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Part two of regular update: Current positions: code contractid positions Lock WrongContract InFwdNotRoll 25 AEX 201508 1 False False False 2 AUD 201509 -3 False False False 6 BOBL 201509 1 False...

A slightly delayed update (for reasons which will become apparent); last update was 3rd July. I'm doing this in two parts as I seem to have some kind of character limit. The last couple of weeks has been much more profitable than recently. I'm up over £40K in money terms, or 10%. Drawdown is...

Most companies have a policy on trading your own shares (I'm UK based, so might be different); indeed I think it might be a regulatory requirement. Normally all trades have to be approved. Approval won't be given if your'e judged to have inside information. In our firm you weren't allowed to use...

The place where I used to work had python and a custom messaging bus. For my own personal system I did look at python plus rabbitmq (rabbitmq is pretty neat IMHO), however I don't need especially low latency so I just write everything into databases and then pick it up with another process (it...

Crikey, I'm glad I'm not an intraday trader. Sounds far too much like hard work. With apologies for cluttering up the thread, GAT

I am glad this is working for you. But hopefully there are some API options experts (non language dependent) who can answer your questions because as I said I don't trade options with IB.

I don't use ibypy eithier (I use swigibpy), nor do I get option greeks, so I hesitate to give you advice. I did look at ibpy when I started. This page https://www.quantstart.com/articles/Using-Python-IBPy-and-the-Interactive-Brokers-API-to-Automate-Trades seemed to be the most helpful. If you...

Hi Bone It's not obvious whether you think I am (or should be concerned about) underestimating or overestimating the likely future correlation* between these two assets. * I understand the difference between cointegration and correlation, as I know do you, but I'm going to use the latter term...

Perhaps I should be clearer: Broadly speaking a system of this type consists of a bunch of indicators. Let's keep it simple and assume we just have three - a fast moving average crossover, a medium speed one, and a slower one. To decide my position I take a weighted average of the value of...

Okay so the hedge ratio is exactly in line with my measure of current volatility (which is what I use to size my positions), and also coincidentally with the 12 month measure I use to calibrate my system.

So... often should I recalibrate? And using what length of vol? Is it clear what recalibration actually involves? By the way it usually results in almost no change to the forecast weights

Okay I think you have misunderstood.... To size positions I use 35 day ewma based on daily returns. That makes sense given my holding period of between 2 weeks and 6 weeks (and this was studied at great length by myself and others in my last fund - there is no difference using a much faster or...

Uh.... yeah I am. From a couple of posts ago you might remember that I said I use: "....a 35 day exponentially weighted moving average of daily returns." That's pretty close to bloomberg, although as I said I'm using an average of those estimates over a year for the purposes of cost...

Thanks very much, appreciate it.

I think that report is percentage volatility. I'm comparing the bid/ask spread in price terms to the volatility in price terms. Corn is about 1/3 (ish) the price of soya; so if corn had 3 times the % volatility it would still only have the same price volatility as corn. They're probably looking...

Hi I agree with your statement about complexity; I am not a huge fan of it. My system might look complex, but it's really just a linear weighting of a lot of really simple things. It's fully automated, and backtested. I can point you to the backtest on the blog page if you like. The vol...

Diversification in this context means having trading systems for multiple instruments, which have less than 100% correlation with each other. Some of those trading systems will have very high correlation (but also see my further comments below). But sometimes they will have quite different...

In the hypothetical trinary system in my last post I'd opt not add the additional bet. In my current 'always in' system a new bet might cause me to hit a risk limit. So yes I would reduce the size of existing bets. However the effect would be small (since I have so many markets - I might be...

First my system isn't 'always in'. There is a minimum signal strength I need before establishing a position. However if I had enough capital it would be 'always in'. Anyway, on to your question. I wouldn't trade any differently if I had a binary system, or a system where I had a lot of...

1. No; you can also collect data in realtime. You'll need to set up some kind of process to get it. Are you writing your own code, or using some kind of third party software? 2. Yes. If you need more you'll need to get it from somewhere else. Probably not relevant to you, but I use 1 day data...