Hi GAT, How do you handle market data subscriptions in IB? For tax purposes, I recently moved from a personal trading account to a company trading...
Hi GAT, Is it possible to assign static weights to instruments for specific dates? I know you can assign static weights for all dates but am sure...
Also, is it possible to run systems in pysystemtrade with the continuous scaling and without? I am thinking particularly of faster, short-term...
Hi GAT, How hard would it be to add alternate portfolio construction methods such as e.g., minimum variance?
Yes, whereas pysystemtrade's multiplier is 500,000
I note that the larger contract has also a different multiplier (250,000), or have I gone wrong somewhere?
Hi GAT, I noticed in your instrumentconfig.csv file your Github account that the contract multiplier for KOSPI is off vs Interactive Brokers...
I use Python's Beautiful Soup library to scrape the data from public sites like http://futures.tradingcharts.com/marketquotes/KC.html There is a...
Thanks for the colour GAT. The recent market drop got me thinking about Interactive Brokers solvency during a crisis, as I currently have most of...
I'm running a multi-strat system, down -2.7% overnight on 16% vol, above the average daily vol of ca +\-1% but within expectations. Good luck...
Classic! Love this! Sounds painful, but it's a long-term game. Remember the old cliche: 'think of how much you're willing to lose before you...
By attributions I mean: the contribution of each market to this month's return. To decompose the monthly return into its individual...
Hi GAT, I was wondering if there is a feature in pysystemtrade to be able to conduct portfolio attributions? Also, have you ever experimented with...
Hi GAT, Are there any plans to add additional systems to pysystemtrade in the near term, such as e.g., cross sectional strategies? Also, will...
Hi GAT, I just read this article from the FT 'Rise in new form of ‘portfolio insurance’ sparks fears'. Do you have any thoughts on the massive...
Hi GAT, I note you have your base currency as GBP. If you have GBP in your account and buy a non-GBP asset (e.g., ESM7), IB charge you commission...
Hi GAT, I noticed the performance of the AHL evolution fund (unfortunately closed!) vs their flagship fund and vs competitors (e.g., Winton) is...
Hi GAT, Can you explain the logic behind the assumption of paying mid spreads in transaction costs and not the more conservative (whole) bid/ask...
Hi GAT, What is the rationale behind not fitting system parameters, but fitting capital allocation? Is fitting capital allocations not similar to...
Hi GAT, I did not mean to get into a discussion about exercising discretion over a systematic strategy, but rather hear about the mechanics of...
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