@AvantGarde this is a nice probability review with market focus https://faculty.washington.edu/ezivot/econ424/probreview.pdf, skew formula above...
@isotope1 is Harding not talking purely about capacity, and in particular the capacity of Winton?
@AvantGarde perhaps the simplest way right now is to get_position and then process the dataframe to yield trades
@fan27, could you talk about your saving plan and what kind of cash reserves you are keeping for living and for trading?
Strange, so the settlements are published like: 5300 but market data is published as 0.053, I can't find any detail about why this is done so...
Hi all, Does anyone know why Quandl published MXP futures prices 1x10^6 times the quotes on CME?...
Hi GAT, I have a simple question regarding the forecast position of pysystemtrade. I'm using close prices and therefore pysystemtrade spits out...
just wondering why you use Tradier rather than IB, costs seem to be higher for Tradier
the API is extremely simple and analogous to Python dictionaries. It's a simple key value store where the values can be Python objects (serialised...
@Elder, checkout Arctic https://github.com/manahl/arctic i'm using it in my live system as the core database for ticks, end of day data (source...
Hi all, Does anyone understand how indexes such as dbIQ the USD 3m Money Market Indicator (MMI) work? By work i mean: How does one get exposure...
Hi GAT, The recent Eurodollar sell off has got me thinking whether you or anyone else on here have tried to successfully trade a hybrid approach:...
@AvantGarde some of this is discussed here https://qoppac.blogspot.co.uk/2015/04/system-building-data-capture.html
ah, right that clarifies things (also re-read your blog post https://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html) I'm...
Hi GAT, I'm trying to understand how you rolled the V2X data (in order to understand the process in general) looking at the recent file in...
would it be that crazy to reoptimise weights every day as new data is added? is it not better to use all available data as it's available rather...
OK, stupid question coming up. I'm about to place my first trade for Eurodollar (GE), buying 2 lots, in my test portfolio i have GE and V2TX,...
I seem to have gotten out of the mire by moving further out on the curve, this gives: (contract date) - date: [ATTACH] Panama stitch: [ATTACH] I...
Thanks @HobbyTrading, makes sense. I'm still keen to find out from @globalarbtrader how the data for v2tx (and others) included in pysystemtrade...
I'm not sure what you mean by that - could you be more specific? I guess in some ways the point is moot as I'm trying to recreate GATs provided...
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