Fully automated futures trading

[globalarbtrader]

I did not find NIFTY, SGXNK and XINA50 in your list of SGX products. I might have overlooked them? Those are the contracts I use. I use the Korean KOSPI index (K200 at IB) as I already have that market subscription for the Korean bond futures. I do admit that NIFTY and XINA50 have a disadvantage: they need to be rolled over every month. Only the front month has decent trading volume and rollover needs to be done about 3 days before expiry.
I had the same consideration about market data fee versus how much I would use it. As you see, I use multiple instruments from SGX, so this SGD2 per month is certainly worth it. From Hong Kong and Osaka I was considering only one product each, which is why I decided against it.

You're right they are missing. I did the selection manually by copying and pasting off the IB website, and as I was trying to ignore single stock futures I may have missed some (in fact it looks like I've missed loads in SGX). I've got the XIN0I but not XINA50, I already have the Nikkei in Osaka, but I don't have the Nifty at all.

I'm also missing (though haven't checked if these are viable yet): AJ, AU, CY, INR, IU, KJ, KU, SGB, SND, TD, TWD, TWN, UC, UJ, UY.

GAT

 

[globalarbtrader]

With 'fit into' I meant - position size based on volatility (Sd) with maximum weight of 4% of your trading account.

Since you're so well diversified, do you also apply leverage to your portfolio (i.e. 1.5x/2x/3x of your trading account)?

Well I'm trading futures so there is already leverage. But I think what you are referring to is the fact I run my portfolio risk target 2.5x higher on each instrument to account for portfolio diversification effects.

GAT

 

[test_user]

Yes

GAT

I'm looking at "-0.032/0.032" and the mid point is 0, therefore it can't be +/-10% (or any other percentage for that matter). What method do you use here?

 

[globalarbtrader]

I'm looking at "-0.032/0.032" and the mid point is 0, therefore it can't be +/-10% (or any other percentage for that matter). What method do you use here?

It's based on the average position (with a forecast of 10).

GAT

 

[test_user]

It's based on the average position (with a forecast of 10).

GAT

I see this is a different method than in the book. I looked into your code and found it is "forecast" buffer_method (alternative to "position"). Do you use 10% buffer size as well?

 

[Kernfusion]

https://qoppac.blogspot.com/2021/05/adding-new-instruments-or-how-i-learned.html

GAT

Hi Rob, great stuff, thanks!
I noticed that JPY-denominated Nikkei 225 with multiplier 100 from GLOBEX has high cost 0.33795084:

So you choose the other one with multiplier 500 (NIY) in your final list.
I actually trade the OSE.JPN version of the x100 Nikkei (N225M), which you have in your list but apparently don't have data subscription for it. As already mentioned, that data is very cheap and that contract is pretty-liquid and 5 times smaller, so probably makes sense to trade it instead..

Also, I guess you've decided that these new 70 contracts provide enough diversification (and work for adding them ) that you'll not going to bother with trading ICE contracts without the real-time data using IB-algo orders, at least for now ?

 

[CopperOverGold]

Best to be short Copper

 

[globalarbtrader]

I see this is a different method than in the book. I looked into your code and found it is "forecast" buffer_method (alternative to "position"). Do you use 10% buffer size as well?

No. The 10% method is a simplification. I've had enough complaints about the book being too complicated without making it worse. But it makes no theoretical sense to have a different sized buffer if you have a max posiion on, or a zero position.

GAT

 

[globalarbtrader]

Hi Rob, great stuff, thanks!
I noticed that JPY-denominated Nikkei 225 with multiplier 100 from GLOBEX has high cost 0.33795084:

View attachment 258457

So you choose the other one with multiplier 500 (NIY) in your final list.
I actually trade the OSE.JPN version of the x100 Nikkei (N225M), which you have in your list but apparently don't have data subscription for it. As already mentioned, that data is very cheap and that contract is pretty-liquid and 5 times smaller, so probably makes sense to trade it instead..

Also, I guess you've decided that these new 70 contracts provide enough diversification (and work for adding them ) that you'll not going to bother with trading ICE contracts without the real-time data using IB-algo orders, at least for now ?

Yes, I've had so much helpful feedback (mainly from @HobbyTrading) it makes sense to rerun the exercise now I've added the subscriptions for OSE and SGX, and made a few other tweaks.

No (ICE) it doesn't make sense for now. But it's still on the table in the future.

GAT

 

[HobbyTrading]

Yes, I've had so much helpful feedback (mainly from @HobbyTrading) it makes sense to rerun the exercise now I've added the subscriptions for OSE and SGX, and made a few other tweaks.

Ooops, sorry for creating more work. *frantically searching for the "blushing" emoji*