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Liquidity on micro ether is still not great. $0.30 million of annualised risk a day (~800 contracts). Full fat Ether is $30m (~300 contracts, but they are big!), micro bitcoin is $1.3 million (Also ~800 contracts a day). Micro BTC is just about at the level where I'm happy to trade it. Costs...

I don't think it's public, but it's this index https://sgi.sgmarkets.com/en/index-details/TICKER:SGIDTES/ GAT

As a rule of thumb, in most markets: Multi year horizon: Mean reversion eg outperformance of value stocks Multi week to 1 year horizon: Momentum (Most CTAs play in this field) Multi day horizon: Mean reversion (stat arb) Multi hour horizon: Momentum (see the published work by Soc Gen quant...

And the mystery is solved - it's a game! https://priceonomics.com/jobs/puzzle/ "In this puzzle you'll be working in a market where prices are independent of supply and demand. Also, the currency exchange broker is a close friend of ours, so all trading costs are waived. Your job is to write a...

Here's a scrape of that page {"USD_JPY": "89.1429750", "USD_USD": "1.0000000", "JPY_EUR": "0.0085736", "BTC_USD": "126.7888830", "JPY_BTC": "0.0000916", "USD_EUR": "0.6768007", "EUR_USD": "1.2169689", "EUR_JPY": "124.6882453", "JPY_USD": "0.0110213", "BTC_BTC": "1.0000000", "EUR_BTC"...

I'm going to assume you are who you say you are, and aren't just trolling. I couldn't find any FX data on the website you mentioned which is a bit suspicous, and it's clearly just a load of marketing data mostly. Even the free prices you can get from google or yahoo, or a thousand other...

Exact link please

Where did you get this data from? It's clearly wrong. GAT

I don't recognise those figures but let's assume they are right The chart is the cumulative percentage return on my current capital. So 1.0 implies a 100% cumulated return. This wil be very similar, although not identical, to a log scale if I compounded my returns (which I do not, see below) I...

Try plotting the number of positions over time. Rob

Interesting. You obviously have quite a small portfolio, cash wise (sorry if that sounds patronising!). The spikes might be real, reflecting a relatively undiversified set of instruments. Obviously there's more concentration risk here than I'd be happy with, but then I suppose you'd probably get...

I think you are broadly correct. I think I my main misconception was the the UK FSCS only covered cash, whereas it actually covers cash and securities. Let's hope we never have to find out. Rob (Not a lawyer or a regulator)

Which instrument? @bone GAT

Barclays GAT

Weird. I build a seperate data table of expiry dates by contract. That's 'the truth' Then when I do a request of data for a specific contract, I pass the exact expiry date, so I know I'm getting the right thing. Rob

I don't bother... I'm not so desperate to trade Shekels that I'd go through the hassle of setting up CFD trading on my system. Also 1.5% would make them completely uneconomic even with a spread of zero. GAT

Oh I don't know. Last week 3 contracts of Shekel/USD futures were traded... Rob

Yes, but even in normal times spreads only show you what you are going to pay to trade if you aren't an excessively large part of the market. Consider an extreme situation where you spreads are tight as a gnats wotsit, but the volume is very low such that your trading would consitute 50% of the...

No costs are fine (around 0.2 SR units, actually slightly cheaper than the full size contract) I don't think it meets liquidity requirements, although it's pretty close (average daily volume in risk terms is about $1.4 million per day). Rob

I run a regular report to check if I should be trading full size or micros. rob@TradingPC2:~/pysystemtrade/sysproduction/linux/scripts$ . interactive_controls 0: Trade limits 1: Position limits 2: Trade control (override) 3: Broker client IDS 4: Process control and monitoring 5: Update...