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Thanks Kevin. GAT

Can't find this with google and I've long since forgotten. Does anyone remember what the hypothetical coupon on US 10 year futures used to be (now 6%) before 2000? Was it 8%? GAT

No, don't do this. Suppose your system wants to be long 2 contracts, and that is your actual position. There is a system glitch, and your position on IB goes to zero. So you buy 2 contracts. Then the glitch is cleared, and now you're long 4 contracts. So you sell 2 contracts. You get the...

There is no such thing as SPX_CASH. It's probably a CFD, or a spread bet. I'm talking about crypto wallets. Not sure if forex is as safe as the stock market, as you have counterparty risk to a bank or broker with some comingled account rather than electronic share certificates in your name, but...

The solution is to assume that you'll frequently lose IB connection, and then when it does you can live with it. My primary failsafe is a process that runs throughout the day and compares my position state with IB position state. If this fails (which could be a lost connection, or could...

https://www.nasdaq.com/articles/u.s.-natgas-steady-near-7-year-high-on-forecasts-for-continued-hot-weather-2021-09-10 "In addition, the premium of March 2022 futures over April 2022 NGH22-J22 rose to a record high this week. The market uses the March-April and October-November spreads to bet on...

15 years on, Amaranth version 2 has just happened. GAT

That's correct - if you remove them altogether you completely remove a source of risk premia from your overall portfolio: the ability to time equity and bonds. Demeaning removes the beta, which is a distinct source of premia, and which you can get elsewhere via ETFs. GAT

In this case it would make sense to demean your equity and bond markets, but not the other asset classes. Think of your futures portfolio without demeaning as being composed of equity/bond beta (due to the systematic bias in the mean forecast) and some other stuff (equity/bond timing, plus beta...

There are two seperate questions here. The first is whether you would like your forecasts to always have an expected value of zero. The second is whether you would like to have a nice distribution. Let's take an example of a slow momentum trend signal. On a market which has generally gone up...

What do you mean by trading 'indices'? So if you're trading S&P 500 for example, are you doing this with SPY, with an e-mini future, or with a CFD? Each of these has completely different trading costs. I don't trade 'spot' crypto (only futures), but I'd imagine they're extremely expensive to...

What do you mean by 'flexibility of time'? GAT

Bid/ask spread (slippage), commission, and interest rate margins on positions held overnight. GAT

Costs are more important than 'price action'. And retail forex tends to be obscenely expensive to trade. GAT

Sorry I don't know this language, but in my experience the only reason you might need a singleton is if you want to restrict the number of connections to the database so there's only a single one. If you don't need to do that, then it's probably creating hassle for yourself as @kmiklas says. GAT

OK thanks, but as you say it's code I'm not using anymore. GAT

So I'm back. Was going well then bit of a mare when stocks sold off, so now back to a ~4% drawdown. IB gateway giving me a weird message about SSL connections, hope that won't break IBC. System mostly stable whilst I was away (okay it was down for ~10 days because of internet issues, but then...

I shrug and move on.... I've discussed how relaxed I am about carry being 'wrong' already in the thread. GAT

I've seen these used as signals (eg in AHL from ~2008 to 2011 for a start): they're beloved of people who do regressions to fit signals, since it is a way of creating a non orthogonal set of RHS variables. But I can't get my head around the intuition of something that does something like look at...

... and that all assumes a stationary market process, eg no alpha degradation! GAT