Fully automated futures trading

globalarbtrader said:
Sorry I've been a bit quiet recently. For some reason, new posts to this thread weren't showing up on my alerts so I missed all the multiplier madness. I guess everyone knows about it, but there are a couple of pre announced changes coming out:

https://github.com/robcarver17/pysystemtrade/issues/1030 LIBOR to SOFR
https://github.com/robcarver17/pysystemtrade/issues/1029 New symbology for Eurex

I'm currently sitting in a 'networking lounge' at a retail trading conference, where I'm due to speak. I hate these events, I will be honest. But so far this has been one of the worst.

First of all I had to get to Hammersmith, which is apparently in Zone 2(Londoners will know what that means), but might as well be on the other side of the world from where I live. And when you walk out of the station you aren't on the street, but in the middle of a flipping shopping centre. One of my key failings is I can't navigate shopping centres, which never have any clear signage, so it took me 15 minutes to find my way out of this one.

Then google maps directed me to walk down the side of a flyover, which involved crossing the road several times, and then walking under the flyover. I hope it's not dark when I come out. The conference is being held in a massive chain hotel that looks like a soviet era apartment block and is so big it probably has two postcodes all to itself; but the entrance obviously doesn't face the road, so instead you have to walk round this massive building for 10 minutes to find the entrance.

Everyone here, apart from the guy who just took my dirty coffee mug away (thanks mate), is eithier selling or being sold to. And that includes the conference organisers, who are desperately trying to upsell everyone. There is one room everyone can go in, apart from certain times of day, but every other room is only accesible to 'silver' or 'gold' members.

(I had to throw my toys out of the pram when the lady guarding this networking room said it was for gold members, which apparently doesn't include speakers. I pointed out that theoretically I wouldn't be allowed into the room I was supposed to speak in later. She relented after talking to her boss and I apologise for being a bit of a Karen. Really she shouldn't have let me on the grounds that I have no intention of networking)

The main body of the hall is full of trading 'technology' and 'training' providers. I might try and bait some of them later, but I'm not in the mood. There are people live trading spot FX. Thrilling!

There is an 'open stage' where a bald man (yeah I know, what can I say, you've seen my profile) is shouting at people that they shouldn't meddle with their system (good!) but rely on the backtest they have done over the last two ..... centuries.... decades.... years.... no - the last two weeks (!).

On the upside I'm finding it easy to get work done in the 'networking room', drinking the free coffee (same as the coffee outside in terms of quality, but free rather than £2.50 - for filter coffee) whilst also being amused by the 'gold' members waffling about their 'systems' and 'getting into a good mental place'.

Perhaps I am being unfair, because industry conferences aren't much better, although the coffee is usually free and they are at nicer venues.

Why am I here? Well if it least one person is persuaded that there is a more sensible way of doing things, then it's been worth my time.

Rob
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I was thinking of saying it could be worse as I am stuck at home with a nasty bug, but changed my mind. Sounds awful, bad luck, Rob.
 
globalarbtrader said:
https://github.com/robcarver17/pysystemtrade/issues/1029 New symbology for Eurex
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I'm trying to figure out what this exactly means. The EUREX website is awful: can't find what I'm looking for. For the futures instruments that I use (German bonds, EU equity index, DAX index etc.) it seems that besides quarterly contracts also weekly contracts will become available.
Running a contract search via the API for IB symbol GBM (BOBL) I see that the quarterly contracts remain but that the so-called "local symbol" format is changing from e.g. "FGBM MAR 23" for the March contract to "FGBM 20230608 M" for the June contract (20230608 is the expiry date). I guess that the M means monthly. I haven't found examples for a weekly expiry yet. I don't know whether those weekly expiries will be listed under the same symbol, or that IB will assign a different symbol to those.
 
A pretty-painful day today (and yesterday as well), I'm short CHF, CGB and VIX and they're doing the opposite.. I suspect others are probably in the same boat, as the magnitude of the damage is high enough that usually when this happens it's not just me :)
 
Down 3.9% today. Losses come almost entirely from STIRs and short-dated bonds (twos and fives), with some extra losses in currencies and stocks/vol.
Still up nicely on the year though.
 
HobbyTrading said:
I'm trying to figure out what this exactly means. The EUREX website is awful: can't find what I'm looking for. For the futures instruments that I use (German bonds, EU equity index, DAX index etc.) it seems that besides quarterly contracts also weekly contracts will become available.
Running a contract search via the API for IB symbol GBM (BOBL) I see that the quarterly contracts remain but that the so-called "local symbol" format is changing from e.g. "FGBM MAR 23" for the March contract to "FGBM 20230608 M" for the June contract (20230608 is the expiry date). I guess that the M means monthly. I haven't found examples for a weekly expiry yet. I don't know whether those weekly expiries will be listed under the same symbol, or that IB will assign a different symbol to those.
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Yeah, I also don't understand what exactly I need to change (if anything?). When I'm placing an order or subscribing to prices I'm providing a contract object in which I populate the following fields (let's take BTP for example ):
Symbol = 'BTP'
SecType = 'FUT'
Exchange = 'EUREX'
Currency = 'EUR'
LastTradeDateOrContractMonth = '202306'
TradingClass - only needs to be populated for some futures, which have several contract types for the same instrument or something like that, not required for BTP.

So which of these parameters will change exactly? It doesn't appear that 'Symbol' will change because I can still find the future contracts in TWS by typing 'BTP'., I don't believe we would now have to provide something like 'FBTP 20230907 M' here after the migration..

I can see that 'Local Name' property of newer contracts becomes different, e.g. 'FBTP 20230907 M', but I never populate this parameter in the Contract object anyway.

'Local Class'\TradingClass stays the same, in case of BTP it's 'FBTP' on the new contracts - same as before.

https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid Info&wlId=IB&conid=602234845&lang=en&ib_entity=

Maybe, as it was suggested earlier, we don't need to change anything, even though IB says that we need?
 
Unless now with the introduction of weekly contracts populating LastTradeDateOrContractMonth with only year and month will not be enough to resolve the particular contracts, because several weekly contracts will be expiring in the same month? Maybe we will now be forced to always populate LocalSymbol ? which would be a huge pain, because my system doesn't currently know the exact exp dates of each contract, only year and month..
 
Kernfusion said:
Unless now with the introduction of weekly contracts populating LastTradeDateOrContractMonth with only year and month will not be enough to resolve the particular contracts, because several weekly contracts will be expiring in the same month? Maybe we will now be forced to always populate LocalSymbol ? which would be a huge pain, because my system doesn't currently know the exact exp dates of each contract, only year and month..
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I'm not sure it's the same situation, but VIX futures have weekly and monthly expirations that overlap. This is handled by setting the "TradingClass," which you mentioned in the previous post.
 
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