decided not to use this tracking error minimization system. I don't like how it jumps in and out of instruments based more on changes in correlation than in changes of signals. (Perhaps there is a way to reduce this effect, but my efforts towards this goal have...

Now I'm jealous. Obviously, Excel is slow and not designed for what I'm doing. But I don't know Python. It would take a long time to learn how to use it and then even longer to convert my years of work in Excel over to Python.

Of course!

GAT, After a lot of thinking and a little bit of work, I was able to implement this tracking error minimization technique in Excel. Actually, it took less than 2 hours to create and troubleshoot the necessary sheets and write the Visual Basic code. The only problem is that my so-called greedy...

Yes, but this will do it faster!

Thanks. That's what I was getting at.

I guess "remove" is the wrong word since the system never removes instruments. I meant, when does the system "close" an existing position? Obviously, I'm not understanding how the new system works.

Rob, The code is a bit confusing to me. When does the new dynamic optimisation method remove instruments in which you already have a position? Does it wait until system wants to have a zero position or is going to reverse? Or does it wait until it's close to zero, perhaps anything less than...

I just upgraded my TWS and now the "Financial Instrument" column displays a description of the contract instead of the symbol. For instance, it now shows "MES Dec17'21 @Globex." I want it to show me "MESZ1" instead. Anyone know how to fix this?

I trade the rough rice futures on the CME Globex (ZR). https://www.cmegroup.com/markets/agriculture/grains/rough-rice.html Volume is hundreds of contracts per day. Spreads are relatively narrow. I'm currently seeing a spread of 0.005 but it's not normally that narrow. My average spread is 0.0084.

New notice when I logged into FundSeeder today: We are in the process of major behind-the-scenes upgrades to our trader platform. This has caused unexpected and significant delays in the upload of daily data, especially for all existing IB-linked accounts and the upload of historical and daily...

Looks like FundSeeder updates once every week or two. Last update was August 27. The site used to update daily. If they're switching to an intermittent schedule, perhaps weekly, I wish they'd say so.

Micro Treasury Yield Futures Surpass 30,000 Contracts Traded https://www.cmegroup.com/media-room/press-releases/2021/8/24/micro_treasury_yieldfuturessurpass30000contractstraded.html

That is true, which is why I (and apparently the wider market) wanted Micro Treasury Notes and Bonds rather than Micro Treasury Yields.

Micro Bitcoin and Micro Crude traded well on their first days.

That's for the Micro 10-year Yield futures, but there is literally zero volume on the 2, 5, and 30-year futures.

They should have just made Micro Treasury Note and Bond futures instead. Those I would have traded. It's going to take people time to figure out how these things work, but people may decide not to trad them.

Fundseeder hasn't updated any results since July 20. Perhaps it is dead.

Current open interest is 1,162 contracts. I don't think they'll be delisting it anytime soon. BTW, I didn't say I'd be trading this. I'm just pointing out how IB has much higher margin requirements on this contract than the CME requires and other brokers offer (and this is true for most of the...

So you're saying that the CME and brokers other than IB are crazy for having such low margin requirements?