Fully automated futures trading

Discussion in 'Journals' started by globalarbtrader, Feb 11, 2015.

  1. tokei

    tokei

    Hi Kernfusion,

    Oh yes you are right. Your system should know your orders for sure. So the question is how you keep your record of transactions, either by 1) your system, or 2) IB system (activity log), or your manual order log (this is exactly I do today), to calculate your performance.

    I will try the #2 approach. Thank you!
     
    #2551     Feb 7, 2021
  2. tokei

    tokei

    By the way, if I would give one advice to me of 3 months ago, it would be:

    "Know market open hours for the instruments you trade"

    I started my trading even without this knowledge, and it was like walking in the dark. Now I can schedule my day as I now know when I should place orders by market. There must be many others like this which I do not know today. It is all about experience and I hope time (and hard work of course) will solve all these.
     
    #2552     Feb 7, 2021
  3. Kernfusion

    Kernfusion

    yes, for me it's #1, although, I also look at IB statistics once in a while, because there might be bugs in my system. The annoying thing is that the two never match :). There are multiple reasons for that, one is that P&L from foreign currency-denominated futures comes in that currency, and I have to periodically convert it manually, so my system can't possibly know when exactly it was done. There are also other reasons for the mismatches, and at some point I just gave up on trying to fix\resolve them all. So now I just sometimes roughly compare IB stats with my system stats and if they're close enough - it's good enough :)
     
    #2553     Feb 7, 2021
    tokei likes this.
  4. I don't combine it in one account. I have one login name at IB, and then two account numbers (Uxxx). One of these I use for this futures trading system; the other for simple ETF buy/hold type of investment. So it is easy to track the performance of each separately.
     
    #2554     Feb 7, 2021
    tokei likes this.
  5. The other one is: "know when the markets are having holiday" Especially if you use exchanges in multiple countries you'll discover that the holiday calendars are very different.
     
    #2555     Feb 7, 2021
    tokei likes this.
  6. tokei

    tokei

    This info I think is wrong. IB still gives me the error message unless you refresh Kernel. I thought the error went away simply because I started to use "re-start the Kernel, then re-run the whole notebook" function (JupyterLab). Sorry about the wrong report. To be honest I don't understand what Kernel is all about. There's much to learn.
     
    #2556     Feb 7, 2021
  7. tokei

    tokei

    Hi HobbyTrading!

    I did not know that you can have 2 separate account numbers in a single account. I will investigate if I can do the same. Thank you!
     
    #2557     Feb 7, 2021
  8. tokei

    tokei

    I don't find this important yet. Could you please elaborate?? Is it important when you roll your contracts?
     
    #2558     Feb 7, 2021
  9. When you start your program you connect to IB, using command eConnect(). This command includes the setting of your clientId. Before you close your program you have to disconnect from IB, using eDisconnect(). This tells IB that the clientId will not be used any more. And that it can be re-used in the future. If you don't disconnect before closing your program and then restart your program using the same clientId IB gets confused as they believe that this clientId is already in use. In that case you get to see the error message which you showed.
     
    #2559     Feb 8, 2021
  10. Depending on how you implement your automated trader it could get confused if you submit an order and nothing is happening due to a holiday.
    You mention rolling contracts: some people roll very early and then the holidays don't matter much. However, if you roll late and the expiration date is after a holiday you might run into problems.
     
    #2560     Feb 8, 2021