I checked my PROD OJ settings, IsCarryCtrNearer is true, so I guess I set it up based on the recent volume patterns..
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Just had my gateway blocked from trading. To unblock it I was required to fill in a questionnaire on the level of automation in my system - apparently to satisfy regulators who according to the survey may contact me. Is there some new sinister clampdown on automated futures trading at the retail level anyone is aware of? If so, as we are the forum for fully automated futures trading, presumably everyone here has been or might be affected to some degree.
Are you EU, UK or US based?
There is a MFID regulation around automated trading, it's been around for a few years but I guess they are enforcing it more now... not sure if the UK will do the same (have we found the one advantage of Brexit?!)... probably more of an issue if you trade through a limited company as then you are considered to be 'an investment firm'
Rob
Thanks Rob. Eu based currently but not a limited company.
I had to answer the same questions and trade within a limited company based in the EU. Seems to be MiFID related.
I had to fill in the same questionnaire. I am US based but trade US, European, and Asian futures, so it either it is not directly related to MiFID or MiFID applies to anyone trading European futures.
It is not limited to futures but to API-trading in general. Currently I am only trading stocks on US- and Australian exchanges (futures trading is not yet live) and had to fill out the form.
I also had to fill out that questionnaire. I'm European, living in SE Asia, and trading futures (worldwide) and ETFs based in the US. I'm a retail customer, not using an LLC. The questionnaire emphasized that automated trading should always be monitored. With "always" they mean 24/7. When you're a one-man operation they want to know how your automated trading is going to wake you up in case you're asleep and something goes wrong. They were hinting at audible warnings on your mobile phone (e.g. SMS messages). I'm not sure who is requiring this: is it an IB thing, or some government rule in a specific jurisdiction?
I am on TTU this week, please send questions today to info@toptradersunplugged.com
Please send loads - otherwise I have no idea what I can possibly talk about.
Rob
Please send loads - otherwise I have no idea what I can possibly talk about.
Rob
Hi Rob,
I have a question regarding Instrument Diversification Multiplier. A few weeks ago I increased the number of futures I trade to 120. I realized that with so many markets the IDM was always capped at 2.5 in my backtest, so I looked into it. If I allow negative correlations in the computation of IDM the values are usually between 4 and 6. I might be doing something wrong but I imagined that for you this raw IDM would be even higher, right?
If I limit IDM to 2.5 or so I will have a PL volatility much lower than my target vol (on average). For now I increased this limit.
As I imagined, increasing the IDM made the Risk overlay is much more active, and this has other implications.
I was just wondering if you had thought about all this once you increased the number of markets.
Thanks,
Luis
I have a question regarding Instrument Diversification Multiplier. A few weeks ago I increased the number of futures I trade to 120. I realized that with so many markets the IDM was always capped at 2.5 in my backtest, so I looked into it. If I allow negative correlations in the computation of IDM the values are usually between 4 and 6. I might be doing something wrong but I imagined that for you this raw IDM would be even higher, right?
If I limit IDM to 2.5 or so I will have a PL volatility much lower than my target vol (on average). For now I increased this limit.
As I imagined, increasing the IDM made the Risk overlay is much more active, and this has other implications.
I was just wondering if you had thought about all this once you increased the number of markets.
Thanks,
Luis