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Greetings! A question for you on data and how to handle. I am deep in the muck trying to get the rolls code to successfully stitch together some adjusted prices using pysystemtrade. I gave up on quandl data and bought some historical contract price series from an Australian outfit called Premium...

GAT - question on market data subscriptions for you. Pysystemtrade contains IB market data access libraries, you trade futures Globally, which means many exchanges. When I look at the IB market data subscription page and add up the costs for all of the exchanges I think you would need to obtain...

I have to ask - why intraday data for the p&l engine? Would you use this to override your system in extreme circumstances? Or do you have some other use in mind?

Hi all - a question on historical market data. After CME took their historical data off quandl, I have been searching for an alternative source (IB only keep 2 years etc). I also notice that the data that used to be on quandl has some "imperfections" (read: large gaps which throw the rolls code...

How did you build your history of data? I have not explored the IB API too deeply but as far as I can make out the history call reqHistoricalData stops returning data after the contract expires. Maybe I am doing something wrong since the docs say "older than two years counting from the future's...

Sooo. I was in the process of utilizing the pysystemtrade sysdata model to collect historical data from Quandl, store in Arctic etc etc, and I *think* that all of the CME data has just disappeared from the Quandl platform. I guess I shouldn't be surprised given the acquisition by a rival...

Hi - do you have any recommendations for reading on the topic of trading options?

I was using the codes configured out of the box in pysystemtrade e.g. "CURRFX/EURUSD". The series seem to stop at 2/28/2018 and there now seems to be a charge for them which is high (higher than GAT would approve of paying). You are right there do seem to be other series available also on quandl...

Question for the general audience: I see that Quandl have stopped providing FX prices up to the current day. What are people doing for FX prices, what sources are people going to, and is anyone importing them into this upgraded data component?

Hi Isotope1 - I am intrigued by your improvement of backtest from 10 mins to 20 seconds. How did you use the ProcessPollExecutor to achieve this (what were you putting in concurrent threads?) Also what do you mean when you say "vectorize everything", and did that also contribute to your...

How frequently would you suggest doing this - daily? weekly? (have you ever looked in to this?)

I think it may already exist (and maybe I should have posted the question there instead...) https://www.elitetrader.com/et/threads/oh-no-not-another-python-backtester.296589/page-5#post-4440782

Question for the people on this forum who are trading: what are some of the approaches you have taken to build upon PySystemTrade and take it to a point where you have a fully automated trading system? E.g. Built my own code around price collection and trade execution e.g. Took outputs of...

Hi Rob - what is the event that you will be covering this, in April?

Hi GAT - question on your intra day trading: I am assuming that you do this in order to not get left behind during large and fast moves i.e. not let your positions get too far out of whack from target. However, I am also guessing that with large intraday whiplash moves (flash crash, Brexit etc)...

Hi - I have a question on the cut in your position in this scenario. During the first drop of 300 points, you state you system will cut your position massively: how quickly will it achieve this? I assume the EWMAC rules of 30, 60, 120 days that you run are the ones which will respond to a move...

Thanks for your reply - I re-read chapter 13 :D On a separate topic I am interested in how you chose your approach to implementing your system. You seem to have been truly DIY and built nearly everything yourself. Did you ever look closely at the Ninja Traders and Trade Stations of this world...

Hi GAT I have read your book, (some of) your blog plus this thread - you have written a lot of very interesting material. I am interested to understand more about your perspective on the use of stops. I recollect that you are ambivalent towards using stops, and as far as I can make out, you do...