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"best option to just add NIFTY-IN as a new instrument and add NIFTY to stale" That's what I've done; "could we just change NIFTY params to match NIFTY-IN then just roll?)" Don't do that. Rob

That already exists as NIFTY-IN in pst.... and also works for me. Rob

What config parameters are you using? Rob

In theory it's impossible to have a position in the opposite direction to the forecast, negative correlation be dammned, so the most likely explanation (assuming no bugs - which is a heroic assumption!!!) is that I haven't traded because of the buffer since the system went short JPY. I notice...

.... or post them here and include the name you'd like to be known by! Rob

In case you guys didn't see it on twitter, I'm doing TTU this afternoon so email info@toptradersunplugged.com if any questions and make sure you include your proper name, or at least an authentic sounding fake name, or Neils gets grumpy... Rob

If you are doing what I am doing, you should scale your capital according to the mark to market value of your account, which will be equal to the sum of both realised and unrealised p&l. This is Kelly optimal. Some other people <cough Jerry Parker> don't do this of course. Rob

Actually took a bit of work for this but that's because I was using reqHistoricalTicks to get the last 200 ticks then calculate the average spread rather than reqMktData, which I use for my execution algo. And it turns out that reqHistoricalTicks does not work even if you request delayed data...

Yes that report lists everything, 201 instruments although I've added a few more today so now I'm up to 221. Of those 36 are duplicates, and perhaps another 80 or so aren't liquid enough to trade, plus half a dozen or so US instruments that I can't legally trade (stock sector futures). That...

Nearly a year after @Kernfusion first posted about it, I've finally got round to implementing instruments with no market data. Am happily collecting EOD data, and I've done a test trade with the SNAP order type (I won't do any real trades until I have been sampling them for a while and get round...

"Dear Mr. Carver, On this date 10 years ago, you opened your account with Interactive Brokers." So let me see, 10 years ago I had resigned from my job with AHL a couple of weeks earlier, but I had negotiated an exit that involved me working half my gardening leave at reduced hours but with...

Still retail in that respect Rob

For some of the more interesting CFD brokers I believe there are leverage advantages, but I only trade futures through IB so it doesn't affect me. The reason I signed up for it is so I can trade crypto futures on the CME, because the average punter on the street can buy spot shitcoins through...

Probably better to ask on the pst issues github.com Rob

Not without a swap pricing engine and a lot more data. Rob

I have the same problem with the 5 year, F1U. They've gone from CME. This is because LIBOR is no more - it's not just Eurodollar that's died. Looks like the replacements aren't yet super liquid: https://www.cmegroup.com/trading/interest-rates/swap-futures.html Rob

Piss off and type your nonsense on another thread. Please. Rob

Users of psystemtrade - this problem now fixed for the two contracts where it has affected me (local names MSCIWORLD, MSCIASIA). Rob

There is discussion of this in the penultimate chapter of my new book. As others have said, it's a balance between running short of cash (and having to pay borrowing costs with a spread), and FX tracking error (large currency balances creating p&l over and above what you earn in futures)...

https://qoppac.blogspot.com/2023/05/trading-and-investing-performance-year.html