Search results

I am having trouble modeling short-selling mechanics in my backtesting system. When I sell stock short, I make the following changed to account variables in my backtesting program: Credit Balance += 200% of the stock value sold short (assuming a 100% initial margin requirement) Cash -= 100% of...

I am having trouble modeling short-selling mechanics in my backtesting system. This is not a real live accounting question, but it is about accounting at its core. So, I think it is appropriate to ask here. When I sell stock short, I make the following changed to account variables in my...

Some brokers advertise their offering of margin accounts with 4x buying power for trading stocks. I am specifically thinking of Alpaca (margin info here https://alpaca.markets/docs/trading-on-alpaca/margin-and-shorting/). However, the initial margin requirement for these accounts is still 50%...

The mystery has been solved. For most of the names I trade, IB happens to have special margin requirements of 100%, as can be identified here: https://www1.interactivebrokers.com...ag=United States&ib_entity=hk&ln=&b=FTP&e=GBO

The mystery has been solved. For most of the names I trade, IB happens to have special margin requirements of 100%, as can be identified here: https://www1.interactivebrokers.com/en/index.php?f=5168&cntry=usa&tag=United%20States&ib_entity=hk&ln=&b=FTP&e=GBO

Here's a screenshot of my accounts: What seems odd to me is that the Current Excess liquidity account is close to 0, even though the SMA account is highly positive. I also don't quite understand why the current available funds are negative, even though the cash account is close to $1M.

Hey. Thanks for your advice. I think I need to have a better grasp of the SMA account and how the margin accounts work in general. Incidentally, here is a video that I think explains it rather well: . I don't think not having the excess liquidity is about the SMA going negative, or not though...

Hi Keith. Yes, this is very helpful.

Thanks, I will look into that. I can also just dig into the book and try to figure out which stocks have what margin requirements (as per IB margin rules). I just thought there could be a simpler explanation for all this. But maybe not

To be honest, I did not understand your points. But I appreciate your willingness to help.

Hi everyone. I posted this in the Strategy Building forum but could be more relevant here (not sure). Anyway, I am testing out a systematic, cash-neutral, long/short strategy in a paper trading account with Interactive Brokers. Each day, an algorithm tells me what my target portfolio should look...

What I wrote above about sell orders going through first does not quite make sense. I guess I just don't understand why I run out of excess liquidity.

Hi everyone. I am testing out a systematic, cash-neutral, long/short strategy in a paper trading account with Interactive Brokers. Each day, an algorithm tells me what my target portfolio should look like in terms of relative position sizes. So, I multiply these target percent positions by 97%...

Hey. Again your comments are really helpful. I feel that's a great way to think about this. I am already seeing ways to statistically test for a change in stock size. I can visualize individual stock signals as a population of time-series, characterize the noise and use it to detect signal...

You make a good point. In the paper trading account I paid about $1800 to open $1M worth of stock positions, so that's roughly 0.18% of trade value. It also amounts to about $0.01 / share in my case. Assuming I do 10% of that volume daily (I need to check if that's reasonable), I am looking at a...

Hey thank you for the pointers. Pardon my ignorance but what is IEX? When you say "IB VWAP will place and adjust regular limit orders"? Do you mean a pegged-to-mid order? It has to be pegged to something within bid/ask right? Thanks.

Hey thank you so much for your reply. If I set the Passive mode and No Liquidity options in VWAP, should I expect price improvement even for a market order? As far as limit orders go, I am trying to figure out how to approach that for my strategy. I don't have an intelligent price target for my...

Hi. I am trying out different execution algos with Interactive Brokers (paper trading mode). First, I noticed that it allows me to place VWAP and TWAP orders. However, they start showing up as overfilled in the live orders tab on TWS (e.g. Quantity 2200/2000). I know this might be something...