Fully automated futures trading

[globalarbtrader]

Today IB sent me several bid\ask prices of "1" for BTP 2021-09 and 2021-12 contracts. Not all prices for them are coming like this, I see about 20 messages in the system's log. The actual current price for these contracts is around 152. I guess nothing too unusual, but haven't seen this particular one before .
My system generates a warning when RT price deviates by more than 9 sigma from last EOD and I throw the price away if it's different by more than 12 sigma..

I do something similar; any price change greater than 8 sigma has to be checked manually before going in the Db. And yes, I've seen the '1' price before, although not for a few years. And as it happens I got a lot of price 8 sigma triggers yesterday, which may well have been due to this issue (though historical prices, not streaming prices).

GAT

 

[wopr]

So, how's everybody enjoying this reversal in commodities?
It's been a good run I say...

 

[Kernfusion]

So, how's everybody enjoying this reversal in commodities?
It's been a good run I say...

uff, yesterday was brutal, and looks like it's not over yet Is it something that Powell said yesterday ?

 

[newbunch]

So, how's everybody enjoying this reversal in commodities?
It's been a good run I say...

Yesterday and today have been tough, but nothing unusual in terms of drawdown.

My system placed some trades this morning. So far, some of those look like they've saved me some money and the others have lost. About a wash.

NB While trend is a major component of my trading system, I have other things in there.

 

[globalarbtrader]

Yeah my p&l didn't update yesterday not sure why. But from 7pm on Wednesday to 1am this morning I was down 4.6%. Probably one of my biggest losing days.

GAT

 

[HobbyTrading]

So, how's everybody enjoying this reversal in commodities?
It's been a good run I say...

One of those "not nice" days. On top of that my program was not able to reduce the lean hogs (HE) position size: trading had halted as limit down was reached. Hopefully the damage will not be too large when the position gets resized on the following trading day. We'll see. That's the risk when you, like me, resize a position only once per day, near the end of the trading day.

 

[wopr]

Yeah my p&l didn't update yesterday not sure why.

I can imagine the digital conversation between various components of pysystemtrade:
- (position sizing) Bollocks! Lads, we can't let Rob see the shite we got ourselves into! He'll replace us with that short-term mean reversion bloke over there!
- (execution) Oi forecast, I told you 20 is too much for soybeans! Nobody cares about carry when that wanker Powell says there's inflation!
- (accounting) Aight boys, I got this one, I just won't do bugger all, he won't see the mess.

(I've spent all of 3 days of my life in the UK, this is the best I can do for accent )

But from 7pm on Wednesday to 1am this morning I was down 4.6%

Same here, about 4.5% down yesterday (Thursday).
I also try to look at this from the positive side - I only had 1 soybeans and 1 corn contracts on. Few months back I had 4 and 6. Which is to say, I'm grateful that the position was scaled down because of volatility. Rob I know this is an endless battle you have with the folks on the podcast, I'm one more datapoint for your position

One of those "not nice" days. On top of that my program was not able to reduce the lean hogs (HE) position size: trading had halted as limit down was reached.

Hah, interesting to see the other perspective. I was actually happy that we reached limit down, because it couldn't go down even more I run orders on the next day open, so I'll do my lean hogs adjustment now.

 

[globalarbtrader]

I can imagine the digital conversation between various components of pysystemtrade:
- (position sizing) Bollocks! Lads, we can't let Rob see the shite we got ourselves into! He'll replace us with that short-term mean reversion bloke over there!
- (execution) Oi forecast, I told you 20 is too much for soybeans! Nobody cares about carry when that wanker Powell says there's inflation!
- (accounting) Aight boys, I got this one, I just won't do bugger all, he won't see the mess.

(I've spent all of 3 days of my life in the UK, this is the best I can do for accent )

Ha! This is definitely the funniest post on this thread!

GAT

 

[newbunch]

Now that the commodities, especially the grains, are rallying back, the question is how many people got stopped out or had signal reversals only to see those commodities rally so strongly today? That happened to me in some but not all of my instruments.

 

[Kernfusion]

Now that the commodities, especially the grains, are rallying back, the question is how many people got stopped out or had signal reversals only to see those commodities rally so strongly today? That happened to me in some but not all of my instruments.

my system sold the last contract of soybeans at the exact bottom yesterday, but it held onto 1 corn (the target position went to 0.5356 which still rounded to 1) and only sold it today after capturing some of the rebound. Didn't check the others..
Soybeans:

corn: