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Is it possible to submit an adaptive order type via the API? It seems to be missing from the API docs. (https://www.interactivebrokers.com/en/software/api/api.htm)

Are you still using your execution algorithm (here)? I noticed there's an 'adaptive' order type on IB that looks similar https://www.elitetrader.com/et/threads/ib-price-improvement-or-fast-fill-now-you-can-have-both.300167/

How does your system cope when the carry signal vanishes due to no next contract? For example, on 2-Year T-Note, March is in play but there's no activity/price for June. FYI Everything I've built is now integrated with IB, just fixing up all these little glitches in the simulated account.

I'm just doing the last bit now, connecting the whole lot to IB. Thanks so much for all of this, I've learnt so much from you, and genuinely enjoyed every minute of it. I have a few q's: Do you make use of IB's streaming data? My current working plan was to calculate positions based on Quandl...

Do you apply a portfolio position size scaling multiplier that is a function of cumulative drawdown?

Hi GAT, I missed the panel discussion yesterday; was it recorded by any chance?

Hi GAT Are there any other books you can recommend for algorithmic trading? Happy to read something with a more technical bent; just trying to expand my knowledge.

Is there a reason why you went down the swigibpy route vs using FIX? Would you do the same again?

Actually, your argument makes a lot of sense, thanks. I see the main groups as being: Corn & wheat US2, Eurodollar, bobl What I'll try to do is bootstrap it first and see how that goes, and go from there. PS I'm a bit worried about the Sharpe ratio; it's uncomfortably high, so I'll be...

It's a little trickier than that. Equal weights, 14 instruments: I'm tackling the large drawdown at the end of the curve, that happened because all the financial futures suddenly became highly correlated & loss making. Instead of defining fixed weights, I wanted to dynamically adjust the...

Hi GAT, I'm struggling a bit with the instrument weight multipliers, with respect to correlation. Is there a general formula for how to re-weight instruments given a particular correlation matrix? Thanks

I experimented with this extensively and found it made no difference. If you are finding it is making a big difference, perhaps: Check you're calculating the volatility of daily returns, not the volatility of price. Check you've shifted your returns vector backwards a day before you calculate...

A quick question about correlation. I have rebuilt the system from scratch using your suggested instruments. It all works well; just looking at the correlation between instrument returns (weekly resampling, 1992 onwards): My question is related to correlation/causation. According to your...

Hi GAT, In a previous blog post, you mention IB was pretty much the only game in town for retail API/Futures. I want to see if you still think this is the case? Thanks.

Perfect, that's just what I needed! Thank you! :)

I wanted to explore this question of FX volatility and impact on base returns a little further, so I tried to set up a test. (Spoiler: your method wins- but I'm not sure why). What I'm really looking for here is a critique of my approach (which I think is wrong). Test parameters: Corn data...

I'm just looking at combining instruments now. If I've read the source code correctly, the forecasts in Pysystemtrade are calculated based on prices in the instrument currency (e.g. USD for Corn), with the fx just kicking in when calculating the overall position. Is there a case for...

How likely is it that you hit your volatility target in the long term? On my single instrument model (Corn), no matter what I do, my annual returns volatility works out about 10%, when the target is 25%. (Sharpe 0.27 without slippage, 0.08 with). I'm wondering if this is a bug in my code.

Hi GAT, I just wanted to check that you ignore the inherent drift in panama stitching when calculating EWMACs, as it's not significant over the longest lookback? (corn picture for fun)

So, for someone rolling a contract for the first time, the key things to look at are: Liquidity of contracts Carry between them ?