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Ah, now there is a story. Pull up a chair, maybe make yourself a nice cup of tea or coffee and get comfortable. Way..... back in the late 1980's one of the pranks I used to play on my friends was creating a boot disk (we're talking 5.25 inch floppies here, young un's) that installed a simple...

Yes... GAT

Yes, we were supposed to hedge our delta with the internal swaps desk. Every now and then we'd trade outside, just to keep them honest... GAT

Tens of millions, I don't remember the exact figure (although if we're being pendantic, it was an error by someone I was supervising. I don't make mistakes :-) ) At the fund where I used to work we had a policy that any errors we made would be for the customers benefit, but the management...

I wouldn't be breaking the law, they would. And if something went wrong, I'd have zero legal recourse. GAT

They have to be UK regulated, I don't care where they are actually based. Interactive brokers is UK regulated, but of course they are also a US company. A broker who is operating in the UK without being regulated would be breaking the law. For obvious reasons, I wouldn't want to go anywhere...

... because I live in the UK? GAT

Sorry to be clear I want actual futures not spreadbets or CFDs GAT

So for obvious reasons, can anyone recommend a UK regulated broker which offers futures and an API, and doesn't have the initials "I" and "B" in their name. GAT

Yes, I've been doing the NUC / mintbox route up until now as well. Not because I used a UPS, but because for a while I didn't want my wife to ask akward questions about why a computer needs to be on the whole time. Those little mintboxes can be secreted under desks and are so quiet you barely...

I guess the difference between a garden house and a PC is that if something doesn't quite fit you just hit it harder :-) And if something isn't quite right you can usually live with it; it doesn't result in a screen full of BIOS errors... It's funny because I've sort of toyed with the self...

No, that was deliberate. When someone has to go on CNN and claim there has been a 10 standard deviation event, is that because (a) there really has been a 10 standard deviation event [unlikely, there are too many of those to go around], (b) the distribution is non normal, or (c) because the...

Hmmm. I don't agree. I expect I haven't explained myself properly. Consider Gaussian returns with mean zero over 10 years. In the first 5 years the standard deviation is 20%. Then it falls to 10%. The resulting total distribution will be fat tailed, with a standard deviation of 15%. Now divide...

On stationarity, firstly what works is to transform your prices in some way to make them stationary. I risk adjust everything, which makes everything a lot more stationary, and means you can fit things across regimes and pool data across instruments. It also means that non Gaussian price...

I almost forgot, I've been rationalising my computer setup and this is very exciting. As you may know I have a bit of a computer buying habit, so as well as one laptop per person, and a desktop, there are another four machines that sit in my homemade trading rack although only one of them is...

People don't generally use off the shelf stuff at all, as I wrote about here. GAT

Well it's been a while since I've given you an update on what I'm up to. I won't discuss performance in too much detail, as I'll probably try and give you a few figures at the end of the year (plus my normal massive blogpost for the UK tax year ending in April). Fundseeder, which wasn't...

Well it depends on your holding period. A good rule of thumb is to use a lookback equal to your holding period. So, for example, I use daily data. and my average holding period is about a month. So I use the last 30 days of returns to forecast standard deviation. Shorter and longer periods tend...

They fixed the IB issue a couple of days ago, which I believe was due to an API change at the IB end, but I agree it was annoying for a while. I'm not seeking capital, on any platform. Please don't send me any money. GAT

Nothing to add, there is a bit of extra functionality. I can't comment on whether the onboarding process has improved, maybe someone who has joined more recently can chip in. No I'm not looking for OPM, and I was obviously gutted not to appear in Jack's latest book but then I guess I'm not that...