I've been going thru Rob's new book, got to strategy 22 and I've now started to implement stuff from the beginning. Has anybody implemented basic...
Congrats on the book Rob! I just received my copy. We also got a shoutout in the acknowledgements section, thanks! So I see you left it on us to...
Thanks Rob! In that case, I'm lost :) I thought it would be passed in as `maximum_positions` argument to `objectiveFunctionForGreedy`, but I don't...
Right. I did find one thing a bit confusing though, you mentioned that those instruments that are too safe will still factor into the DO, and eg....
Hey folks, long time no type. Down 4% here over the last 3 days. In other news, here I was wondering how come Rob doesn't have more shorts in...
Hey folks, I've been running with fairly primitive execution algo since early August, and decided to take a look at how that's going, so sharing...
An update on this one. If this sounded too good to be true, it's because it is. TL;DR - seems like you can't get the snapshot data through the API...
Yeah, same, was also looking forward to that one. I think at some point on TTU podcast Rob mentioned the idea of trade netting and that that's how...
Almost exactly like Rob. HWM on 27th, now 7% DD. I run Rob's DO and similar capital, so that's somewhat expected, though much less markets.
Was just reading Kernfusions post from early August and thinking about trading without market data. I'm not sure how this wasn't brought up more...
Small update from me, August just closed as my best month so far, 8.3%. Mostly because of that "bug" I'm still looking for but can't find and a...
Well, I've potentially found "a" problem, not sure it's "the" problem. Kernfusion, thanks for posting that screenshot. It got me looking into...
6 positions, am I reading this right? Dang, I probably have a giant bug somewhere. :D
I am running IB Gateway in the cloud, and would agree it's not that complex, but this guide doesn't simplify things a lot (if that was the goal)....
Makes sense. I was looking at your strategy reports while I was debugging this, and found some interesting things so will mention here. Your...
My system has been running a bit hot lately (well at least when compared to Rob's) and I'm trying to see why that is. I have pretty much the same...
Thanks for both replies Kernfusion. I'll put some of my thoughts here as well. At the moment, I've subscribed to almost all markets (still not...
Hey Kernfusion, how is this effort going? Did you move to production and have you tried snap to market? I'm asking because I moved back to...
The bug up there was interesting - I was fetching the prices used as fill prices in the wrong order. If you ever wondered what the backtest looks...
Quick update from me - not much happening, so I'm doing some refactoring of my backtest plumbing. I want to be able to run a fully realistic...
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