Search results

Update: if you search for "DE" in TWS you will get a list of German govt bonds, all of which have margins correctly calculated. For example, DE0001102325 (Germany Aug 23) has an initial margin below 4%. If a bond is not in that list, margin is 100%. It looks like the list only includes long term...

Yes, I use portfolio margin. Looks like what you say is correct but, beyond not making any sense, it also contradicts what def said in the post I quoted

@def I was looking at this 6 bln € German Gov Bond issue with maturity < 1year: DE0001104859 How is it possible initial margin is 100%? My account is in EUR, so there is basically no risk from this position. Thanks

Beg to differ (it's going recursive). Unless you are AHL, 7k contracts are more than enough. Given my account size, I will never hold more than 4/5 contracts (I guess you are referring to the micro). We have multi billion dollar ctas who (claim to) trade cheese and I should be worried of trading...

Anyone knows why right now (July 5th, 6pm ET) for most agricultural futures on CME IB shows the close price from July 1st even if we already have the closing price of July 5? That price is propagated via the API, so if I make a reqMktData call to get close or marketPrice, I would get that stale...

Thanks Rob, can't wait to read your new book. I think I may take the complicated road, since in my case the benefit in the terms of more markets I could trade may be worth it on its own, even without considering the possible performance boost from choosing contracts with best forecasts. I agree...

Yes, it would be somewhat complicated but I think it could be worth it. The opportunity set would widen quite a lot: conceptually it's like adding a calendar trade strategy on top of a strategy trading only the front of the curve. But it would be much more capital efficient and probably easier...

I agree with HobbyTrading. What you say is obviously true for stocks, bonds and FX futures but for most commodity futures I'd say that several contracts beyond the front one are liquid enough for small portfolios. For example, even with a not particularly liquid future like micro WTI, I'd say...

I would like to pick you guys' brains on this topic. My system currently trades only front-month futures. For commodities and volatility futures, I'm working on expanding the set of investable contracts to all contracts that expire within 12 months (obviosly assuming they are liquid enough)...

I have a question for Rob too: what's your take on the trend (pun intended) in the CTA industry towards alternative assets (including less liquid futures and OTC contracts)? It looks like every major player has launched a programme which, at least in some part, has exposure to such assets. In...

Mjy was delisted. I switched to m6j too, even if it looks less liquid so far

Yes, definitely more work :(

I understand better know, thanks. So basically you are never going to trade the front month, since you'd miss your carry signal right? I do things a bit differently: I define carry looking at the slope of the whole term curve from front month to front month +12months (this way I try to avoid...

Sorry for the newbie question, but why do you trade July even if its spread is larger and volume is lower than March/May? Is it to better exploit the carry signal? Also, what do you mean by "using May for carry"? If I understand correctly, you compare May and July to get your carry signal, but...

Anyone trading IBKR LME OTC Futures? Aluminum has a much tighter spread than the NYMEX contract. Besides the higher trading fee and IB counterparty risk, are there any other drawbacks? Unlike IB CFDs, there are no swap fees, right? Thanks

You caught me ;) Jokes aside, contracts with such tiny volumes usually have wide spreads, so I avoid them in the first place. By the way, with illiquid FX futures (such as ILS) what do you do? CFDs have the 1.5% funding rate markup, but they are probably better than a 50bps bid-ask spread future...

(Un)fortunately my portfolio is small enough that I will never be a large part of any market :)

If spreads are tight, why do you think volumes are important? Are you worried that, in martet turmoils, liquidity could dry up?

Which requirement is not met by GBPUSD micro? I don't have extensive price data, but right now the spread on the micro (March) is the same as the full contract.

That's a nice question, but IMHO you'd get a very different risk profile. Trend is probably not going to help in that kind of environments because after a long lasting quiet market you will get negative signals. Unless you use very short term lookbacks, it will take some time to adapt to new...