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+1. These would be useful additions

I live in Europe and I was able to successfully simulate trading right after I updated trading permissions, so it's probably a US citizen restriction.

https://www.interactivebrokers.com/en/general/about/mediaRelations/8-6-24.php Crude Palm Oil Futures (FCPO) and FTSE Bursa Malaysia KLCI Futures (FKLI) are now available

There's a CPLEX Optimization Studio Free Edition, even though it has limitations (1000 variables/ contraints)

Rob, I'm curious about your beta portfolio: why the large risk overweight to stocks vs bonds? Is it tactical or strategic?

Yes, now they added the NSE contract and it has data, but it looks like it can't be traded. I was wondering if it was just me, since a few months ago Rob and Lore were talking about adding it to their instruments list...

Hi. Are you guys able to trade the new NIFTY50 future contract on NSE? TWS raises a trading permission issue, but I already have trading permissions for all available futures markets, so I can't figure out where the issue comes from.

Hi @cholo Would you mind sharing the python code with the buffering technique, when you find the time? I'd be interested in that. Thanks a lot.

Hi Rob, I was taking a look at your reports and saw you are currently long JPY. This was quite surprising, since I'd say all CTAs are currently short (trend and carry signals aligned) and, if I interpret the reports correctly, also your weight before dynamic optimization would be short (looks...

I guess it has to do with the fact that the future price is equal to the price of the cheapest to delivery eligible bond.

WTF are they doing? Are May contracts prices still shown based on the old multipliers? Update: now the prices look consistent again

I'm using 10.19.1k too, so the different behaviour doesn't depend on different builds

@newbunch 's code works for me. It probably shows trades and not midpoints but it doesn't raise an error

I use TWS as well. A few months ago I opened a ticket with IB because I couldn't get prices for European ETFs (for which I pay). Maybe to fix that issue they created a new one... The strange thing is that reqHistoricalData works if I set reqMarketDataType as 3 or 4. If I set it as 1 or 2 I get...

Your code seems to work for me, even if I don't have a data subscription: [BarData(date=datetime.datetime(2023, 2, 9, 2, 0), open=1248.6, high=1249.25, low=1247.65, close=1248.05, volume=-1.0, average=-1.0, barCount=-1), BarData(date=datetime.datetime(2023, 2, 9, 2, 5), open=1248.05...

That's the code I'm using: ib.reqMarketDataType(3) contract = Contract() contract = Future("K200M", "202303", "KSE") ib.qualifyContracts(contract) bars = ib.reqHistoricalData(contract, endDateTime='', durationStr='1 D', barSizeSetting='5 secs',whatToShow='TRADES', useRTH=True, formatDate=1)

Sorry for the OT, but I was hoping someone could help me on this. My understanding was that through IB's API it's possible to get historical price data only for instruments for which I have a paid data subscription. I also thought that, for instruments for which I don't pay, the only kind of...

About macro trends, I incorporate them as a signal in my trading strategy. I think the signals are intuitive, make economic sense, out of sample performance is quite good (see QGMIX good track record despite fees eating almost 0.20 of Sharpe ratio) and long term correlation with TF is high but...

You probably know about this, but here is an interesting paper on how to make use of short term signals without actually trading them https://www.aqr.com/Insights/Research/Journal-Article/To-Trade-or-Not-to-Trade-Informed-Trading-With-Short-Term-Signals-for-LongTerm-Investors

There were tons of lines in the sand (CHF peg to EUR, zero floor for oil prices or interest rates) that were violated even in the recent past. Personally, as a systematic trader I would stick to the rules.