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Starting a new day here, while yesterday we experienced some DD. It was mostly imputable to SIZ5 and NKDZ5. This is no big surprise, has we have already anticipated that this instrument, with its crazy volatility and moves, and relatively large multiplier, is going to challenge us. The DD was...

Not much happening up to this new Monday morning, just 6 more fill. In the meantime the broker has ready the "statement" for the period up to Friday and we can see their report of the trades too (attached below) from its point of view. Clearly, looking at the trades on the broker report, it...

I came back just to see the last ticks of the session. Another week is gone. We have been trading for 24.3 solar days, current maint. margin is around $38.K (max maint. margin ever seen around $67K). We have executed 281 lmt orders with $678.39 comms. PNL created is currently $34.4K (min PNL...

Wow. I am going to leave for several hours, but I can't help sharing the spectacular fall on the new YM layers I am looking at, just after 3 hours running: also CL and SI have spiked crazily:

We have been using a very small portion of the $$$ in the account so far (current maint. margin is just $36K). To use a bit more, I am going to increase the "packet size" of CLX5 to 2 contracts, and also add new layers for YM (so, in practice nearly "replicating" ES, due to the very high...

Not much happening tonight. Just 3 fills and no significant changes in our situation. To entertain ourselves, we can take a look at the orders executed on the (currently) most profitable layer ESZ5 (before we have seen CLX5), to see the result of the automated scalping action: Here we have 21...

Today we had again some DD, but nothing worrying. It's mostly NGZ5 which is pulling down and the agricultural stuff. On the other hand CL has been hedging with some gain. This time, however, the DD resulted in a marked improvement of the G-L which is shooting at level $53K (this is due to the...

As I see it, TA is just a specialized form of "descriptive statistics": https://en.wikipedia.org/wiki/Descriptive_statistics There is obviously nothing wrong in making such quantifications, just as it makes perfect sense to compute other descriptive statistics. The issue arises when you wish...

This morning the situation is looking particularly good, with PNL pulled up to $30K. During the night apparently the program has been working, and the fills have gone from 206 (last night) to 216 (right now.) Current maint. margin usage is about $45K. Almost 23 solar days of trading, comms...

Today we had pretty wild swings of the PNL (I wasn't here to watch them), with fluctuations from $30K to $23K. These were mostly caused by NG, ES, NQ and the agricultural stuff. Apparently, we did not get hurt too much after all: we remain with $25K PNL, and the G-L has raised to $47K. Current...

You must not rely on the account updates for automated trading. There are several reason why that is not advisable nor it is a general approach (for now just trust the statement :) and let's not dig on all the reasons). As already suggested, the way to do that is to keep the information about...

I would ask instead the opposite question. How would you handle trading, if the API weren't asynchronous ? ;)

I am adding another 2 (long/short) layers of a new instrument ZM FUT 201512 ECBOT 100 Soybean Meal Futures [ ZM DEC 15 ] The first ("long") layer almost immediately shot a long player. The other one ("short" layer) is still just quietly collecting and...

Another fine looking morning. It appears that the application has been busy during the night (we have now 177 fills in total, and paid $431.16 comms): So far, scalping and "bounding" the unrealized (that would be the "gap" between the G-L and the PNL in the bottom picture) through superposed...

To gain some more insight in the current scalping/hedging action, we might take a look at the orders placed on the (currently) most favorable layer, which is one of the layers of CLX5. This layer is showing a total of 17 fills (made in 11 days). So, 8 players completed their "life cycle"...

Finally back after a busy day, at least I find the application has been working fine, hedging well the moves. The "newcomer" NQZ5 has been doing some profits too with the initial 2 layers, while ESZ5 is leading along with NKDZ5 and SIZ5 (it was started first anyway) due to a large number of...

This morning, we got some DD, mostly due to ES going down and having mostly long players open. I am noticing here some little issue with the hedging mechanism, due to to the small size of the positions. In particular, since we size the hedging orders as a fraction of the opposite-side open...

Nice morning. I just added 2 layers for NGZ5 (Henry Hub Natural Gas). A layer was already under watch so we just "clone" it with tickdata and set the (long/short) position constraints: PNL curve still looking great: Remember that whenever you are fearing gaps during weekend or holidays...

We end our second week of trading with a remarkably good performance. Obviously, it's way too early for this to mean anything, but anyway I have a general good feeling about this approach and the fact that several sources of problems experienced in the past have been at least identified and...

Now, since the two ZW layers have taken both the same sign position, I will add another ZW layer, this time with a "stricter" form of long only constraint (it is not allowed to turn negative due to buy player close). The layer shown on top has taken a "scalp" and therefore since it also had a...