What exactly happens when a currency contract expires? I accidentally forgot to close my BRE position at IB and it expired today. Does it deposit reals in my account or the equivalent USD? How long does it take to do this? My system (PST) still thinks I'm long 1 BRE contract so I'll need to create a trade to close the position but I don't want to do it until IB stops saying I have a position since it'll cause a break. Thanks!
It will deposit reals and I think it will take 1 to 3 days (probably first appearing as an accrual before the settlement of the cash) but the reported position in the future will probably go to zero in 24 hours or so. Rib
The BRE contract is "cash" rather than "physically" settled. This may say strange with currencies, but it means that you get debited or credited dollars based on the change in value at settlement (P&L). You don't get a contract-sized position of Brazilian Reals. You can check this up on CME's website, but I've let BRE contracts go to settlement and that's what happened. IB charges you the normal commission when the contract settles but you save on the spread (which for BRE is not a big concern). In my list of CME currency contracts, only the Brazilian Real, Russian Ruble (which no longer trades), Indian Rupee, and Chinese Offshore Renminbi cash settle. All other physically settle.
Didn't know that, you're right what I described was the 'physical' settlement of FX futures where you get the actual currency credit and debit, clearly for cash settled you'd just get the money in USD like you would with the VIX or another cash settled thing. I've obviously never let cash settled FX futures expire, although I have done so with physical. Rob
Hello Rob, I have a couple of questions for you. In your AFTS on page 79, in the middle of the page where the Exponentially Weighted Standard Deviation formula is presented, does "r*t" refer to the "r*t" mentioned on page 78, or does it refer to "r*(λ)t" as discussed on page 79? If it is from from page 78, which period would you recommend? (I put lambda as your suggestion) I'm curious about your thoughts on employing long-only strategies on specific product, such as US indices or Gold. Do you perceive this as potentially leading to overfitting?
1. It's obviously the r* in the formula immediately above on page 79; and you would use the same lambda as when calculating the standard deviation 2. Why would you think that say Gold would go up by more than any other asset? That's not just overfitting, it's discretionary trading... Rob
Hi Rob and all, New to the forum, been systematically trading for about a year now, learned to code in pinescript. currently working my way through the Leveraged trading book and i'm up to section 3. Quick question if I may please when calculating my ‘fx exposure’ with spot fx. Seeing as my account is in GBP, if I was trading the GBP/USD pair, would I just use 1 as the fx rate? For example : GBP/USD Capital - £2000 Annual std dev - 7.35% Target risk - 12% Notional exposure = (12% x £2000) / 7.35% = £3265 FX exposure = £3265 x 1 If I was trading EUR/USD I would do the following : EUR/USD Capital - £2000 Annual std dev - 7.18% Target risk - 12% Notional exposure = (12% x £2000) / 7.18% = £3343 FX exposure = £3343 x 1.14 (GBP/EUR rate) = €3811 I’m pretty sure that’s correct but just making sure I’m on the right path. I also just wondered why on p136 for the AUD/USD example you have wrote that the AUD/GBP rate on 18 June was 1.781 - don’t you mean the GBP/AUD rate? If I use the AUD/GBP rate (approx 0.56) it doesn’t seem to total correctly as I’d expect. Thanks for any time and help, Tom
Seems I'm always starting the sad conversation , but did we just loose some money? I'm down about 5.5% in the last week or so (lost on UB, SEK, NZD, MHI), also the system dropped a lot of exposure., Right after things started to look up..
Our systems seem to be synchronized. My account was looking up (as was yours), but lost last week some 10%. Exposure, as measured by margin requirement, has been substantially reduced during last week. It went down by about 40%.
My system is down perhaps 1pct last week so not so dramatic. But it’s been choppy all the way from March this year for me. I blame the turbo charged risk on/risk off environment.