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  1. F

    NxCore data feed on QUODD is unusable

    Well dividends and splits started on 1/31/19 but dividends paid in foreign currency are no longer converted to US $. Fortunately I collect foreign currency futures contracts. I was happy to spend 6 hours identifying them, accessing the Canadian dollar futures contract to obtain a conversion...
  2. F

    NxCore data feed on QUODD is unusable

    I've been told "We had a blowup this morning that affected many clients. Anything that was missing or incomplete is a symptom of that issue. The dev team has been working to fix the problem and everything will be functional again tonight after midnight." Maybe, but I've noticed a variety of...
  3. F

    NxCore data feed on QUODD is unusable

    Didn't you find switching to IQFeed a big job? I expect changing to a new api would take me weeks. I had been using NxCore/DTN for 11 years with virtually no problems.
  4. F

    NxCore data feed on QUODD is unusable

    I was switched from DTN to QUODD on 12/3/2018. That's when I realized a raft of necessary data was not provided. Most importantly this includes dividends, splits, and prior close adjusted for ex-dividends and splits. Today, 12/4/2018, the exchange a trade executed on was frequently missing...
  5. F

    IB is going to start charging a daily exposure fee

    Assume using margin to emulate exposure fee, a 10k acct and you are short 10000 super volatile stock like DRYS at 1. You are also long 10000 DRYS calls strike 1. IB thinks margin should be 5 for the short to cover possible extraordinary 1 day moves and zero for the call, for a total margin of...
  6. F

    IB is going to start charging a daily exposure fee

    Not really. Margin addresses an individual position's risk and is the same for all customers. The exposure fee addresses portfolio risk and is unique to each customer.
  7. F

    IB is going to start charging a daily exposure fee

    You are absolutely right. I had a brain fart. I've had a chance to look at the vix futures. The highest daily plus change was 29% on 2/28/2007, which would be a 58% change in UVXY. My data goes back to 4/7/2004, so it includes the financial crisis.
  8. F

    IB is going to start charging a daily exposure fee

    Actually I was wrong, UVXY is a 2x etf. But that's not relevant to an overnight double of VXX which would merely double UVXY. A 16% short position would then be 32%.
  9. F

    IB is going to start charging a daily exposure fee

    I've done some what if testing with the risk navigator. I have a large short position in UVXY which is a 3x etf of the vix. While the vix is a measure of volatility, there is a strong negative correlation to the market as a whole. The market goes up, vix/UVXY goes down and vice-versa. I am...
  10. F

    IB is going to start charging a daily exposure fee

    I talked to IB. They said my exposure is due to a short position in UVXY. The risk navigator doesn't show enough UVXY VAR (value at risk) to justify the exposure IB specified. If my longs are marked down 50% it would take a price increase of 3.63 in all my shorts to reach the exposure IB...
  11. F

    IB is going to start charging a daily exposure fee

    They are reviewing my account and are supposed to get back to me later this morning.
  12. F

    IB is going to start charging a daily exposure fee

    Thanks for the explanation, but I cannot see how this would cause an exposure fee in my case. You would need to write my long positions down to zero and my short positions up 67% to match the exposure IB quotes (the longs are ~80% of my margin usage, 74 positions total, none > 11% of account...
  13. F

    IB is going to start charging a daily exposure fee

    Apparently IB has been charging this fee for well over a year and have just now decided it applies to me. How that can be is beyond me. Perhaps there is a bug in their algorithm. The Risk Navigator shows my emini position has an "expected shortfall" of 2,539,296 on a long position of 15 Dec...
  14. F

    IB is going to start charging a daily exposure fee

    For my account to go negative the amount IB projected as the maximum daily exposure, all my long positions (~50 + sp emini futures) would have to go to zero and all my short positions go up 67%. All on the same day. I have no option positions. It is all stock and etf (some leveraged etfs.)
  15. F

    IB is going to start charging a daily exposure fee

    I just received an email that effective Oct 5 IB is going to start charging a daily exposure fee. Based on my current positions, I am subject to a fee even though I my excess liquidity is 58% of account value. My account sometimes reaches 0% excess liquidity. This is a significant charge...
  16. F

    Flaw in ARCA open logic nails me

    You obviously didn't read my initial post carefully or you would have seen that I was talking about their 9:30 auction.
  17. F

    Flaw in ARCA open logic nails me

    Arca support sent me the following notice posted 4/10/2015: · NYSE Arca Equities Enhancements to Auction Collars 02:10 pm, 2015-04-10 Market NYSE ARCA EQUITIES Beginning Monday, April 13, 2015, NYSE Arca Equities is implementing new parameters for all of its Auction Collar logic. The new...
  18. F

    Flaw in ARCA open logic nails me

    This is the tale of how ARCA can execute a market on open order more than 7% outside its own bid-ask. On 7/14/2015 my order to buy 600 CNXT, a Chinese index etf, executed at 51.48. The ARCA opening session runs between 9:29 and 9:30. Between 9:28:58 and 9:30 the ARCA ask ranged between 47.88...
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