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Good point. It looks like the only one that might be of interest is USDEUR & USDGBP. Subsystem returns correlation (EWMAC & Carry), weekly resample: (Sorry for terrible colours, I'm using a dark theme on Jupyter)

In this case, would you consider holding government bonds instead of cash? It should be a lot quicker/easier to get these back vs cash in the case of IB failing. This makes a lot of sense. That's very helpful. The bulk of my positions are USD, with a borrow rate of 2.4%, it makes sense to...

I'm increasing my allocation to futures, seeing as the first couple of months of testing shows that everything is working nicely. I have a few more Q's: I'd like to construct a portfolio of hedges that produces a steady 3-5% return (something like just the dividends from the S&P). Is this...

My forex cash balance is positive for all of those days. I did attach a statement which might help?

How do I find out how much I need in each currency?

I'm not sure; how can I tell that from the statement? As I'm trading futures, I hadn't expected to need to hold much in any foreign currency.

On Interactive Brokers, I seem to be incurring daily interest charges. I have some balances in the various currencies, but the interest charges keep coming. I trade futures denominated in CHF, USD and EUR. How can I calculate how much I need? I have attached a recent daily statement. Base...

Hi GAT, Just a quick question on how you collect settlement prices. I'm currently collecting data from Quandl en-masse at 2.30pm UK time and trading then, once a day. What's really the best way to do this? Should I be collecting settlement prices from IB on-close and firing off market orders...

How far out do you trade VIX? I'm a little concerned that a repeat of the 2007 spike could catch me unaware. Is that something I need to worry about? (VIX, panama stitch, traded 3 months out)

That's the plan, but my strategy is entirely algorithmic, and currently it's just trend following, which is slow (one price per day is enough). I'd like to move up to intraday stuff, but I'm not there yet ;)

Which 23 hours? http://www.cmegroup.com/trading-hours.html

That's a good question. IB has an option that says 'UseRTH' - which I'm using. What's the difference between RTH & Globex hours?

I'm requesting specific contracts, not continuous contracts. In this case, I'm requesting Corn Dec '17. Here's my request for the contract on IB API: reqHistoricalData(self.ticker_id, contract, end_datetime, "1 W", "1 day", "TRADES", 1, 1) Documentation for API is here...

I'm trying to figure out why the historical data I'm pulling from Interactive Brokers doesn't agree with that which I pull from Quandl. The Quandl data seems to agree (approximately) with the data reported on the CME website. IB is miles off. How should I be requesting IB data? Any insight...

That's very helpful, thanks. I'm trying to figure out why the historical prices I pull from Quandl and those I pull from Interactive Brokers are different. Any insight would be very helpful!

According to the contract spec, trading hours are: Sunday – Friday, 7:00 p.m. – 7:45 a.m. CT and Monday – Friday, 8:30 a.m. – 1:20 p.m. CT It looks like the market closes twice on a given CT day. When I get a closing/settle price from Quandl/Interactive Brokers, what time is that exactly...

Today is a big day, I've started trading real money. Thanks for all your help in getting me this far! I have the following questions: You have a bunch of shares which I'm guessing you previously owned in your IB account. I have done the same. Shouldn't we really sell these and keep the money...

Did you ever think about automating the rolls? I've set mine to roll automatically like clockwork; I can't see any issue with this unless you can? (I'm currently doing separate legs using adaptive market orders). Also, do you currently get today's opening price before making forecasts? I'm...

Why?

Python w/ IBPy. I actually managed to get it to work too: from ib.ext.Order import Order from ib.ext.TagValue import TagValue order = Order() order.m_orderType = 'MKT' order.m_algoStrategy = 'Adaptive' order.m_algoParams =...