"Dear Mr. Carver, On this date 10 years ago, you opened your account with Interactive Brokers." So let me see, 10 years ago I had resigned from my job with AHL a couple of weeks earlier, but I had negotiated an exit that involved me working half my gardening leave at reduced hours but with full pay; as I was not going to a competitior and it was felt the optics would be better if it was a more gradual transition. But I was taken off the fixed income desk and put in a corner; well that is an exaggeration, I was on a desk in amongst a bunch of empty desks that were being prepared for incoming staff whilst they were doing an office move. I had almost no idea what I wanted to do next, but I did fancy trading my own money in some automated way. So I got myself an IB account, which I initially funded with some stock transferred from one of my wifes brokerage accounts (as I was earning big bucks as a hedge fund manager it made sense for tax reasons for her to own everything), and I bought a beat up old laptop. And the truth is although I never ever transferred any files or copied any code, I started working on my trading system whilst at the office. What a naughty boy I was; but I didn't have much else to do apart from some nebolous project involving interest rate regimes https://qoppac.blogspot.com/2018/02/cta-allocations-qe-meta-prediction-and.html, answering the ocassional question from my former team mates, planning my leaving drinks, and generally being a pain in the arse as someone is wont to do when they have nothing to lose and a major beef with the management. I didn't actually go live until April the following year, partly to align with the tax year, and partly because it turned out to be quite a task to write a full stack trading system from scratch, even once I was doing it 'full time' when my gardening leave started in earnest in September. And as the cliche goes, the rest is history. Well I no longer run that original system, which has now been supersed by psystemtrade (and I'm not sure I could even lay my hands on a copy), but certainly I probably still have some residual price data in my database that was originally collected not long after that account was opened and which I've subsequently copied across. Anyway, it's still quite gobsmacking to think that it's been 10 years, just over 20% of my life... Rob
Nearly a year after @Kernfusion first posted about it, I've finally got round to implementing instruments with no market data. Am happily collecting EOD data, and I've done a test trade with the SNAP order type (I won't do any real trades until I have been sampling them for a while and get round to putting them in my strategy, probably not for a few months). Just need to check I can collect delayed bid/ask samples which I use for slippage data (if not will have to enter these manually). As a result, I'm pushing another batch of instruments into my dataset which will be at 250+ when I have finished. Pleasingly, the very first of these was the FTSE100 which I used to hold as a hedge against my long only positions back when I had a 'dirty' portfolio rather than the clean futures + cash I have now. Since I couldn't auto-trade it, I had to do a manual trade via the web interface every roll. You can see I was short two contracts of H15 way back on the very first post on this thread... Rob
great delayed bid\ask should be no problem, tick IDs for them are 66-delayed Bid, 67 delayed Ask, 68-delayed last, 75 delayed close, I process them exactly as regular ticks, as if I had a massive network delay , but I do place a different order type (SNAP MID AuxPrice = 0.0 GoodTillDate around 40 min) and don't modify it later. Several months ago I switched to collecting EOD prices for these contracts using reqMarketDataType(3) and reqHistoricalData (credit to @younggotti), before that I was using Delayed Last and Delayed Close every day for every active contract, one day at a time - quite painful but it worked. The new approach it better of course. 250 instruments is massive, not all of them are actually tradable I assume because of volume, duplication, size, etc.. I guess the current full list is in this report "Liquidity report" here: https://github.com/robcarver17/reports/blob/master/Liquidity_report I really need to revisit my instrument and rule weights taking into account costs and re-implement them with handcrafting, my rule weights are still coming from the bootstrap optimization of the original pysystemtrade..
Yes that report lists everything, 201 instruments although I've added a few more today so now I'm up to 221. Of those 36 are duplicates, and perhaps another 80 or so aren't liquid enough to trade, plus half a dozen or so US instruments that I can't legally trade (stock sector futures). That brings me down to 144 tradeable instruments (some of those categories are overlapping - eg duplicates that are also illiquid). I have just over 40 to add in my current set, so I'm unlikely to hit 200 tradeable instruments sadly :-( GAT
Actually took a bit of work for this but that's because I was using reqHistoricalTicks to get the last 200 ticks then calculate the average spread rather than reqMktData, which I use for my execution algo. And it turns out that reqHistoricalTicks does not work even if you request delayed data. It actually made more sense to simplify the code so it requested a ticker object using reqMktData, then took the ticks out of that, so less duplication. But it's working now, which means I will start collecting bid/ask data I can use for cost estimation. Rob
Hi Rob. I have some question about your book leveraged trading. I want to start learnd systematic trading. I have developed a continuos system, one of the with: SPY, GLD, TLT An the other one with: AAL, GOLD, MRO, BAC, NIO. The system are not in real environment. My question is: After the market close, if a want to adjuts the position, I have to add the unrealizedPNL to the capital allocated of this instrument, and then calculate Ideal_Notional_exposure. average exposure and desviation or only with the realizedPNL. The two systema are here: https://colab.research.google.com/drive/1vIiuRaRGa10W20_89niH3scsr5w62_-w?usp=sharing https://colab.research.google.com/drive/10GY49LAQx0d_k7MFLjcNUoskg9coJVOl?usp=sharing I'm working hard to try to undertand the system, because I would like to go to the next level Futures Trading Strategies.
If you are doing what I am doing, you should scale your capital according to the mark to market value of your account, which will be equal to the sum of both realised and unrealised p&l. This is Kelly optimal. Some other people <cough Jerry Parker> don't do this of course. Rob
In case you guys didn't see it on twitter, I'm doing TTU this afternoon so email info@toptradersunplugged.com if any questions and make sure you include your proper name, or at least an authentic sounding fake name, or Neils gets grumpy... Rob