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Thinking about how to circumvent and overcome the problems and issues with the ultrashort ETFs, I think one solution might be as follows. Instead of using the "short-biased" game we have been using thus far (eg. ERY), we could, on the contrary, perform a scalping game on the long side only...

ERY continues its run downward, but shamefully does not allow to place short orders, thus in practice "locking" the "investment" into losses. So I have abandoned it and moved to ERX and CL: I have also added a few more structures to CL (a couple ones "defensive" and another one...

CL is trading all the time (apart a small interruption when here is about midnight) so it's pretty entertaining to watch. Since the net result of the combined PNL of the defensive structure was positive (about $300) I preferred to close it and open a new one: +2 put 61 (march 2015) -3 put 60...

Let's now take a look at the situation. The "option structures" I have put in place initially for ERY are the following: +15 call 25 (jan 2015) +50 put 30 (jan 2015) -50 put 24 (jan 2015) and this one for "scalping" purposes: +15 put 25 (jan 2015) -25 call 24 (jan 2015) which the next day I...

The setting for the StrongSDX override entry was as follows: .MinDistanceOutwardScalable = 5 .MinDistanceOutwardAbsolute = 5...

I just started trading a pair of instruments: ERY, DGAZ. The reason why I am starting with ERY is that it already has pulled away from its drift, so it is a suitable time to enter the game. We use the game called "Bias-", that is a scalping/hedging game which is supposed to be slightly biased...

The scalping activity of the application must be "protected" against all the sources of risk we have listed in the previous post. While the scalping engine is in part "self-protecting", as it uses player superposition to defend itself, it's action obviously covers only part of the story (at...

If you work with IB API, you receive that information in the tickOptionComputation event (https://www.interactivebrokers.com/en/software/api/apiguide/java/tickoptioncomputation.htm), along many other useful things (eg.: undPrice, delta, vega, theta, gamma, impliedVol, etc.). So if you are...

As a curiosity, note that when using a real $ account and a paper trading account at the same time from different machines, you can get the data only on one machine. For instance, logging for a few minutes in the real account from another machine, logging out and logging back in for some more...

Here it is: http://www.elitetrader.com/et/index.php?threads/automated-folio-trading-role-of-information-and-hedging.288287/

Ok I just started the app. Loaded a few ETFs, FUTs and even a few FX pairs, just to keep an eye on them. I converted the account to USD and Portfolio Margin is enabled. The initial situation is as follows: Acct update event last received from IB: Mon 08 Dec 2014 16:28:52:887 [ Mon 08 Dec...

Update after inquiry: it looks like it is not (currently) included in the contract details retrieved via API. Obviously, it's information that should instead be included. PS In theme of API improvements, also another very crucial piece of missing information in the API are the events informing...

As promised, here is a new test/discussion thread, which is a new step in our exploratory journey on trading and scalping/hedging methodologies. This time we will use the Portfolio margin method, as we have seen that the RegT in practice is not viable (and, of course, it does not make sense at...

Hi AItrader >I hope that you also contact IB to ask that they enable the missing margin regime even in the testing account It looks like that this is not possible currently. Imho, it is just wrong not to have the possibility to change the margin method unless you first deposit and maintain >...

This monster gap represents a major setback. The most annoying aspect is that it happened just after we had recovered ERY (we have gone straight from almost +50K back to -160K on a single layer of ERY, without the possibility to make a single hedging trade the way up). It has been undoubtedly...

End of the week. It started with almost no moves, and then suddenly we had some mild indication of move upward just before the holiday. Today, the day after the holiday (Thanksgiving) ERY opened with a monster gap (probably one of the largest in few years) and shooting up to 22. So we are back...

End of the week. ERY started gapping down to about 16, so bringing more profits for the 2 ERY layers, which currently are positive 26.6K and 8.5K respectively. Actually, the larger layer touched the nice peak of 37.5K today. Unfortunately, the move did not continue and we leave about 22.4K on...

For the first time today the two ERY layers returned to a positive PNL. (The instrument however is going down too slowly (still around 17) for our attempted "bet" on puts expiring tomorrow to work.) We have also over 510K "trapped" in "unclosed" buy players on ERY alone, (some of which might be...

Not much happening so far in the first 3 days of the week. ERY still around 18. At times I have reactivated TNA to allow some little activity.

Hi AITrader, thanks, that's a very interesting question. Actually, the DD phases are those where most of the technical improvements and and conceptual advances are made. Everyone is obviously able to close profitable trades, but the real question is how you deal with DDs, how do you hedge the...