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This is the bees knees https://harriman-house.com/systematic-trading

never a dull moment with IB!

With barchart.com I have been quotes 500usd/month for the on demand API. Presumably that's not what you are using is it?

What goes into the timing of trading per markets? I observe the volatility of most futures explodes around the US stock market open - have you ever tested impact of targeting before / after US open? Or perhaps as @wopr states maybe a heuristic rule executing when we see lowest spread within a...

I know you like to roll your own, but this is pretty nice https://github.com/quantopian/pyfolio/blob/4b901f6d73aa02ceb6d04b7d83502e5c6f2e81aa/pyfolio/plotting.py#L143 sns.heatmap( monthly_ret_table.fillna(0) * 100.0, annot=True, annot_kws={"size": 9}...

I think this would've saved me yesterday, going to experiment with something similar. Although it probably would've prevent the initial opening of my Silver long which went completely in my face. I realised I had too risk on by holding the contract when the account madly increased on Tuesday...

What are your scores today Rob? I'm having the mythical 5%'er, at least until the Silver surfer gives it all back.

It's a wild ride following the DO signals, the instance that I'm running can't shake off a love of Japanese equity and today it had me shorting e-mini nat gas (OG) which I did with reservations. Computer says yes!

@emretezel any updates on this? I'm a buyer.

surfin' on sine waves

I'm jealous of these positions, the DO i'm running has me in SMI (Swiss bluechip index), some Japenese equity indices, MXP and thankfully oil. Down around %4 over the past ten days.

Well, I think you guys jinxed it! I'm being killed by energy markets today.

Please let me know which one you choose as I anticipate a similar decision in the near future, thanks!

Do you need the splits and spinoff data as well?

Sorry ignore that, seems the IB data API is still booting up on Sunday afternoon :confused:

I wonder how you have setup TSEMOTHR, I'm not seeing any prices for the June expiry which should be being used as the carry contract

Interesting how you don't have BBCOM, rolling up your risk from broader commodities exposure perhaps.

The above backtest was run with a 150k notional, I'm double checking the universe of instruments as perhaps there was missing data which caused a lack of position.

Hi Rob, Inspired by your position in the Mothers Index as revealed on a recent podcast I got the dynamic optimisation running locally. My dataset is a bit rough in places, the code to robustly download hourly prices for 120 markets using IBs API is a test of nerve and patience. These are my...

Hello all, I'm building a historical archive of hourly data from IBs API and just noticed that a subsequent download of the same contract yields differently values bars, I'm saving down the contract details with each request so I'm use that it requested the same future, but looks like it spat...