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If trading futures https://github.com/robcarver17/pysystemtrade

You lost money because of poor risk management.... wouldn't it make more sense to understand that better first? GAT

Yup

Cheapest to deliver

To flesh out this research programme, which it looks like I will be attacking first: - what is the relationship between instrument costs and optimal trend trading speed? This is something inspired by a podcast interview of an ex-employee of mine, which I also discuss very briefly in the new...

Rob Carvers books are great but they don't teach you coding, or contain any code. There is a list of python for finance type books on his blog https://qoppac.blogspot.com/p/books-to-read.html Rob :-)

I rebalance daily. That's not day trading. GAT

That (strategy from 1st paper) is not a day trading strategy. Holding period likely to be much longer. GAT

I also trade several times a day, but I don't define myself as a 'day trader' Personally I define day trading as a holding period of less than a day, i.e. you end up flat at the close. I think this is the most common definition. A large fund can have a holding period of years, and still trade...

That's not correct. Consider a world in which there were no day traders. There would still be long term traders making decisions to trade, and trading with each other and with HFT market makers. That would be enough to cause prices to move a hell of a lot. Day traders add some additional...

This is the title for the first paper: "What Happened To The Quants In August 2007?" I just did a text search for Shannons Demon in the paper and it isn't mention. You have the wrong link. Of course Shannons demon works in theory, but the question is whether it can overcome realistic...

Have to say I'm glad I switched to using ib_insync which manages all these issues for me, and makes it easier to update the gateway. And we all know that regular upgrade cycles are less painful in the long run. But then I don't always practice what I preach - I'm supposed to 'regularly'...

My first job in hedge funds was actually to build a systematic global macro trading strategy; the downside is indeed the data: low frequency, hard to get, subject to revisions, often has different meanings across countries. All to end up with something that was pretty correlated to trend and...

I agree. But most retail traders are not Jim Simons. GAT

The 1st paper has nothing to do with day trading. The 2nd is more relevant but like many academic papers has quite unrealistic assumptions that aren't properly checked eg effect of delaying opening trade by X minutes and executing over next Y minutes. May also be data mined. SR>6.... GAT

Do you have a link to those studies? Personally I can't find a strategy that isn't massively over fitted that I could rely on to beat trading costs. But ET is full of successful day traders who are clearly much smarter than I am and I'm sure one will be along shortly. GAT

Normally I charge $10,000 for this, but I'm offering it you for free on ET for one day only. OK, here it is, this is my day trading strategy: Don't GAT

So just upgraded to 10.20 and (touches huge piece of wood) so far seems okay, because: "Dear Trader, On January 4, 2023, complimentary real-time non-consolidated market data from CBOE One will be disabled for the version of the desktop trading platform that you previously logged in to. In...

Thanks @def (I mean, it's a different iron ore contract listed on the wrong exchange with the wrong symbol trading in a different continent, but close enough I suppose) Now, how about the other two things on my christmas wish list: - no consolidated csv of all products (ideally with...

Brilliant. Now why isn't that linked to on the product pages? GAT