Fully automated futures trading

Elder said:
I am finding if I restart the server after the daily reset times(a few minutes during the 0445 -0545 window - UK time), Gateway is pretty stable. However if I let it run overnight, the reconnect does NOT always survive the resets (1100 errorcode is not always followed by 1102) and I am build a try/except script to handle the error and restart Gateway using IB Controller.

I guess from your response, GAT, you have not experienced any disconnection issues in your live trading, which is interesting. Just speculating, could it be because you use cronjobs to restart the servers prior to commencing your daily trading sessions, and this occurs well after the reset time?
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No I don't restart the Gateway daily (which I can't do with cron as I have fancy 2 factor authentication on my account), just the 'client' python sessions. They all restart at around 5am UK time to trade Korea.

GAT
 
Elder said:
I guess from your response, GAT, you have not experienced any disconnection issues in your live trading, which is interesting. Just speculating, could it be because you use cronjobs to restart the Gateway prior to commencing your daily trading sessions, and this occurs well after the reset time?
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For what it is worth: I start Gateway on Sunday evening and keep it running until the following Saturday morning. There are no restarts or whatever during that five day period. I have no disconnection issues in my trading system.
My software implementation is such that it runs a review several times during any 24 hour period. There is no review when IB has their daily server reset. At each of these reviews it first connects to IB, then runs the review, and at the end disconnects. In other words: my software is not 24 hours per day connected to IB. And it only requests market price data during those short review periods, not permanently.
 
globalarbtrader said:
No I don't restart the Gateway daily (which I can't do with cron as I have fancy 2 factor authentication on my account), just the 'client' python sessions. They all restart at around 5am UK time to trade Korea.

GAT
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HobbyTrading said:
For what it is worth: I start Gateway on Sunday evening and keep it running until the following Saturday morning. There are no restarts or whatever during that five day period. I have no disconnection issues in my trading system.
My software implementation is such that it runs a review several times during any 24 hour period. There is no review when IB has their daily server reset. At each of these reviews it first connects to IB, then runs the review, and at the end disconnects. In other words: my software is not 24 hours per day connected to IB. And it only requests market price data during those short review periods, not permanently.
More...

Ok thanks for the response guys. Just checked again this morning. I got the 1100/1102 error codes showing the resets, which would indicate all is good to go but all my calls to IB servers were hanging/timing out again, even though the client seems to be connected, and new connected clients returned no data until I manually rebooted Gateway again. This does suggest the Gateway connection to IB servers did not survive the reset again. Based on the sample of two (very important two!) I guess the problem may well be at my end, although it is turning out to be a real bugger to solve. I should add I am still paper trading, as I need to get a handle on issues such as these. I am currently using Gateway v970, - wondering it you are using the same version?
 
Hey everyone,
Hope you've all been trading well!
I had a question regarding the opening and closing prices listed at most data providers. Take e.g., quandl and the soybean futures data. On https://www.cmegroup.com/trading-hours.html I see that the trading hours for soybean futures during the week are:
19:00-7:45
08:30-13:20
When I look at the OPEN price for a given day, is that the 19:00 CET print and the CLOSE price the 13:20 CET print? And is the opening price on Mondays the 16:00 Sunday CET print?
I need to understand the specific time that the open and close is for a given futures market...
Thanks!
 
AvantGarde said:
When I look at the OPEN price for a given day, is that the 19:00 CET print and the CLOSE price the 13:20 CET print?
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I am not sure what the official OPEN price is because I don't use it. You are correct that 13:20 is the official CLOSE price. By the way: the time zone is not CET (Central European Time), but ET (New York time zone).
 
Hope everyone is surviving the current turmoil.

I'm currently looking something like this:
  • 16.1% drawdown,
  • calendar YTD performance -4.9%,
  • fiscal YTD performance that I normally look at +2.4%,
  • total performance 101.1%

If you're based in the SE of the UK I'm speaking at 3 events over the next few months:

  • Speaking at the Quant news Fall Algo event, 17th October 2018
  • I've been invited again to speak at the Thalesians, 21st November 2018
  • Planning to speak at a Python conference in January 2019 (Details to follow)

GAT
 
globalarbtrader said:
Hope everyone is surviving the current turmoil.

I'm currently looking something like this:
  • 16.1% drawdown,
  • calendar YTD performance -4.9%,
  • fiscal YTD performance that I normally look at +2.4%,
  • total performance 101.1%
More...
Similar to you am I experiencing a drawdown of approximately 16%, caused by the turmoil of this week. What do you mean by "total performance 101.1%"?

The trick is now to not start "tweaking settings" and making things worse. Suppressing the urge to make changes.
 
HobbyTrading said:
Similar to you am I experiencing a drawdown of approximately 16%, caused by the turmoil of this week. What do you mean by "total performance 101.1%"?

The trick is now to not start "tweaking settings" and making things worse. Suppressing the urge to make changes.
More...

Performance since I started trading, April 2014.

Keep the faith :-)

GAT
 
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