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  1. K

    Fully automated futures trading

    Regarding parallelization I'm now thinking to maybe do it NOT between instruments (i.e. process each instrument in a separate thread), which clearly doesn't, work because in many places we look at all instruments at the same time to make decisions, but instead do certain stages of the workflow...
  2. K

    Fully automated futures trading

    Oh, looks like I will need to upgrade my trading server (finally there's a good reason to do it :) )., will buy some mean crazy-fast pci-e ssd-drive, lots of ram.., it's gonna be fun! :)
  3. K

    Fully automated futures trading

    I'm glad to help :) Onboarding new instruments is very annoying and it's always good to have multiple eyeballs on the details., and I'm naturally encountering these issues as I'm trying to onboard these contracts into my system, especially because I have automatic rolls I'm forced to check all...
  4. K

    Fully automated futures trading

    And another thing :) MINI-KOSPI seems to be monthly, not quaterly: http://global.krx.co.kr/contents/GLB/02/0201/0201040204/GLB0201040204.jsp "The quaterly month : The settlement price of KOSPI200 futures The non-quaterly month : The current settlement price methodology is applied" I was just...
  5. K

    Fully automated futures trading

    I think there's also a problem with mini-crude: it has a good liquidity but not in the Dec contract, all volume is concentrated in the 2 front months. I guess it's still possible to trade it but not with Dec contract.. How critical is avoiding seasonality in this case by trading only December ...
  6. K

    Fully automated futures trading

    Agree. But even if I buy 3 contracts in something that has only 100 daily volume, why exactly is it bad., I guess because I'm risking to get a really bad execution? I mean it's not the same problem as when a big institution is trading 3% out of 3 million contracts daily volume and therefore can...
  7. K

    Fully automated futures trading

    Happy birthday Rob, best wishes! :) Yeah, adding new contracts is a lot of tedious work in my system too, probably no matter how you write that code, there's just a lot of things to do for each contract and then multiply it by 70+! Btw, with the new 100 contracts of minimum average daily...
  8. K

    Fully automated futures trading

    Hi Rob, great stuff, thanks! I noticed that JPY-denominated Nikkei 225 with multiplier 100 from GLOBEX has high cost 0.33795084: So you choose the other one with multiplier 500 (NIY) in your final list. I actually trade the OSE.JPN version of the x100 Nikkei (N225M), which you have in your...
  9. K

    Fully automated futures trading

    Kahneman's new book is coming out in May..
  10. K

    Fully automated futures trading

    Yes, there's actually several order types which seem suitable. Though, with all of them there will be a risk that in that 15 minute delay the price(whole spread) moved to some "very wrong direction" and we don't actually want to buy\sell at this price this anymore., But if the signal is...
  11. K

    Fully automated futures trading

    Can't say that easily, I record the initial and fill times and all changes in the state of the order (passive\aggressive) but not the reason for the change. (Actually I do record it, but only in the unstructured free-text log-table and it's a real pain to extract it from there). I can...
  12. K

    Fully automated futures trading

    Hi Japan_trader, good to see someone with deeper understanding! So in general, I'm way over my head here, my execution algo is also a rip-off of the Rob's algo described here: https://qoppac.blogspot.com/2014/10/the-worlds-simplest-execution-algorithim.html :). Basically I issue only limit...
  13. K

    Fully automated futures trading

    Investigated one of the big positive execution profits: so the soybean order was placed at 11:75 EST when Bid=1134 Ask=1135, I was selling 1 contract, but the fill price was 1139, so I sold at 5 points better than the original bid (made 250$). The next price I have is from 15 seconds later, my...
  14. K

    Fully automated futures trading

    My breakdown is like this (this is only last 9 months as I fixed some bugs in the exec algo at that time): here's the individual plots (sorry for excel, I really need to get more fluid with python :) ) So as I said, the sample size is very small especially for some instruments. ZT seems to...
  15. K

    Fully automated futures trading

    Why do you think an execution algo can have different effectiveness on different markets? I mean they are all "equally-liquid" I think, what other factor might influence execution., like maybe we expect to have better execution in grains vs equities, but why? I can pretty-easily get the total...
  16. K

    Fully automated futures trading

    Tried to analyze the effectiveness of my execution algo, looks like it has some benefits (though it's a very crude analysis and I might've messed something up). This is cumulative sum of execution profits and losses from the "worst" side of the spread to the actual fill (current ask-fill if I'm...
  17. K

    Fully automated futures trading

    yeah, actually ESTX50 is also killing it (I only trade it in paper), V2TX and HE are making some profits but not much for me at the moment..
  18. K

    Fully automated futures trading

    Wow, now corn and soybeans are at it again, and everything is great :) Dead-cat bounce? oh, I would definitely took my money and ran at this point if I traded this manually :)
  19. K

    Fully automated futures trading

    Yeah, probably.. for this strategy you can do things once a day which will simplify things a lot.. But in the beginning I started my system as stock pairs-trading (start arb), and I thought I'll be trading quite often (i.e. if you get a noisy spread you can make several$$ ten times a day on...
  20. K

    Fully automated futures trading

    So basically, you're now stubbornly waiting for the fill on your side of the spread no matter what happens to the price? What happens if the price goes away from you and never comes back, do you cancel and resubmit the order after a while (next day)?
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