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Btw, how often do you run this ranking\weight-readjustment, every day? and also, if you already have a position in instrument A, but now instrument B replaced it in priority, will you keep the position in A until the system closes it naturally? Or maybe you just change the weights of A and B...

I was checking out that other thread on stocks trading, and it seems to be a common problem - how to pick which instruments to take positions in, when there's more potential entries than available capital.. In Rob's framework we currently avoid that problem by simply having the weights of all...

The visualizations are all Matlab + a primitive Angular web site which I run on the same server to display the images and some numbers for convenience. It's really nothing. The key is to keep the codebase "of everything" small (YAGNI and all that..), or I start forgetting how things work and it...

Hey tokei, well, I'm not 100% sure that I'm doing anything right either :) but here's my current positions (this is paper account where I have more instruments, prod uses the same rules but only 19 instruments), if you're doing the same thing (trend+carry), then I guess yours should be pretty...

Just finished reading the chapter about a systematic stock trader in the new Market wizards., the approach appears so simple : just find an "arbitrary" rule that works and doesn't depend on parameters too much, backtest it and trade., when the rule stops working, just stop trading it and either...

Just finished adding NIKKEI 225 mini futures from Osaka exchange (to the paper system for now). It's also available on the Singapore exchange but the volume is very small. It seems like a great contract for a small capital system: margin is only 2.6k, very liquid, IB data subscription is only...

seeing some nice trends\breakouts developing in soybean, corn and KOSPI 200, catching the first 2 in PROD :)

yeah, only the sequence of cash-flows reverses when the price is negative (I felt something should reverse :) ) normally when you buy-sell you first give money then receive it, but with a negative price you first receive it then give it back, "curiouser and curiouser..." :)

Thinking a bit more about it, logically looks like negative price shouldn't reverse the weight of the position. E.g. suppose I bought a barrel of oil when the price was -10$, that means they gave me a barrel of oil and 10$ (they were really desperate to get rid of it :) ). Then the oil price...

So when you convert $ positions to % of capital, do you consider signs of the price and the position, or % of capital is always positive ? e.g. if you're long 2 contracts with price -20pts*10,000$(multiplier)=200k$ notional (really negative 200k, because the price is negative) and your base...

I meant that it's the "weighted" part that can produce negative values (intermediate values, not the final result, but that result will be different if some of the weights changed sign because of the negative price). So the formula for portfolio variation is this: V(R) = w'Vw where V is a...

I think ticks (including Bid tick and Ask tick) are coming from IB independently, not both at once, I mean that's how their API works, they give you one thing at a time and then the next one., So when in reality Bid and Ask probably moved simultaneously (i.e. the whole spread shifted to a new...

Also, when calculating portfolio risk with correlation matrix and weighted standard deviations, with negative prices the weighted standard deviations can become negative, I guess I should also apply Abs, although not sure here..

I'm also somewhat worried if all the calculations will handle negative prices correctly.. Forecast calculations seem to swallow it well, at least no exceptions, but other places not sure. Like for example position-sizing logic, if it gets a negative price, it will make volatilityScalar negative...

Yep, just wrote a small program to connect to IB, subscribe to streaming quotes of an ICE-contract and place a limit buy order - all worked. As a benefit - the API also returns last day's close (75: "Delayed prior day's Close") once upon subscription to the contract's RT prices, so this can be...

Yeah, I just tested downloading historical daily-close prices through API "reqHistoricalData" for "KC" (Coffee "C") and got "Historical Market Data Service error message:No market data permissions for NYBOT FUT". There's still an option to collect near-EOD prices from the 15-min delayed...

I always assumed yes, I think I even experimented with it a long time ago. There's an API flag or something like that.. Also on TWS UI you can still see "real-time" quotes of unsubscribed instruments, it's marked with special symbol when the data is delayed.. Just checked, it looks like there's...

What about trading them with 15-min delayed free data and market orders ? I mean how bad can it be? yes I'll be giving away bid-ask spread every time, and can potentially execute on a 15-min stale price, but compared to the benefit of adding some good uncorrelated contracts it should be small...

Btw, @wopr which contracts did you decide to add? I'm also going to add more capital\products in a month or so and thinking what to pick. currently I have these: GE, MXP, ZC, V2TX, ZT, ZS, 3KTB, OAT, GBM, NG, ZW, LE, AUD Want to add a long-term bond, probably BTP (which I badly missed this...

Yeah, that makes sense, just wanted to make sure I understand what's happening.. Btw, negative prices would really be a problem for me, as this is one of the few real-time price checks I have - the system will ignore RT prices < 0., and I also recently added a filter in the EOD price collection...