Fully automated futures trading

I'm just getting started after all my reading of the books, blog, github, and this thread. I'll have to begin with a manual process because the automated project seems daunting. I want to "leverage" the existing repository of csv pricing data at pysystemtrade to build out an updated data library of back-adjusted pricing. On the very first contract I have a problem. Rob's S&P Micro data ends on 8/31/23. So I assume we are still holding the Sept '23 contract. When I download the intraday pricing from barchart for the September contract, none of the intraday prices are matching up with Rob's (for example 14:30 timestamp is 4526.0 for Rob's and 4514.25 from Barchart). My guess is that Rob's data most likely continued on to the September 8th roll to the December contract and so the last entry (8/31/23) has already been backadjusted. Not sure what to do or whether this is important in the grand scheme of things. Any thoughts would be helpful.

Looking forward to the journey!
 
LBF said:
I'm just getting started after all my reading of the books, blog, github, and this thread. I'll have to begin with a manual process because the automated project seems daunting. I want to "leverage" the existing repository of csv pricing data at pysystemtrade to build out an updated data library of back-adjusted pricing. On the very first contract I have a problem. Rob's S&P Micro data ends on 8/31/23. So I assume we are still holding the Sept '23 contract. When I download the intraday pricing from barchart for the September contract, none of the intraday prices are matching up with Rob's (for example 14:30 timestamp is 4526.0 for Rob's and 4514.25 from Barchart). My guess is that Rob's data most likely continued on to the September 8th roll to the December contract and so the last entry (8/31/23) has already been backadjusted. Not sure what to do or whether this is important in the grand scheme of things. Any thoughts would be helpful.

Looking forward to the journey!
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I read somewhere that Rob's data is 6 hours ahead of barchart data reporting. He runs a script to standardize the time to UTC. Now that I have that sync timing, the prices are roughly in line, not a match, but well within the range of the hourly trading (Price data likely came from production from IB). No problems from here, will just use the roll calendars and roll configuration to get the data current. Bon voyage!
 
LBF said:
Rob's S&P Micro data ends on 8/31/23. So I assume we are still holding the Sept '23 contract.
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Your assumption cannot be correct as that contract expired last year. I don't know what contracts he currently holds, but they must have an expiry date in either 2024 (Sep., Dec.) or 2025.
 
LBF said:
Rob's S&P Micro data ends on 8/31/23. So I assume we are still holding the Sept '23 contract...
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You have no idea what you are doing.

Get yourself right, or you are going to get wrecked in futures.

It sux to be you, when you are new, in this time...

newniesp0624.JPG
 
HobbyTrading said:
Your assumption cannot be correct as that contract expired last year. I don't know what contracts he currently holds, but they must have an expiry date in either 2024 (Sep., Dec.) or 2025.
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I meant we are holding the Sept 23 contract on the date his data ends - 8/31/23, not now - sorry for any confusion
 
Overnight said:
You have no idea what you are doing.

Get yourself right, or you are going to get wrecked in futures.

It sux to be you, when you are new, in this time...

View attachment 344384
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As I mentioned previosuly, I assume we are holding the Sept 23 contract at the time Rob's data ends which is 8/31/23. Not now! - yes i get the contract is expired....
 
Having kept quiet, so as not to jinx the nice run up in P&L a couple of weeks ago, doesn't seem to have curried any favour with the systematic gods. Since then I have gone through a sharp and stomach churning drawdown and now am about flat to slightly down on the year. Anyone else experience similar pain or am I the outlier that everyone is glad they are not.
 
Elder said:
Having kept quiet, so as not to jinx the nice run up in P&L a couple of weeks ago, doesn't seem to have curried any favour with the systematic gods. Since then I have gone through a sharp and stomach churning drawdown and now am about flat to slightly down on the year. Anyone else experience similar pain or am I the outlier that everyone is glad they are not.
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I think most of us are in a similar camp regarding the direction (but not the magnitude of the recent decline relative to the gains earlier in the year).
DBMF hit a high in early July and it's been down since then, much like you, but it's still up on the year.
The BTOP50 hit a high in late April and has been zig-zagging down since then. It too is up on the year.

My performance has been more like the BTOP. I hit a high in April and have been drifting lower ever since. Fortunately, I got very lucky (with some skill) in capturing the move in Cocoa, so I'm still up a lot on the year (much more than DBMF or BTOP50).
 
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