Search results

Agreed. Eg http://www.ahl.com/ahl-oxford isn't to get people from a 'trading program', it's to get Masters or Phds in econ/stats. I think there is an analogy here with technology jobs. Top firms want to hire people who have done Maths or Physics, to develop software, not someone who has done a...

I don't believe I have an edge. Essentially I think I am just running a dynamic "alternative beta" portfolio, diversified across a relatively large set of assets. I earn a bunch of 'alternative' risk premia, eg momentum, carry. This doesn't require any skill, hence no edge or alpha. Why doesn't...

Todays trades code contractid filled_datetime filledtrade filledprice 2989 AEX 201503 2015-03-16 12:13:43 -1 497.10000 2990 AEX 201504 2015-03-16 12:13:43 1 495.90000 2980 BOBL 201506 2015-03-16 07:35:26 -4...

You can have a Euro account. By default all IB accounts are multicurrency. So you could eithier deposit GBP and convert with IB into EUR as I said; or you could convert it somewhere else and deposit EUR with IB. If you are only trading EUR then that might make sense. BUT I'm afraid you still...

Suppose you're buying a call on DAX. If you trade with interactive brokers and you don't have enough euros then they'll automatically lend you euros to find the premium. Or if you prefer you can sell GBP and buy Euros (and then reverse when you close out the trade), but that would be manual. If...

Heres some examples Buy option on DAX, cost euro 995, commision euros 5 translate into GBP at rate on day of purchase = £600 Sell option for euro 2000, commission euros 5 translate into GBP at rate on day of sale = £1100 Profit = £1100 - £600 = £500 Buy future on DAX, commission euros 5...

Doesn't matter where the contracts are you pay UK CGT. If you make more than the £11K ish allowance, then you pay tax, no matter where you are trading. Tax calculation for futures is: - acquisition cost translated to GBP when you buy/sell initially at the prevailing rate. Acquisiton cost would...

At the risk of reigniting the fire I also worked on the Barcap London exotics desk for 18 months, and we also traded vanilla swaptions (do we know each other?). This information might be out of date (early 2000's), and I also know that the exotic and vanilla desk used to be seperate (late...

Yes if you are classified as a non professional (which if your income is mainly from another source you almost certainly will be), you'll pay CGT on your equity exposure, and CGT on your hedge, or get relief as appropriate. Note that you can't 'mark to market' as an individual paying CGT. So...

It has clearly been a while since I checked my margin, or my memory isn't great. I'm currently using £127,000 of margin on a £400,000 account, or an average of 2.2% of the notional leveraged value of £5.9 million.

CG12310 (2) is less about box trades, and more about anti avoidance tactics (to stop my employer paying me in riskless share options, which I then pay CGT on). CFM50070.htm won't apply, since it's not like you are BA and selling oil futures because you've got to buy jet fuel next year.

Nah, still some good trends out there. Broadly the best trends in the last 12 months have been: - collapse in equity vol and rise in equities; until June - collapse in oil price (until December) - mammoth out performance of dollar, especially versus Euro. (this quarter) - rally in european...

I'm not a lawyer, but I've done some research on this. It's a capital gain, unless your trading is qualified as a 'business', in which case you'd pay income tax (you'd also be able to deduct trading related expenses from your income). How this qualification happens is a mystery, but possible...

Essentially what you have to do is start receiving ticks. Each tick could be an update to any part of the level 1 order book (bid / ask price or bid/ask size). So you need to keep track of what the state is of those 4 variables, and when they were last updated. I then track if the current market...

Trades Trades take 1 code contractid filled_datetime filledtrade filledprice 2965 AUD 201506 2015-03-13 02:08:15 1 0.7657 2967 AUSSTIR 201606 2015-03-13 02:52:08 2 97.9200 2970 BOBL 201506 2015-03-13 08:36:02 -1...

I think it depends on what you want the model for. Is it do risk management? Then a combination of EMH, brownian motion, if used correctly isn't a bad model and has the advantage of simplicity. Is it to predict the market? Well these models tell you can't predict the market, and shouldn't try...

Yesterdays trades Trades take 1 code contractid filled_datetime filledtrade filledprice 2950 AUD 201506 2015-03-12 08:18:01 1 0.7620 2945 AUS10 201506 2015-03-12 02:21:37 1 97.4575 2948 AUS3 201506 2015-03-12 03:20:18...

1. You can use the real time bars, though personally I get book data (make sure your ticks are close together and you aren't matching a stale bid with a recent offer or vice versa), this also gives you the option of rejecting a price if the spread is too wide. More on my blog (it's python I'm...

Todays trades code contractid filled_datetime filledtrade filledprice 2934 AUD 201506 2015-03-11 01:57:19 -1 0.7592 2940 BUND 201506 2015-03-11 14:47:33 1 158.6400 2939 CRUDE_W 201512 2015-03-11 14:25:55 -1...

This raises an interesting question. If a plan (or if you prefer a trading system) can't be written down, or explained to other people, or coded into computer language, is it really a plan? (I notice you put "plan" in quotation marks, so perhaps you agree) I'm not trying to start a war here...