globalarbtrader replied to the thread Fully automated futures trading.
I think about it differently. Prior to 2014* I had to create backadjusted prices with some assumption about how I would have rolled had...
May 8, 2024 at 12:35 PMI think about it differently. Prior to 2014* I had to create backadjusted prices with some assumption about how I would have rolled had...
May 8, 2024 at 12:35 PMNot sure you're being obnoxious but you clearly haven't understood what I was trying to say. "December 2024 has a volume of 7800 and...
May 8, 2024 at 11:47 AMThe code should only briefly go into the roll adjusted state, so that it can actually process the roll (moving the current priced...
May 7, 2024 at 12:11 PMUse default parameters? [no to change]y AUTO ROLL RULES: Irrespective of the following, we will automatically roll if a contract has...
May 7, 2024 at 7:35 AMNo you are right, I do have costs as negative returns by convention elsewhere, but the SR costs are positive. I don't use SR costs any...
May 3, 2024 at 4:53 AM