For trading I would, but for updating rollcalendars and backtesting more data than a year from IB is needed.
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
I do hope that you know that you can download historical data on expired futures contracts from IB. This enables you to look much further back in history. If you prefer to use another data provider that's also fine. But be very cautious in combining data from multiple sources into one. That is often a recipe for disaster.
I'm afraid I didn't know.. I'd be more than happy with just IB. Could you point to right direction with a link to documentation etc?
Downloading historical data for a futures instrument consists of two steps:
Step 1. Obtain a list of all contract conid's (their unique identifier number), using method reqContractDetails().
Step 2. For each conid download the historical data, using method reqHistoricalData()
The trick is in step 1: usually you will only get a list of conid's which have not yet expired. However, if in the Contract specification you add the field IncludeExpired=true you will also get all conid's of contracts which expired in the last two years. You can then get the historical data for these contracts, and thus look back further into the past.
https://interactivebrokers.github.io/tws-api/contract_details.html
https://interactivebrokers.github.io/tws-api/historical_bars.html
Hi Rob,
I was taking a look at your reports and saw you are currently long JPY. This was quite surprising, since I'd say all CTAs are currently short (trend and carry signals aligned) and, if I interpret the reports correctly, also your weight before dynamic optimization would be short (looks like all substrategies are short, except the mean reversion one which is long).
So I was curious if you have any idea why the dynamic optimization resulted in a long allocation. Maybe it's because JPY is negatively correlated with CNH, TOPIX and NIKKEI (on which you are long) and positively with bonds (on which you are short)?
Thanks
I was taking a look at your reports and saw you are currently long JPY. This was quite surprising, since I'd say all CTAs are currently short (trend and carry signals aligned) and, if I interpret the reports correctly, also your weight before dynamic optimization would be short (looks like all substrategies are short, except the mean reversion one which is long).
So I was curious if you have any idea why the dynamic optimization resulted in a long allocation. Maybe it's because JPY is negatively correlated with CNH, TOPIX and NIKKEI (on which you are long) and positively with bonds (on which you are short)?
Thanks
In theory it's impossible to have a position in the opposite direction to the forecast, negative correlation be dammned, so the most likely explanation (assuming no bugs - which is a heroic assumption!!!) is that I haven't traded because of the buffer since the system went short JPY.
I notice actually that my system wants to sell 2 contracts of JPY today taking it short, so maybe it heard you.
Rob
Has anyone been able to get this back online? I found a NIFTY50 futures contract in IB on NSE but when I update the PST IB config file with new symbol, exchange, currency, I still can't pull any data. Thanks.
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Hey Rob,
I have access to intraday tick data and am interested in adapting your momentum models to trade at a higher frequency. Have you ever attempted this, and if so, do you have any suggestions? One thing that I’ve noticed is that forecasted volatility can be wildly inaccurate depending on time of day (i.e. around market open for index futures). How would you go about handling this? Thanks in advance and appreciate all your content.
I have access to intraday tick data and am interested in adapting your momentum models to trade at a higher frequency. Have you ever attempted this, and if so, do you have any suggestions? One thing that I’ve noticed is that forecasted volatility can be wildly inaccurate depending on time of day (i.e. around market open for index futures). How would you go about handling this? Thanks in advance and appreciate all your content.