Fully automated futures trading

It's a hardware watchdog, it automatically (physically) reboots your computer if it freezes (e.g. if you're physically not around for a long time to do it yourself). Looks like crypto miners like to use them. (and I think Mars-rovers have them too - to reboot the thing if it freezes :) )
The basic idea is you have to keep sending "ping-commands" to it from a script running on your computer every x-minutes, indicating that your machine is still operational, and if the watchdog doesn't receive another signal before the configured timeout it PHYSICALLY resets your machine by connecting reset or power contacts using it's relay. So it has to be connected to USB for power and communication (sending these ping-notifications to it) and also to the reset (and optionally power) contacts on the motherboard (the same contacts that the physical reset and power buttons on the computer case are connected to internally).
You can also get creative with these ping notification scripts, so don't just send these ping-notifications to the device every x minute, but also check some important conditions on the machine and if they aren't satisfied anymore don't send the ping to the watchdog and it will reboot the machine. e.g. you can keep trying to access google and if the response didn't come, that means the machine lost internet connection and you might want to reboot it., that way you don't just control if the computer isn't frozen but also if it still has internet connection (or some other condition).. A software reboot in this case might be enough, but in some cases, e.g. if the machine is frozen solid, it has to be physically rebooted and that's what these devices do..
(I guess it can introduce another risk, like if the watchdog itself goes bananas and starts continuously rebooting your PC, but I hope they are simple and reliable enough..)

Oh okay that's interesting.

GAT
 
You've obviously considered this already and it's been talked about but alas, again, why not use a VPS?
I tried the solution you're using (although with an unstable connection) and it was a nightmare, although it worked most of the time. VPS has been a breeze though, I haven't had a single problem for over a year, although I'm sure it'll happen eventually.

My setup is: I have two accounts, one with a 2FA optout for trading (IbcAlpha to deal with drops) and a "full" account with banking that is used for discretionary trades when things go wrong and to monitor everything on top of the logs that the trading account already creates. The only downside is that both accounts require separate data subscriptions. Less my often terrible coding practices, it has worked exactly as expected.

Does IB Gateway need daily re-start/re-login or weekly?
 
Does IB Gateway need daily re-start/re-login or weekly?

Weekly but IBCAlpha avoids all that given you have opted out of 2FA.
Personally, I have automated restart via IBC daily (cron), to avoid memory leaks and other issues.
 
Weekly but IBCAlpha avoids all that given you have opted out of 2FA.
Personally, I have automated restart via IBC daily (cron), to avoid memory leaks and other issues.
Do you suggest any security measures when 2FA optout? IB sugests static IP with IP filtering + secondary username + SSL encryption. Anything else?
 
Do you suggest any security measures when 2FA optout? IB sugests static IP with IP filtering + secondary username + SSL encryption. Anything else?

One cool thing about their MFA optout is that you can't withdraw money using it. So an intruder is kinda stuck trading your account.

Re IB gateway - another option to automate is to put it in a docker container, configure health rule to a presence of a Java process inside and set auto restart if it dissapears. That's what I do.
 
@globalarbtrader

Rob, are you able to call up your realized sharpe ratio over the lifetime of running your system for each individual instrument?

I was wondering what the realized sharpe is for VIX particularly, since there is risk premium embedded in the term structure.

In the same vein I would expect bond and equity futures to have higher avg sharpe than commodity futures because some of the natural yield produced should be captured by your carry rules.

Just curious if this turned out to be the case over your trading timeframe or if performance of risk instruments are not very distinguishable from the commodities when trading with a momentum/carry framework.

Would appreciate input from some of you other systemic guys as well if you have data on this particularly through the last 5-10 years.
 
@globalarbtrader

Rob, are you able to call up your realized sharpe ratio over the lifetime of running your system for each individual instrument?

I was wondering what the realized sharpe is for VIX particularly, since there is risk premium embedded in the term structure.

In the same vein I would expect bond and equity futures to have higher avg sharpe than commodity futures because some of the natural yield produced should be captured by your carry rules.

Just curious if this turned out to be the case over your trading timeframe or if performance of risk instruments are not very distinguishable from the commodities when trading with a momentum/carry framework.

Would appreciate input from some of you other systemic guys as well if you have data on this particularly through the last 5-10 years.

Not easily and I'm not sure how valuable an exercise it would be. For starters, even with 40 years of data from a backtest, I don't see any statistically significant differences in performance between different instruments; so using a mere 7 years would be a total waste of time. Secondly, the returns in eg bond futures especially, would be heavily influenced by the long term secular upward trend in these instruments which are unlikely to be repeatable.

GAT
 
Not easily and I'm not sure how valuable an exercise it would be. For starters, even with 40 years of data from a backtest, I don't see any statistically significant differences in performance between different instruments; so using a mere 7 years would be a total waste of time. Secondly, the returns in eg bond futures especially, would be heavily influenced by the long term secular upward trend in these instruments which are unlikely to be repeatable.

GAT

Okay, thanks. That pretty much answers my question. Interesting that the backtest didn’t produce any noticeable difference between instruments. Since long bonds/equity (similarly short vol) has a moderately positive sharpe ratio vs. SR a lot closer to zero for constant one-way exposure to commodities I would have expected rules controlling portfolio volatility and reducing exposure to weakening momentum to enhance that differential further. Or even if TF rules added the same benefit to each asset class, the traditional assets should still be noticeably ahead.

I didn’t expect there to be no difference over a relatively long time period. Perhaps a lot of the avg returns from buy&hold risk asset portfolios come from mean-reversion or un-expected upside shocks that can’t reliably be forecasted in a systemic manner?
 
Okay, thanks. That pretty much answers my question. Interesting that the backtest didn’t produce any noticeable difference between instruments. Since long bonds/equity (similarly short vol) has a moderately positive sharpe ratio vs. SR a lot closer to zero for constant one-way exposure to commodities I would have expected rules controlling portfolio volatility and reducing exposure to weakening momentum to enhance that differential further. Or even if TF rules added the same benefit to each asset class, the traditional assets should still be noticeably ahead.

I didn’t expect there to be no difference over a relatively long time period. Perhaps a lot of the avg returns from buy&hold risk asset portfolios come from mean-reversion or un-expected upside shocks that can’t reliably be forecasted in a systemic manner?

I didn't say there was no noticeable difference, I said there was no statistically significant difference. Not the same thing at all; you need a massive Sharpe Ratio difference for statistical significance.

GAT
 
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