I am using DTN IQFeed for live trading and backtesting. There may be better or cheaper options but it is working for me.
Great to see you back GAT, can't wait to read your new book! I'm still in paper (still can't save up the required 200k to start live), but the paper-system made some good profits in the last several weeks, mostly from the two US and one Italian bond, is it what other people are seeing too? (here's my paper PnL on 17 futures for about a year (Trend+Breakout+Carry 23% VolTarget, 200k base-capital), including the loses from initial code-bugs in the system which cost me ~ -12k of paper money )
Just an update for you guys. Trading wise the last few months have continued to be profitable, and I've made another 20% or so since I last posted so I'm currently at 30% for the calendar year; in fact I'm currently at a 6.6% drawdown so the gains were even more impressive until quite recently. I've put the finishing touches to my new book, and actually just got the printed copies delivered today (although the main release isn't until the end of October, and I still have to proof read the kindle version). There is now quite a bit of detail here: https://www.systematicmoney.org/leveraged-trading Incidentally there are quite a few references to this site in the book; including a nice quote about trading costs I stole from @comagnum (does he read this thread?). Over the summer as well as holidays I've been busy working on another project, building myself a 'writing room' in the garden that will also be a bit of a chill out zone for my kids. I'm going to write a blog post about the book, and another about the 'writing room' if you're interested in more details. My plan is to finish the building work before turning my attention to other projects. The first priority will be some serious sorting out of my technology stack; my NAS failed a few months ago, and I need to setup a new one with proper cloud backup this time. I've also got myself a new laptop (Lenovo ThinkPad T480 Core i7-8550U 16GB 512GB SSD 14 Inch, if you're curious) which I need to set up before ceremoniously burning the old one. I plan to keep windows as dual bootable, since the publishing world still refuses to use proper OS independent solutions like LaTeX (for my current book I actually had to buy a cheap desktop with windoze, plus an office licence that actually cost more than the machine!). I'm teaching again in January, although the course has now bedded in to the point where I just need to tweak the lecture notes a little and write some exam papers. The 'pysystemtrade' project has been on the furthest back of back burners. I have a large stack of issues with the project plus an even larger stack of unfinished business. So, what to do with it? One of my motivations for that project was to replace my existing futures trading platform, which is a big bunch of spaghetti code I wrote over 5 years ago now. However I'm debating with myself whether I really want to keep trading that system. As a source of exposure to alternative risk premia it's been fine, but intellectually it no longer excites me to think of refining that to the n'th degree. Instead I'd like to research and build something in a new strategy space. I don't have the time or inclination to deal with other asset classes, but I have several ideas about a new system that combines elements of longer term momentum and carry with shorter term mean reversion and intra-asset class action, and also introduces an element of optimisation to get the best possible factor exposure in the presence of integer futures contract sizes. Such a system should be more profitable than what I currently do, as well as being much more fun and exciting. Although parts of such a system would be broadly based on pysystemtrade, it would be sufficiently different to need a whole new architecture. Like all coders I think it's more fun to write new code than to maintain old code. Due to the vagaries of IB and the poor state of my existing code it's also difficult to test a system whilst running another in parallel. Another issue is that I'm wary of releasing the new system into the public domain; partly as it's a source of hassle, and also because it could be genuinely new IP that I might want to exploit one day. So one vague plan is: find a new BDFL for pysystemtrade to remove that source of hassle and guilt turn off my current futures system (probably at the end of the tax year as that's neater) take a sabbatical from trading, during which I develop my new system blog about the new system as I develop it, but don't release the entire code base. Start trading the new system I will at some point be writing another book. I have current ideas, one is essentially 'Smart Portfolios for dummies' in the sense that the new book is effectively 'Systematic Trading for Dummies'. That will give me two books, two in investing, two in trading, two for beginners, two which are more advanced. I like the symmetry of that. The other option, which will probably be book five, will be a grand tour de force on the subject of uncertainty in finance. It will probably be self indulgently long and have very few potential readers. As a result, I may have to self publish that if no reputable publisher is willing! Any thoughts on the above ideas are welcome. And best of luck in your own trading. GAT
Have you considered an approach where your research platform is decoupled from your live execution platform. That is the approach I have take with my product FasterQuant and it is working out so far.
What you could do is to get a second account at your IB account (sounds confusing? Yes, IB's nomenclature is confusing). Then have your current futures system trade under account Uxxx and the new system under account Uyyy. Switching off your current futures system would cause you to miss out on profits which the system is making for you?
I used to have a second account in my account, which I used for some long only stuff, and I can't remember if that caused any issues with my code. So yes, this might be an option. In fact there are some issues with turning off things entirely, in particular I'd lose my intra-day price collection. So I'd need to leave at least part of the code running. So maybe turning things off is a bit much. GAT
I've thought about this in depth before https://qoppac.blogspot.com/2014/12/why-you-need-two-systems-for-running.html In practice for this new system there will be 'off line' components that are the same for both research and execution; however the faster mean reversion element will be different (and in fact may be impossible to backtest as I don't have sufficiently high frequency data - but I'm relaxed about that for reasons I will explain at some point). GAT
Cool blog article. I feel I have achieved my own personal "nirvana" with my current workflow. If you have time, request a trial and perhaps get some ideas for your own implementation if that is the path you want to go down. The only code that is compiled is the SDK component...all other source code is provided. I am especially happy with my template based code generation approach where source code for the live trading platform is automatically generated.
Hi Gat, I don’t know if you have explored this in the past but it should possible for you to run a paper and live gateway with the help of IBC as explained here: https://github.com/IbcAlpha/IBC/blob/master/userguide.md#multiple-ibc-instances.
Great year GAT! Surprised to see your systems are doing so well when the traditional trend followers have been getting hurt lately. Are most of your outperformance this year coming from your trend system or more from the equity side? (e.g. bullish stock markets, or good stock picks)