Fully automated futures trading

Which rollover regime do you guys use for MBT (Micro Bitcoin) - monthly or every second month? Liquidity is higher if you rollover every month, but commissions also add up over time (0.1% at IB).
 
for MBT I do monthly rolls between 10th and 15th.
Btw, does anyone know if anything happened to 'N1U' '10-Year Deliverable Interest Rate Swap Futures' ? I'm unable to retrieve prices for September anymore, was it delisted or something?
 
Kernfusion said:
for MBT I do monthly rolls between 10th and 15th.
Btw, does anyone know if anything happened to 'N1U' '10-Year Deliverable Interest Rate Swap Futures' ? I'm unable to retrieve prices for September anymore, was it delisted or something?
More...

I have the same problem with the 5 year, F1U.

They've gone from CME. This is because LIBOR is no more - it's not just Eurodollar that's died. Looks like the replacements aren't yet super liquid:

https://www.cmegroup.com/trading/interest-rates/swap-futures.html

Rob
 
lore said:
Are PST users just putting USIRS5 and USIRS10 in stale instruments and redoing IWs?

Would it be useful to add the new instruments or are they too thinly traded? There’s no way to use old data like with the EDOLLAR to SOFR transition, correct?
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Not without a swap pricing engine and a lot more data.

Rob
 
Guys, what would be the proper way to set up pyenv in Ubuntu based systems for pysystemtrade? (Please correct me if there is better thread for install related questions.) I'm trying to build a new pysystemtrade setup on Mint 20.3 and it seems that adding the following three lines in ~/.bashrc and ~/.profile breaks the scripts:

export PYENV_ROOT="$HOME/.pyenv"
command -v pyenv >/dev/null || export PATH="$PYENV_ROOT/bin:$PATH"
eval "$(pyenv init -)"

$ ./sysproduction/linux/scripts/update_fx_prices
/home/alpha/.profile: line 15: include: command not found
/home/alpha/.profile: line 15: include: command not found
Traceback (most recent call last):
File "/home/alpha/pysystemtrade/sysproduction/linux/scripts/run.py", line 12, in <module>
from syscore.interactive.run_functions import (
ModuleNotFoundError: No module named 'syscore'
 
Last edited:
jiikoo said:
Guys, what would be the proper way to set up pyenv in Ubuntu based systems for pysystemtrade? (Please correct me if there is better thread for install related questions.) I'm trying to build a new pysystemtrade setup on Mint 20.3 and it seems that adding the following three lines in ~/.bashrc and ~/.profile breaks the scripts:

export PYENV_ROOT="$HOME/.pyenv"
command -v pyenv >/dev/null || export PATH="$PYENV_ROOT/bin:$PATH"
eval "$(pyenv init -)"

$ ./sysproduction/linux/scripts/update_fx_prices
/home/alpha/.profile: line 15: include: command not found
/home/alpha/.profile: line 15: include: command not found
Traceback (most recent call last):
File "/home/alpha/pysystemtrade/sysproduction/linux/scripts/run.py", line 12, in <module>
from syscore.interactive.run_functions import (
ModuleNotFoundError: No module named 'syscore'
More...
Probably better to ask on the pst issues github.com

Rob
 
Hello all. A question for those who have either reclassified as a MIFID professional as opposed to retail client (or have researched it). I am thinking of finally making the change so I can trade many of the US ETFs which come without KIIDs. Apart from the loss of protection and retail compensation (which in Ireland is piddly 20K), is there anything else anyone else has encountered that will make this change better or worse wrt automated futures trading? e.g. execution or leverage?
 
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