Fully automated futures trading

[newbunch]

Rob,

In your risk report, it says your "Percentage of capital used for margin" is currently 72.3%. Is this correct? Given your current risk is just 12.6% according to that same report and your risk target is 25%, won't you be pushing up against the margin limit if your got back up to 25% vol?

Thanks.

 

[globalarbtrader]

Rob,

In your risk report, it says your "Percentage of capital used for margin" is currently 72.3%. Is this correct? Given your current risk is just 12.6% according to that same report and your risk target is 25%, won't you be pushing up against the margin limit if your got back up to 25% vol?

Thanks.

Yeah it's probably because I have these 'cash' like ETF's instead of having all my money in actual cash; my futures margin usage is only 32% which is much more what I would expect. And about a third of that (so 11% of my account balance) is just VIX.

Rob

 

[newbunch]

Yeah it's probably because I have these 'cash' like ETF's instead of having all my money in actual cash; my futures margin usage is only 32% which is much more what I would expect. And about a third of that (so 11% of my account balance) is just VIX.

Rob

Thanks. That makes a lot more sense.
Why cash ETFs rather than just cash? IB's interest rates are good.

 

[globalarbtrader]

Thanks. That makes a lot more sense.
Why cash ETFs rather than just cash? IB's interest rates are good.

Discussed before on this thread. There is a tiny amount of tax efficiency in seperating my income from dividends and interest, but mostly it's a reduction in my perceived IB facing counterparty risk (I say perceived because plenty of people have pointed out I'm wrong).

Rob

 

[andrewcraig]

And about a third of that (so 11% of my account balance) is just VIX.

Do you use VXX? That looks the cheapest.

It's an interesting trade. It looks like the money in the short and inverse VIX ETFs dwarfs that in VIX while volatility is so low.

 

[globalarbtrader]

Do you use VXX? That looks the cheapest.

It's an interesting trade. It looks like the money in the short and inverse VIX ETFs dwarfs that in VIX while volatility is so low.

I don't trade etfs in this account

Rob

 

[andrewcraig]

Apologies, I had completely misread your previous post that you had 11% in a long VIX (etf) trade.

 

[handelsmeisterei]

A few quick questions, regarding the execution side of things:

When to trade:
IB offers the liquid trading hours along with the trading hours of each instrument. The liquid hours also seem to contain ETH. In my paper trading I trade 30 minutes before the market closes (according to liquid hours). As I only place 1 lot orders, I spread them out in (randomized) 10 minutes intervals. Let's say I want to trade 3 contracts. The first goes 50 minutes before the exchange closes, second goes 40 minutes and the third 30 minutes before close.
My question relates to the liquidity of the session: Are the IB liquid hours of any value here or should I set a trading time for each instrument manually because most contracts are traded some other time.

How to trade with SNAP:
I use these 10 minutes intervals so that I have enough time to trade something like 30-40 contracts on a roll day for some instruments (thats about worst case max my backtest tells me). I therefore can place a SNAP-MID and wait for a fill for 10 minutes. If not filled it gets cancelled and replaced by a SNAP-MKT. @Kernfusion wrote that he waits up to 40 minutes till a SNAP-MID fills. What is a reasonable value here? Waiting a shorter time should make more trading possible at the end of the trading day which is the price that the backtest works with.

As always, thanks for your replies!

 

[HobbyTrading]

A few quick questions, regarding the execution side of things:

When to trade:
IB offers the liquid trading hours along with the trading hours of each instrument. The liquid hours also seem to contain ETH. In my paper trading I trade 30 minutes before the market closes (according to liquid hours). As I only place 1 lot orders, I spread them out in (randomized) 10 minutes intervals. Let's say I want to trade 3 contracts. The first goes 50 minutes before the exchange closes, second goes 40 minutes and the third 30 minutes before close.
My question relates to the liquidity of the session: Are the IB liquid hours of any value here or should I set a trading time for each instrument manually because most contracts are traded some other time.

How to trade with SNAP:
I use these 10 minutes intervals so that I have enough time to trade something like 30-40 contracts on a roll day for some instruments (thats about worst case max my backtest tells me). I therefore can place a SNAP-MID and wait for a fill for 10 minutes. If not filled it gets cancelled and replaced by a SNAP-MKT. @Kernfusion wrote that he waits up to 40 minutes till a SNAP-MID fills. What is a reasonable value here? Waiting a shorter time should make more trading possible at the end of the trading day which is the price that the backtest works with.

As always, thanks for your replies!

For both of your questions I would reply: "it depends on the instrument". Not all instruments behave the same, and market participants for each instrument differ. You would need to analyse the behaviour of each of your instruments and then decide how and when to place your orders.

For what it is worth: for the instruments I use I place one order 30 minutes before the end of its trading day. The order can (obviously) be for more than one contract. In some cases it is 20 contracts. But those are in liquid contracts where such an order size is no problem.

 

[Kernfusion]

A few quick questions, regarding the execution side of things:

When to trade:
IB offers the liquid trading hours along with the trading hours of each instrument. The liquid hours also seem to contain ETH. In my paper trading I trade 30 minutes before the market closes (according to liquid hours). As I only place 1 lot orders, I spread them out in (randomized) 10 minutes intervals. Let's say I want to trade 3 contracts. The first goes 50 minutes before the exchange closes, second goes 40 minutes and the third 30 minutes before close.
My question relates to the liquidity of the session: Are the IB liquid hours of any value here or should I set a trading time for each instrument manually because most contracts are traded some other time.

How to trade with SNAP:
I use these 10 minutes intervals so that I have enough time to trade something like 30-40 contracts on a roll day for some instruments (thats about worst case max my backtest tells me). I therefore can place a SNAP-MID and wait for a fill for 10 minutes. If not filled it gets cancelled and replaced by a SNAP-MKT. @Kernfusion wrote that he waits up to 40 minutes till a SNAP-MID fills. What is a reasonable value here? Waiting a shorter time should make more trading possible at the end of the trading day which is the price that the backtest works with.

As always, thanks for your replies!

I trade during the trading hours as specified in the "Instrument Details" window (or whatever the name is, "Description" maybe?) for each particular instrument in TWS. But only if the bid-ask spread is not very big, I manually predefine max Bid-Ask spread for each instrument.. Rob had a post about it many years ago (something about checking the presence of water in the pool before jumping, if I recall correctly ). And I place the full order all at once, with my small account size it's rarely more than 1-2 contracts..