yes 6 actual positions in total., the left-most column is the actual positions also shows in which expiry month, the next one is unrounded ideal positions, the next one is top 3 most-correlated instruments, only populated when there's a big difference between actual and ideal.
Now fixed. Here's a correlation matrix without shrinkage Code: ============================================================================================================== Correlations ============================================================================================================== BRE DJSTX-SMALL DOW EU-OIL NIKKEI RUSSELL SP500_micro TOPIX GOLD_micro LEANHOG GBPEUR BRE 1.00 0.44 0.50 0.39 0.32 0.50 0.53 0.28 0.42 0.32 -0.26 DJSTX-SMALL 0.44 1.00 0.76 0.40 0.69 0.76 0.79 0.66 -0.05 0.24 -0.29 DOW 0.50 0.76 1.00 0.44 0.66 0.88 0.95 0.62 0.08 0.23 -0.20 EU-OIL 0.39 0.40 0.44 1.00 0.33 0.43 0.43 0.33 0.02 -0.04 -0.31 NIKKEI 0.32 0.69 0.66 0.33 1.00 0.71 0.69 0.95 -0.15 0.13 -0.09 RUSSELL 0.50 0.76 0.88 0.43 0.71 1.00 0.90 0.63 0.15 0.26 -0.22 SP500_micro 0.53 0.79 0.95 0.43 0.69 0.90 1.00 0.63 0.08 0.23 -0.23 TOPIX 0.28 0.66 0.62 0.33 0.95 0.63 0.63 1.00 -0.20 0.06 -0.07 GOLD_micro 0.42 -0.05 0.08 0.02 -0.15 0.15 0.08 -0.20 1.00 0.24 -0.20 LEANHOG 0.32 0.24 0.23 -0.04 0.13 0.26 0.23 0.06 0.24 1.00 -0.08 GBPEUR -0.26 -0.29 -0.20 -0.31 -0.09 -0.22 -0.23 -0.07 -0.20 -0.08 1.00 ******************************************************************************** Rob
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 mistake that I did find. I'm now at 29 open positions. I have now re-read and improved entire forecasting and positioning code 3 times, and have concluded that I don't have a bug, but Kernfusion and Rob have bugs. About that mistake... I had the system off for 3 months, due to the administrative reasons (moving countries, needing LLC to trade in the new country, etc). I turned it back on at the beginning of August, and as I was moving infrastructure to new cloud provider, was placing trades manually for a few days. One of the trades was short 2 micros of silver, however, by mistake, which I blame on TWS's convoluted UI, I shorted 2 regular sized contracts of silver (they are the same symbol, and I never saw where in TWS can I specify the multiplier). I noticed only 3 days ago, and fixed the error immediately, but with silver really taking a dive for most of the month, I did end up profiting nicely. Sometimes you just have to be lucky.
I currently have 11 positions in PROD and 16 in paper, the performance has also been quite good lately (not at HWM yet but close), especially today and in the last several days, while S&P was loosing about 6-7%..
Anyone else ever seen one of these? I am pretty sure that a couple of cotton contracts (largest nr of contracts I hold in a deliverable commodity) doesn't constitute a large reportable position but I received this notice today. "Dear Sir/Madam: The Commodity Futures Trading Commission (the “CFTC” or “Commission”) operates a large trader reporting program to collect certain information on market participants, and uses that information in connection with a number of mission-critical objectives that help ensure the integrity of the futures markets. As part of the large trader reporting program, the Commission routinely collects certain identifying information, on CFTC Form 40, Statement of Reporting Trader (“CFTC Form 40”), from any trader that holds or controls a reportable futures or options position (“reportable position”), as established by Commission regulations 15.01 and 15.03. The Commission has received information from your carrying broker that indicates that you hold or control a reportable position."
That's actually pretty cool - makes you feel like a major player, doesn't it? I've never had one of those, but I do remember when I was working in hedge funds buying a reasonable whack of a bond ETF for my personal account; think it might have been 100 grand worth. Anyway it turns out this ETF was a bit of a tiddler with something like a £2 million NAV. Which meant I had just bought a little more than 5% of it - a position I had to notify to the FCA. I had an akward conversation with the compliance guy trying to find the correct form and working out who to send it to.... Rob
Actually my first thought was this must be in error so I wrote this afternoon to the CFTC asking for more information and got a prompt response. If you want to know what is required to become a major player with the CFTC go trade micro-ether futures, the trigger for being classified as a "large trader" is 25 contracts (= 2.5 regular ether futures contracts). I recall a previous discussion about why we shouldn't trade illiquid micro-contracts if we can avoid them. Here seems to be another one.
I clicked a couple of links on the IB web-site and it lead me to this list: https://www.ecfr.gov/current/title-17/chapter-I/part-15/section-15.03 so I guess your case went under "All Other Commodities - 25"., and 25 seems to be the highest number in the whole table., and if I understand this logic correctly, e.g. 3 full Eth contracts wouldn't be considered "above threshold" even thought their combined notional will be above 25 micro ones., so it's really the count that matters.. therefore, probably if the max position in the trading system is set to below 25 on all contracts (for me currently with DO the max is 7) it should go under the threshold..?