It's nice to see someone actually trading instead of being in an endless state of development and testing. Kudos.
Trading with automation (with IB) - II - spreads
- Thread starter fullautotrading
- Start date
Thank you eves_banished_children. It is certainly important to do actual trading, because it's the only way to really understand the meaning of "curve fitting" in algotrading, and also the pain of drawdown.
In my experience, the two things always go hand in hand. When you trade you find endless new reasons for further improvements (both conceptual or code improvements) which have to be implemented. Not to mention catching up with external changes (regulations, APIs, etc.). (I only wished I did not rush real trading when could have waited for more "maturity"...). It is also important to find the right partners, as venturing in the mkt with insufficient resources is not the best way to use the money.
In any case you will be in endless development, because you build day by day over many years, and each day adds its little "delta", sometime minuscule, sometime significant. But just as any other activity where you build something over a very long period (gymnastics, music, whatever...), what others may perceive, at some point, as maybe a "point of arrival" (or interpret as "success"), it is for you just a point in a (hopefully) endless journey.
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Talking of endless...
I have been graciously kicked out abruptly by the IB Gateway, with a message saying that that version was not supported anymore. Well, thanks a lot. It worked fine for me.
I installed the "latest" available (Build 963.3m, Dec 20, 2017 10:15:55 AM), just to find out with horror, that instead of making step forward, it seems we are going backward.
The "new" gateway is filling the screen with useless popup (the gateway is supposed to run silently, providing the necessary functionalities: absolutely no pop up, please, and at most once on first login.)
And, as if it not were not enough, on disconnection, it is asking a confirm to re-login, instead of just doing it (as it did before) ?? It was a battle in the past, several years ago, to remove stuff like this (and I had even argue personally with some guy on the phone) and we are back to that point ?
This is killing automation and, in fact, really disheartening.
I wonder why do you waste time at all working on APIs and gateways, when they end up being unusable for the intended purpose ...
I have been graciously kicked out abruptly by the IB Gateway, with a message saying that that version was not supported anymore. Well, thanks a lot. It worked fine for me.
I installed the "latest" available (Build 963.3m, Dec 20, 2017 10:15:55 AM), just to find out with horror, that instead of making step forward, it seems we are going backward.
The "new" gateway is filling the screen with useless popup (the gateway is supposed to run silently, providing the necessary functionalities: absolutely no pop up, please, and at most once on first login.)
And, as if it not were not enough, on disconnection, it is asking a confirm to re-login, instead of just doing it (as it did before) ?? It was a battle in the past, several years ago, to remove stuff like this (and I had even argue personally with some guy on the phone) and we are back to that point ?
This is killing automation and, in fact, really disheartening.
I wonder why do you waste time at all working on APIs and gateways, when they end up being unusable for the intended purpose ...
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I have been busy upgrading to the new C# API (973.07). As always, a bit painful doing these kind of changes, but overall the project feels now even more manageable. I also caught a couple of (minor) bugs, which so far had gone unnoticed (in the rollover/information transfer procedure).
In the meantime IB seems to have fixed the most important issues with the Gateway (re-login prompt), and I have currently switched to the latest version (Build 972.1a, May 18, 2018 9:27:36 AM)
On the trading side, CL has reached new heights and the application has been loading up a substantial investment, "mining" all the range with sell players that are just waiting their chance to close... The PnL curve has been brought down a lot in a rather sharp drawdown, especially by the options, which are running essentially without hedgers. This was expected, as we have increased the money being used for trading, by using larger positions.
Here is a folio view (all instruments), with a detail of 2 CL layers (I have superposed the open players, with all orders, to give an idea of the kind of automated activity):
In the meantime IB seems to have fixed the most important issues with the Gateway (re-login prompt), and I have currently switched to the latest version (Build 972.1a, May 18, 2018 9:27:36 AM)
On the trading side, CL has reached new heights and the application has been loading up a substantial investment, "mining" all the range with sell players that are just waiting their chance to close... The PnL curve has been brought down a lot in a rather sharp drawdown, especially by the options, which are running essentially without hedgers. This was expected, as we have increased the money being used for trading, by using larger positions.
Here is a folio view (all instruments), with a detail of 2 CL layers (I have superposed the open players, with all orders, to give an idea of the kind of automated activity):
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Today we just hit a new high-water mark. This was a well deserved achievement, after having suffered a sharp DD loading up on CL. (It's, however, just the "same story" every time.)
Profit so far $2.6M in about 137 days, 4,598 fills, about 59K commissions. "Full Maint Margin Req": 2,637,561.73 USD, peak: 4,290,136.46. Way to go with CL... where we still have a large "load", and (call) options are still in the red.
Profit so far $2.6M in about 137 days, 4,598 fills, about 59K commissions. "Full Maint Margin Req": 2,637,561.73 USD, peak: 4,290,136.46. Way to go with CL... where we still have a large "load", and (call) options are still in the red.
Way. To. Go. 
It's fun seeing people be successful. Trading gets such a bad rap because of 90/90/90, but they forget that smart people DO make money if they dot their I's and cross their T's.
It's fun seeing people be successful. Trading gets such a bad rap because of 90/90/90, but they forget that smart people DO make money if they dot their I's and cross their T's.
Way. To. Go.
It's fun seeing people be successful. Trading gets such a bad rap because of 90/90/90, but they forget that smart people DO make money if they dot their I's and cross their T's.
Too kind eves_banished_children. However, capital is decisively the most important factor (once one has his automation and trading "logic" in place), because when "relatively" scarce (or in any case the DD perceived as too large relative to own assets), usually one does not get to see the light at the end of the DD tunnel.
With CL reversal, after the big "investment" on it (=> big DD), the PnL has skyrocketed to $3.6 millions (140 solar days, 4,810 fills, $61,8K comms). DD due to CL has been pretty sharp, emphasized even more by the position on CL options.
Now the CL layers have taken a more "neutral" configuration, as in fact there are both short and long layers trading together (and therefore reciprocally offsetting margin requirements, currently equal to: FullMaintMarginReq: $1,367,257.16):
this is the "all-order view" about the layer shown above (which is in "player view"):
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Starting a new week (146 solar days) and we are just hitting a new high-water mark. Time to freeze the situation in another complete broker report (zip file attached)
(IB is reporting, as usual, a slightly larger profit than the application, because we also include the projected closing expenses.)
(IB is reporting, as usual, a slightly larger profit than the application, because we also include the projected closing expenses.)
The situation is currently fine with almost all instruments in profit.
After the large move of CL, ES is the instrument currently absorbing the larger "investment" (=DD). In fact, this can be seen in map of current drawdowns:
since I dislike a significant short position on this instrument, I have defined 2 of the other ES layers, as hedgers of the layer with largest "investment":
[At "supervision" level, I am of the opinion that is always better to do what feels more comfortable for the trader/investor, because any possible "mistake" (and that can be known only "a posteriori") would anyway be taken care of the algorithm in the most consistent way.]
It is also interesting that, so far, NKD has somehow managed to "fool" the algorithm by taking a particular (smoothly ascending) path, capable, with its small fluctuations, to keep the instrument in the red (letting open several long/short players):
We will see if it can keep up with that ;-)
Most "ideal" behavior of "price trajectory", instead, has been exhibited by SI, so far, with continuous good fluctuations in a small range, which represent just the best scenario:
of course, it will not last forever...
After the large move of CL, ES is the instrument currently absorbing the larger "investment" (=DD). In fact, this can be seen in map of current drawdowns:
since I dislike a significant short position on this instrument, I have defined 2 of the other ES layers, as hedgers of the layer with largest "investment":
[At "supervision" level, I am of the opinion that is always better to do what feels more comfortable for the trader/investor, because any possible "mistake" (and that can be known only "a posteriori") would anyway be taken care of the algorithm in the most consistent way.]
It is also interesting that, so far, NKD has somehow managed to "fool" the algorithm by taking a particular (smoothly ascending) path, capable, with its small fluctuations, to keep the instrument in the red (letting open several long/short players):
We will see if it can keep up with that ;-)
Most "ideal" behavior of "price trajectory", instead, has been exhibited by SI, so far, with continuous good fluctuations in a small range, which represent just the best scenario:
of course, it will not last forever...
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Started a new week. PNL is slowly crawling up, as I have enforced a stricter use of the "hedgers", to avoid other big bumps in the PNL curve:
Situation instrument by instrument is as follows:
Currently the larger "investment" is on a layer of SIlver (the layer #2). I have active 4 layers for SI and two of them are currently serving as "hedgers" for the other two:
We are using only a small fraction of our account funds. Current margin requirement is just: 1,478,651.58 USD.
Situation instrument by instrument is as follows:
Currently the larger "investment" is on a layer of SIlver (the layer #2). I have active 4 layers for SI and two of them are currently serving as "hedgers" for the other two:
We are using only a small fraction of our account funds. Current margin requirement is just: 1,478,651.58 USD.