(Un)fortunately my portfolio is small enough that I will never be a large part of any market
Oh I don't know. Last week 3 contracts of Shekel/USD futures were traded...
Rob
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Oh I don't know. Last week 3 contracts of Shekel/USD futures were traded...
Rob
You caught me
Jokes aside, contracts with such tiny volumes usually have wide spreads, so I avoid them in the first place. By the way, with illiquid FX futures (such as ILS) what do you do? CFDs have the 1.5% funding rate markup, but they are probably better than a 50bps bid-ask spread future contract.
You should consider your situation at the time of rolling over from one contract to another (e.g. expiring contract). That is the moment that you most likely trade your largest quantity, because you have to close your entire position and then open the same position in the next contract. That is most likely a much larger volume than your regular increase/decrease in position size, which might be only one contract at a time.(Un)fortunately my portfolio is small enough that I will never be a large part of any market
You caught me
Jokes aside, contracts with such tiny volumes usually have wide spreads, so I avoid them in the first place. By the way, with illiquid FX futures (such as ILS) what do you do? CFDs have the 1.5% funding rate markup, but they are probably better than a 50bps bid-ask spread future contract.
I don't bother... I'm not so desperate to trade Shekels that I'd go through the hassle of setting up CFD trading on my system. Also 1.5% would make them completely uneconomic even with a spread of zero.
GAT
But surely the micro Euro/USD has enough volume to trade.
Hello all, I'm building a historical archive of hourly data from IBs API and just noticed that a subsequent download of the same contract yields differently values bars, I'm saving down the contract details with each request so I'm use that it requested the same future, but looks like it spat back a different expiry each time. Any tips for dealing with this? Where is the truth? 
How do you handle this problem? Do you do multiple downloads of the same window and take the average (joking)
How do you handle this problem? Do you do multiple downloads of the same window and take the average (joking)
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Hello all, I'm building a historical archive of hourly data from IBs API and just noticed that a subsequent download of the same contract yields differently values bars, I'm saving down the contract details with each request so I'm use that it requested the same future, but looks like it spat back a different expiry each time. Any tips for dealing with this? Where is the truth?
How do you handle this problem? Do you do multiple downloads of the same window and take the average (joking)
Weird.
I build a seperate data table of expiry dates by contract. That's 'the truth'
Then when I do a request of data for a specific contract, I pass the exact expiry date, so I know I'm getting the right thing.
Rob
Hi GAT -
Finished listening to the latest marathon TTU podcast, which was great as usual. Not sure why there is even a debate on the best approach between you and Jerry, I know which side I fall on, but the tension (simulated or otherwise) makes the whole thing more entertaining
.
During the podcast you touched on counterparty risk and if I understood correctly you eluded to the use of ETFs to manage this. As I understand things, in case of a credit 'event' at IB, there is no distinction between invested assets and uninvested assets (such as etfs and cash). As far as I know all assets are pooled for the purposes of any claims by creditors. So as I understand it your claim on your etf holding would rank pari passu to my claim on your etf holding. If the total asset liquidation value is less than the claims by creditors everyone would get a prorata share of those assets, regardless of the type of asset held by IB on behalf of its clients (after the lawyers and accountants got their cut first of course). As far as I know the counterparty risk of BlackRock who stands behind Ishares is secondary to the counterparty risk to IB. Furthermore in a margin account IB has the right to lend the etfs out so if there is systematic failure in the financial system (which presumably has some positive correlation with IB going down) getting the etfs back has a similar risk to getting money back from IB's claims from any cash loans its made through the MM.
I know we started a similar debate a while back, but after some subsequent follow up with IB, the conclusion I reached on counterparty risk I believe is summarised above. Have I misunderstood something here?
Finished listening to the latest marathon TTU podcast, which was great as usual. Not sure why there is even a debate on the best approach between you and Jerry, I know which side I fall on, but the tension (simulated or otherwise) makes the whole thing more entertaining
.During the podcast you touched on counterparty risk and if I understood correctly you eluded to the use of ETFs to manage this. As I understand things, in case of a credit 'event' at IB, there is no distinction between invested assets and uninvested assets (such as etfs and cash). As far as I know all assets are pooled for the purposes of any claims by creditors. So as I understand it your claim on your etf holding would rank pari passu to my claim on your etf holding. If the total asset liquidation value is less than the claims by creditors everyone would get a prorata share of those assets, regardless of the type of asset held by IB on behalf of its clients (after the lawyers and accountants got their cut first of course). As far as I know the counterparty risk of BlackRock who stands behind Ishares is secondary to the counterparty risk to IB. Furthermore in a margin account IB has the right to lend the etfs out so if there is systematic failure in the financial system (which presumably has some positive correlation with IB going down) getting the etfs back has a similar risk to getting money back from IB's claims from any cash loans its made through the MM.
I know we started a similar debate a while back, but after some subsequent follow up with IB, the conclusion I reached on counterparty risk I believe is summarised above. Have I misunderstood something here?
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Hi GAT -
Finished listening to the latest marathon TTU podcast, which was great as usual. Not sure why there is even a debate on the best approach between you and Jerry, I know which side I fall on, but the tension (simulated or otherwise) makes the whole thing more entertaining
During the podcast you touched on counterparty risk and if I understood correctly you eluded to the use of ETFs to manage this. As I understand things, in case of a credit 'event' at IB, there is no distinction between invested assets and uninvested assets (such as etfs and cash). As far as I know all assets are pooled for the purposes of any claims by creditors. So as I understand it your claim on your etf holding would rank pari passu to my claim on your etf holding. If the total asset liquidation value is less than the claims by creditors everyone would get a prorata share of those assets, regardless of the type of asset held by IB on behalf of its clients (after the lawyers and accountants got their cut first of course). As far as I know the counterparty risk of BlackRock who stands behind Ishares is secondary to the counterparty risk to IB. Furthermore in a margin account IB has the right to lend the etfs out so if there is systematic failure in the financial system (which presumably has some positive correlation with IB going down) getting the etfs back has a similar risk to getting money back from IB's claims from any cash loans its made through the MM.
I know we started a similar debate a while back, but after some subsequent follow up with IB, the conclusion I reached on counterparty risk I believe is summarised above. Have I misunderstood something here?
I think you are broadly correct. I think I my main misconception was the the UK FSCS only covered cash, whereas it actually covers cash and securities.
Let's hope we never have to find out.
Rob
(Not a lawyer or a regulator)