Fully automated futures trading

Thank you for your reply.
So i relaunched the code this morning after market open and now it says : RROR 1 10268 The 'EtradeOnly' order attribute is not supported. but the program continues to run without stopping and no barcket order triggered.
Here is what i did: i added the two last lines
parent = Order()
parent.orderId = orderId
parent.orderType = "LMT"
parent.lmtPrice = 3843
parent.action = "BUY"
parent.totalQuantity = 1
parent.transmit = False
#parent.eTradeOnly = None
#parent.firmQuoteOnly = None
i continue to investigate...
 
In fact, the code is working even if there is an error message. maybe the tws version is not the latest one.
So the code send buy lmt but not sell lmt nor sell stp.
 
globalarbtrader said:
For MR it seems possible that the use of buffering and cost penalties allows very fast signals to affect our positioning at the margin without increasing costs.
More...

To flesh out this research programme, which it looks like I will be attacking first:

- what is the relationship between instrument costs and optimal trend trading speed? This is something inspired by a podcast interview of an ex-employee of mine, which I also discuss very briefly in the new book
- how are costs affected as they pass through the layers of position sizing, buffering (static system) and cost penalty (dynamic optimisation)
- given that, whether it is practical to run a fast MR system that will affect the positions held at the margin
- the effect of delaying the core trading system trades by up to a week (rough holding period of MR system)
- given that, wether adding an execution layer of the type in the AQR paper with the MR system would make sense

Rob
 
globalarbtrader said:
To flesh out this research programme, which it looks like I will be attacking first:

- what is the relationship between instrument costs and optimal trend trading speed? This is something inspired by a podcast interview of an ex-employee of mine, which I also discuss very briefly in the new book
- how are costs affected as they pass through the layers of position sizing, buffering (static system) and cost penalty (dynamic optimisation)
- given that, whether it is practical to run a fast MR system that will affect the positions held at the margin
- the effect of delaying the core trading system trades by up to a week (rough holding period of MR system)
- given that, wether adding an execution layer of the type in the AQR paper with the MR system would make sense

Rob
More...
Interesting, and thanks. The AQR paper and its implementation, whether it be applied to my static system or other DO type systems, is a matter of discussion at the moment.

I'll look forward to reading your insight into this matter.

KH
 
I had a question and was hoping someone here would know the answer instead of waiting for IB support to answer.
I tried to buy a Eurex future (EU-OIL in pysystemtrade or SXEP Mar17'23 in IB) for the first time and got an error message.

Order rejected - reason:No Trading Permission, Regulatory Restriction. Please contact customer service for assistance.

I am subscribed to Eurex market data and have trading permissions for futures in all the markets listed in the "Trading Permissions" page (e.g. Europe, Asia, etc). There is another entry for "Futures Options" that I haven't requested. This appears to be another product, but am I wrong? Are there some European equity future options that U.S. traders cannot trade similar to what Rob says happens with the US equity sector futures?

Thanks in advance for your help!
 
Last edited:
newbunch said:
Foreign futures have to be approved by the CFTC for US traders.

The list can be found here: https://sirt.cftc.gov/sirt/sirt.aspx?Topic=ForeignOrganizationProducts
You can select Eurex and then click "Show All."

The Oil sector future is not listed, meaning it has not been approved.
More...

Wow, very helpful link. Well that explains that. Thanks again!

Does "No-Action Letter Issued" mean that it is allowed for US traders, even if not "Certified"? Or disallowed along with any future not mentioned at all?
 
lore said:
Wow, very helpful link. Well that explains that. Thanks again!

Does "No-Action Letter Issued" mean that it is allowed for US traders, even if not "Certified"? Or disallowed along with any future not mentioned at all?
More...
Yes.

But occasionally other US departments, like the Treasury, restrict trading even before the CFTC takes action (Russia, for example).
 
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