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Update on this mini project: Added a lot more reports to this, and also seems to be updating properly. Rob

Phew, moment of panic there on my part... Rob

I think you basically want to limit your exposure per instrument in risk units, but calculated in contract terms as a limit for the DO, knowing about integers. You don't really want 25% of your risk in one instrument basically. So how I'd calculate this is work out the $ risk per contract...

This should be I interesting... GAT

Looks like today is another small up, +1% as I look at it now. A few trades, just gone short VSTOXX suggesting the drama in European equities is over, replaced corn long with red wheat, trimmed long gold position back to 2 contracts, closed KOSDAQ short and MSCI Singapore long which I guess...

No, although hopefully I should have some decent spread data soon I can get some analysis of spreads. I'm also not sure I want the lowest spread - I would if I was always doing market orders. Again, I should be able to do some analysis of spreads versus execution costs. Rob

No, as you can see below I submitted an offer at 112.97 which got filled very quickly (approximately 30 seconds later). It was just luck - I don't start trading US Markets until 2pm, and this happened to be the first to go, and that just happened to be the top of the market. Rob emacs...

From the backtest https://1.bp.blogspot.com/-8PPER8WMrD4/YZezXRTWXjI/AAAAAAAAVvk/F5itM_59SV0iN7PrN0wqqDowT3d9Mu8xgCLcBGAsYHQ/s1920/Figure_1.png Average (once I have all the markets in my dataset) is probably about 25, max 45 13 is really low; but then I have 40% of my average risk on so that...

Small up today. As you'd expect after a big day, absolute s***load of trades, mostly closing. ================================================================================================ Broker orders...

That's awesome. Fundseeder have something similar, but without the colours. If I can trick something similar up in python, I'll see if I can get an auto updating table like that. Rob

This is actually (sort of) explained in the second post of the thread: https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/#post-4085237 What happened was when I started trading I had a 50% risk target, and then I dropped to 25% in December 2014 because it was way too...

I know it hurts, but a very sharp reversal is often the best thing that can happen to a trading system like this. The vol scaling will cut your positions quickly, reducing further losses. The alternative, a slow reversal, means you have to wait for forecasts to reduce your position and by then...

Actual account figures Rob / GAT

You ain't blaming the algo buddy, it's got an alibi. DO sold me out of heating oil on Friday, again due to increased vol. instrument_code strategy_name trade parent_reference_price parent_limit_price mid_price side_price offside_price limit_price filled_price delay...

They're long physical, probably close to net hedged. Issue is paying the margin calls. GAT

There might be a very small difference in the execution of these orders on the exchange computer, but as others have said this is a rounding error in the context of your total slippage. If I was programming an exchange computer (which I have never done!) the obvious logic would be to convert a...

Down 4.3%, about 6% from my intraday HWM (where I took capital out) Rob

Here's the link to the discussion about how I manage my capital. Updated figures with this mornings withdrawal included; My drawdown is zero My notional capital is 400 - 0 = 400k My risk target is 25% * 400k = 100k My account value is 401k My accumulated profits are 782K. No particular...

If IB latency is too slow for you, then I would imagine you're going to find TD - or any 'retail' broker - glacial, especially ones with free commissions. And free commission brokers can only make money through PFOF which means your order is going to get thrown into a dark pool for the sharks to...

It's woth noting, as I did on Twitter, that because I don't compound my returns a more comparable figure would be even higher: around 33%. This is also the figure you'd see on fundseeder or in the IB report. At my year end review I'll quote both types of figures. This non compounding means I...