Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Why increase? larger buffer parameter (e.g. 0.025 instead of 0.0125) should make the system trade less, well, sort of, it will wait longer for higher tracking error before attempting to run optimization (and adjust any positions), but then it will return positions to the edge of the original small buffer., So the risk seems to be not that it will overtrade but that it will allow larger deviations from the optimal positions, which is not great also, but not terrible..
Sorry you're right I was the wrong way round
Still technically on holiday until tommorrow!
Rob
Hi
sorry for the stupid (and off topic) question, but i have received contradictory responses from IBKR and their behavior seems inconsistent as well.
Does IBKR treat futures margins in the same way as stock / ETF margins (i.e. are they only used to assess portfolio risk but are not actually charged to the account)?
From what I see right now, the answer seems positive: even though I have few open contracts, the "future" column in the "cash report" section of my activity statement is blank and my cash is 100% on the "securities" portion of the account.
On the other hand, I recall that during the covid crisis, interest was charged in AUD, after IBKR significantly increased the margins on XT contracts. If I look at the March 2020 cash report, I see that vash was internally transferred from the "securities" column to the futures column.
Why are they behaving differently now than they did then?
Thanks
sorry for the stupid (and off topic) question, but i have received contradictory responses from IBKR and their behavior seems inconsistent as well.
Does IBKR treat futures margins in the same way as stock / ETF margins (i.e. are they only used to assess portfolio risk but are not actually charged to the account)?
From what I see right now, the answer seems positive: even though I have few open contracts, the "future" column in the "cash report" section of my activity statement is blank and my cash is 100% on the "securities" portion of the account.
On the other hand, I recall that during the covid crisis, interest was charged in AUD, after IBKR significantly increased the margins on XT contracts. If I look at the March 2020 cash report, I see that vash was internally transferred from the "securities" column to the futures column.
Why are they behaving differently now than they did then?
Thanks
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On the topic of margin, does anyone here trade EUA futures? The contract size is 1000 EUAs and the price (in US$ equivalent) ~ $96/EUA. The init margin requirement for this contract by IB is ~$96,000 which means 100% of the notional value. The margin specified by the exchange is $9,790 (from the latest margin spreadsheet published by ICE). When I wrote to IBKR, their response was the standard "this cannot be changed for anyone, including god" (ok, admittedly the last bit they didn't say). It just doesn't look right to me but I perhaps I am missing something?
I don't trade any ICE markets as the data costs are too high.
Ultimately IB can charge any margin they want; if you don't like it trade another product (there's almost always a correlated instrument out there - although I appreciate EUA are almost in an asset class by themselves they are probably correlated with most energy markets) or use another broker (if their margins are too high compared to the competition, then IB would eventually go out of business). Personally I'd rather be with a broker whose margins are too high than too low; or I'll end up subsidising a bunch of idiots when the broker inevitably goes out of business.
GAT
GAT, Like you I prefer a conservative broker who protects the universe of clients, I am hardly trading at the margin/equity ratio edge even with the monster margin on EUAs. But 100% margin on a long EUA position suggests to me there might be a climate-change 'denier' at the upper echelons of IBKR calling the risk management shots, because he thinks EUAs will go to zero. I am open minded to both sides of the climate debate but that seems a tad extreme
.... I realise I might just be venting, but this forum is open is to bit of venting isn't it?GAT, Like you I prefer a conservative broker who protects the universe of clients, I am hardly trading at the margin/equity ratio edge even with the monster margin on EUAs. But 100% margin on a long EUA position suggests to me there might be a climate-change 'denier' at the upper echelons of IBKR calling the risk management shots, because he thinks EUAs will go to zero. I am open minded to both sides of the climate debate but that seems a tad extreme
Vent away! My little rant was because I'm fed up reading posts elsewhere on ET from idiots moaning that their broker won't give them a fighting chance of going bankrupt by next week AKA too much margin. Of course that doesn't apply to you or any other sensible people reading this thread.
It's indeed curious as it suggests they will go to zero before they can liquidate your position which seems unlikely, climate change or not. But the IB specific board has a chance of getting a better answer.
GAT
Please rant away, as its your thread
. Good suggestion, I will try that if my correspondence with IB continues, as is likely, to hit a brick wall.