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Watching FOMC presser yesterday and the initial 100bps drop in FF rates and 50pts rally in SPX after the words "will consider the lag and cumulative effects of rate hikes" was kind of telling. The pivot crowd is still faithful and recency bias is strong. The 10Y3M crew (10Y2Y doesn't count! real...

Yes, I only trade with EOD data. I don't have any algos with good enough SR to afford intraday trades.

It feels a bit odd that White House gives a heads up that CPI reading might be elevated. Are they trying to soften the blow if the CPI is indeed high, or play some psychology games (market rallies if CPI is actually 0.1% lower than expected)?

Please be careful with eoddata.com. I used their future data before. Many errors or simply missing chunks of data, even in ES. I asked the customer support and the answer was they don't have enough personnel to monitor/correct the data anymore... I cancelled right away. Currently using CSIdata...

yeah that's what I am doing. Just log the margin requirement of all instrument one by one via whatIfOrder() on an empty account, so I get the "raw" margin requirement. Better late than never.

Hope you are right. Mine switched to short (August) a couple of days ago, and it is going up ever since.

Sorry I should have been more clear. What I want is the margin charged by broker, not the one from CME/ICE, since brokers tend to charge extra margin on top.

Plots like these from this week's FED financial stability report (https://www.federalreserve.gov/publications/files/financial-stability-report-20220509.pdf) are nice. They quote the margin requirement from the exchanges. Does anyone know how to get similar data from brokers, like IBKR? other...

Thank you for the insight. The VIX ETF complex is really amazing. So much to learn

I like long M1/M2 spread at -1 or -2 during large drawdown/panics, and get out at 1.0 or 1.5 when fear subsides. Very negative skew but fun with only a few contracts. In this year's drawdowns, I feel like the spread is reluctant to go into negative. Like today, M1/M2 spread is only -0.1ish...

yeah surprised by the move today. but it does feel a bit toppy

ok, most of my strats hit exit in the past few days, only 1 Aug contract hanging on. It has been a good run.

Have been long a few contracts since $15 range, smooth ride to $24~$25. But it has been going sideways since mid-March. Wondering if it is going to turn soon. I am in Aug/Oct 22 contracts. No idea about fundamentals since I am just trending following with TA.

I should have been more clear on transaction cost. By double I only mean for a single transaction (two-leg spread) comparing to outright. For total transaction cost per year, I think it depends. I do fixed position sizing instead of vol targeting, because I don't think the simple model of taking...

Hi Rob, have you considered adding spreads into the system? My trend following portfolio has 30% made up of spreads, mostly calendar with a few inter-market ones (KE/ZW, ZN/ZB, GF/LE). The result is decent. Transaction costs double, and risk of breaking correlation is there. The reduced margin...

cotton has been very kind to me this year. last few days not so much. I am still long cocoa, not good today...

Monday was OK for me, basically flat (+0.1%), but Tuesday is worse, so far 1.5% down. A couple orders going out to scale back positions. Oil is unrelenting. I start to wonder if something bigger is going on, than just the new variant/accelerated taper talk.

I connect to US server.

For these MAC swap futures, IBKR seems to be forcing an aggressive rolling schedule. From the data the roll typically starts at 2nd week of the new quarter, roughly around 1st position day (settlement at mid month). But IBKR usually sends me notice of forced liquidation 10~14 days before that...

I have this problem for a long time. TWS/IB gateway randomly loses connection to servers, and just shows re-connecting. Sometimes it succeeds after a few times, but most of the time it fails. I have to shutdown TWS/gateway and wait for a while. I am on Ubuntu 20.04LTS, TWS 981.3d. At first I...