Fully automated futures trading

[Elder]

It is a big process (and the other gotcha is the pain of running multiple IB logins) ... and the question is what value will you get from it?



You're very welcome.

In other news, if anyone is interested (I don't track it myself, preferring the tax year measure of performance) here are my scores for 2018:

I lost 3.1%, of which about 2.1% was from futures trading, and the rest from my stock + hedge. It's my first loss for a calendar year, which is irritating but was bound to happen. I'm up 4.5% since the end of the tax year, so hopefully I will maintain my record of not losing money in any tax years (in aggregate; I've lost money trading futures in the last 2 tax years). Incidentally in just futures trading I'm up over 7% in this tax year.

Final numbers aren't in for most funds, but AHL diversity GBP was down 2.2% at year end (this has a lower vol target, so I'd be outperforming here), SG CTA index was down 3% (again much lower vol than me), Barclay CTA down 3.1%, and other numbers are much worse; Aspect down ~10%, ISAM down ~20%. Winton appear to have made a little money ~+2%, but as is well known their programme hardly contains any trend following nowadays.

Another data point is that global equities were down 12%. Is losing less than equities diversification?

Anyway my 2018 wasn't great - I guess it was the same for most trend followers, although I'm not a pure trend follower so using this as an excuse is a bit lame. Here's hoping 2019 will be better.

GAT

PS I'm flat USDJPY so wasn't affected this morning. Thanks for asking

GAT, you are right. Having given this further thought, I have concluded that the benefit of merely getting extra marginal data does not justify the effort of setting up the dual accounts. However, there is a use case for testing new trading code (either because I want to, or have to, upgrade due to API changes on dependencies). I currently see two possible solutions - open a new, separate account and test with a limited set of instruments so I can keep the data charges down or test it on all instruments in the paper version of a dual account. The latter would be more thorough of course but a pain to set up as you point out. Perhaps there is a third alternative, I haven't thought of?

BTW, Dunn was down ~22% as of November, and am awaiting Dec numbers (I invested in them as I wanted to be long the space whilst I got my own system up, lucky me). So if it is the case that your returns diversify a long global equities portfolio, arguably they might diversify a TF position far more

 

[HobbyTrading]

... or test it on all instruments in the paper version of a dual account. The latter would be more thorough of course but a pain to set up as you point out.

Maybe I'm missing something, but why is it "a pain" to run a live system and a paper system in parallel?

 

[Elder]

Maybe I'm missing something, but why is it "a pain" to run a live system and a paper system in parallel?

Seems like a big effort to set up. You are duplicating everything so imho you have to be extra careful one doesn't collide with the other. Sounds like you are running live and paper in parallel yourself?

 

[HobbyTrading]

I am not using a paper trading account. I have one IB user logon and in this user account do I have multiple Uxxx accounts (IB calls these "linked accounts"). I have multiple trading strategies running on multiple accounts. The managed futures strategy, based on GATs first book, is one of these strategies. In order to run these have I one instance of IB's Gateway running. It would be able to handle multiple connections in parallel (up to 32 if I'm not mistaken), but in my case are all actions done sequentially.
Some of my trading strategies share the same data (or if it were the same strategy but used on multiple Uxxx accounts). In those cases have I set up the software such that it first checks how "fresh" the available data is. If it is considered stale, will new data be collected, otherwise will the available data be used. And each of my strategies uses the account number (Uxxx) as input parameter, meaning that I can run the same strategy for multiple accounts.

 

[Elder]

I am not using a paper trading account. I have one IB user logon and in this user account do I have multiple Uxxx accounts (IB calls these "linked accounts"). I have multiple trading strategies running on multiple accounts. The managed futures strategy, based on GATs first book, is one of these strategies. In order to run these have I one instance of IB's Gateway running. It would be able to handle multiple connections in parallel (up to 32 if I'm not mistaken), but in my case are all actions done sequentially.
Some of my trading strategies share the same data (or if it were the same strategy but used on multiple Uxxx accounts). In those cases have I set up the software such that it first checks how "fresh" the available data is. If it is considered stale, will new data be collected, otherwise will the available data be used. And each of my strategies uses the account number (Uxxx) as input parameter, meaning that I can run the same strategy for multiple accounts.

OK I see. In order to run paper and live account in parallel, you actually need 2 gateway instances with separate logons and configurations. 32 clients of your live (or paper) system will connect to a single instance. The issue is paper accounts are useful for testing risk, including operational risk before going live, but to test a dual set up you already have to be live (you can't test a dual account with two paper accounts from a single IP address sharing the same data as far as I know).

 

[fan27]

GAT, you are right. Having given this further thought, I have concluded that the benefit of merely getting extra marginal data does not justify the effort of setting up the dual accounts. However, there is a use case for testing new trading code (either because I want to, or have to, upgrade due to API changes on dependencies). I currently see two possible solutions - open a new, separate account and test with a limited set of instruments so I can keep the data charges down or test it on all instruments in the paper version of a dual account. The latter would be more thorough of course but a pain to set up as you point out. Perhaps there is a third alternative, I haven't thought of?

BTW, Dunn was down ~22% as of November, and am awaiting Dec numbers (I invested in them as I wanted to be long the space whilst I got my own system up, lucky me). So if it is the case that your returns diversify a long global equities portfolio, arguably they might diversify a TF position far more

Why not just test upgrades or new strategy code outside of your normal trading hours? This of course assumes that your strategies are trading a subset of the 24 hour trading cycle.

 

[Elder]

Why not just test upgrades or new strategy code outside of your normal trading hours? This of course assumes that your strategies are trading a subset of the 24 hour trading cycle.

Indeed that is a possibility, thanks. Its a tradeoff between one-off extensive set up time (with some unknown operational risk) against using up free time outside trading hours on an ongoing basis. Worth considering though.

 

[AvantGarde]

Hey All,
Does anyone have any experience running IBS GW/TWS from an online server? I want to make my system fully-automated and am concerned about periods when I e.g., lose connectivity to the internet. One way around this is to run my system from an online server, like say AWS or Azure. I am not familiar with this sort of set-up and was wondering what others do?
GAT, what do you do? How do you deal with e.g., power outages or drops in internet connectivity?
Thanks all and hope you're off to a cracking start in 2019!

 

[globalarbtrader]

Hey All,
Does anyone have any experience running IBS GW/TWS from an online server? I want to make my system fully-automated and am concerned about periods when I e.g., lose connectivity to the internet. One way around this is to run my system from an online server, like say AWS or Azure. I am not familiar with this sort of set-up and was wondering what others do?
GAT, what do you do? How do you deal with e.g., power outages or drops in internet connectivity?
Thanks all and hope you're off to a cracking start in 2019!

I have considered this, and there is a post on my blog discussing using Docker for exactly that reason. Partly I was put off by the cost (if you dig around there is a thread discussing this on ET which I contributed some figures to); but I think there is more competition in this space now and it's getting cheaper. Partly it's the one off hassle of setting something new up, when my current setup is reliable and hassle free.

To answer your question "How do you deal with e.g., power outages or drops in internet connectivity?" - the answer is, trade relatively slowly and live with it. If I backtest my system with a one day delay in all orders, there is no change to the SR with two decimal places. So losing the internet for a day is no big deal. I'm even happy to go on vacation for two weeks and potentially see an outage for that entire period. Clearly if you're trading faster then this would be more of an issue.

GAT

 

[fan27]

Hey All,
Does anyone have any experience running IBS GW/TWS from an online server? I want to make my system fully-automated and am concerned about periods when I e.g., lose connectivity to the internet. One way around this is to run my system from an online server, like say AWS or Azure. I am not familiar with this sort of set-up and was wondering what others do?
GAT, what do you do? How do you deal with e.g., power outages or drops in internet connectivity?
Thanks all and hope you're off to a cracking start in 2019!

Took me less than a day (today in fact) to get my setup running in AWS (AlgoTerminal/TWS). I am sure Azure is just as easy. In addition to stability, I am interested in seeing what I can do with AWS cloud watch in terms of monitoring.