Guess I can answer my own question: looks like DO is getting that exposure via the EU-OIL sector instead. Makes sense.
Rob, where are your Oil & Gas positions? That's the sector with the highest risk for me right now. Hard to believe your system doesn't have a...
I also wanted to add that if I use reqMarketDataType(1) it fails for the usual reason... Just to preempt anyone wondering if that CME example...
Wow! I can confirm this is working for me too, at least with TWS...have not tried with the Gateway. Edit: also wanted to add that I have...
I see Rob has provided the authoritative response, but if you're still curious what kind of crazy s**t I'm doing, here are some more details....
I only update when I'm having issues that I suspect might be due to the gateway. Not really a matter of policy, just that as long as it's working...
I'm at about 60% in systematic futures trading right now. My target is 50%, so I'm overweight at the moment, but I'm quite comfortable with that....
Thanks, but I bet you could have. A quick glance at the CME website shows the carry on cattle at around -10% YoY, whereas hogs are -1-2% (just...
I see the same thing, and here's my stab at an explanation. Rob's forecast scalars are calculated across all instruments. But the average carry...
If that isn't a typo, then that seems insanely frequent. (No offense intended...just trying accurately express my reaction to reading that.) I...
I've also been thinking about this. I've always used outright orders to roll. I looked at spread orders once a few years ago, and in many cases...
Definitely works. Been doing it for years, because my IB account is in the name of an LLC, which means automatically paying the professional...
Using an ideas-first approach, I would argue that this is wrong, even though it seems to work OK on crude oil. (I suppose because the term...
The key part of that quote is "every single day". The system described in Systematic Trading has an average annualized volatility target that...
IB also offers snapshot quotes that could be used to work around this problem. They charge a few cents per quote depending on the market, and will...
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