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Yes the orderid resets daily. If you go through the blog it will give you the code to get the orderid. I can see no advantage of all to have a fixed IP for trading - why would you need to do this?

Todays trade: code contractid filled_datetime filledtrade filledprice 2757 KR3 201503 2015-02-11 01:01:56 -1 108.48 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading...

Yes you're right its applied to each instrument individually, with a cross market risk management overlay (which isn't doing anything right now). There are some cross market signals in there, but they are aggregated up with everything else to a signal for each individual market.

It would be hard to reproduce the error and work out whats going on with someone elses code. This (first in a series) of blog post might be helpful in getting IbPy working http://qoppac.blogspot.co.uk/2014/03/using-swigibpy-so-that-python-will-play.html

Sorry I don't understand what that means.

In the time frame between Jan 2014 and Jul 2014 the PL advances pretty fast. Maybe you could adjust the strategy in a way that the rest of the months advance at the same pace The only way to do that would be to boost the Sharpe Ratio whilst keeping the same skew (which would be lovely, if I...

I'm using interactive brokers API via Gateway. I use the C++ API in python via swigibpy. More details here http://qoppac.blogspot.co.uk/2013/12/p-margin-bottom-0.html. I actually trade about 45 markets so there are a few empty boxes where the signal is too weak. I'd have more positions if I...

Just to explain the two graphs. The first graph is pure hard cash profit. However during this period I was experimenting with how I dealt with profits (I always scale down risk for losses, no exceptions). To begin with I rolled them up, adding them to my capital base. Then I decided to stop...

I was talking about avoiding a 2008 event (or a 1998, or a 1987 event for that matter). I don't know whether a once in 10 year event qualifies as 'black swan' but I'd certainly be concerned if I knew I was likely to blow up every 10 years. A synthetic option (my definition) is where you trade...

Here's my trading journal. I've been running this system since April last year. It's fully automated, futures trading, with a bias towards trend following. Here is the p&l to date. I will do a more thorough analysis after a full year Current positions (hope the codes make sense): AEX...

The former. If everyone set their stops according to account balance then I would have a stop which implied an average holding period of a few seconds, and the multi billion $ HF I used to work for would have stops which were only triggered every few hundred years. Great post by Artful Dodger...

I'm slightly confused why we're using an example with discrete outcomes in a thread about continous Kelly. My understanding of CK is if you have an expected annualised Sharpe Ratio (mu/sigma) of say 1.0 then Kelly optimal will be to target annualised risk of 100%. SR of 0.5 implies annualised...

It's always going to be expensive to buy VIX options; maybe they were cheap in 2006 but not since. There is nothing wrong with shorting VIX futures, as long as you bear a couple of things in mind: First diversification. If VIX is only a small part of your portfolio, then the damage from a big...

Sounds like a few things being confounded here. What do you want? What problem are you trying to fix? If I understand correctly you've got something like a 130:30 portfolio, which will be making its money from relative value, a long bias to equities and a variable beta to equities. a) If I have...

Sorry for the late reply to this thread, but only just found this excellent website. UK CGT needs to be paid when you realise any profits. So it's not mark to market, but you can't defer it until you do withdrawals eithier. Also a warning - you can't use simple FIFO to work out your CGT. The...

I am not a Lawyer (though in my pre self employed days I was FCA registered myself). But if you read the FCA website you need to be registered if you are carrying on a regulated activity (which this obviously is) and by way of a business. The obvious interpretation is that if you are charging...

I haven't used scheduling in a windows enviroment however common sense implies that the machine must be at least partly powered up ('sleep mode'?) 24/7 for a scheduler to work unless you hard wire your 'on switch' and use something like...

These outages are on the server side so they affect both TWS and Gateway. IB controller is just a wrapper for TWS or Gateway, whichever you're using, its not a separate product. I haven't used it myself because I have this security authentication card that precludes it. My experience of TWS is...

It's not clear what the goal is here. Are we protecting ourselves from our own bad luck or incompetence (I can't lose more than what's in this no matter what happens), is it a jedi mind game to mentally limit our risk, or are we trying to save ourselves from broker meltdown? There may also be...

http://qoppac.blogspot.co.uk/2014/03/using-swigibpy-so-that-python-will-play.html