Once a week, I run a script that checks commissions on the instruments I trade. This morning, I see on KOSPI: "No Trading Permission, Customer Ineligible; Ineligibility reasons: ,Restricted: US residents may not open positions in this contract." This implies that trades to close open positions will still be allowed, but no new positions may be taken.
Excellent to hear that you have a script for this! I currently look up commissions manually, first by entering them from the IBKR website and then by double checking them on my account statement. While this works, it is time-consuming and error-prone, and it disincentivizes me from regularly updating my configured commissions. Does your script use https://interactivebrokers.github.io/tws-api/classIBApi_1_1CommissionReport.html (assuming that your broker is IBKR) or have you managed to automate this task in some other way? Thank you!
First, I didn't know about this commission report function. That could work. Second, I use ib_insync, not the IB API. Using ib_insync, my script cycles through all my instruments and creates a whatIfOrder, stores each commission, and then outputs them all to a CSV file. In the IB API, it's described at https://interactivebrokers.github.i...1Order.html#a657f43100729808a833b9c01adeeb165 The advantage is that in addition to the commission, it tells me when something is not tradeable. And since most of these changes occur on weekends, running it each Sunday alerts to me such problems.
I don't want to share it in public because my code is terrible. I'll send it to you privately (if I can figure out how) and you can fix it up all nice.
I've incorporated the script from @newbunch * into my reporting framework, so now this report should upate daily: https://github.com/robcarver17/reports/blob/master/Commission_report * more accurately I've included the concept of generating a 'whatif' order for each instrument in the current priced contract It's quick and hacky and needs a little refinement. - exclude the korean % commission rate markets - There are quite a few instruments near the end that are showing as 'missing' for IB that I don't actually collect price data for so there is no active priced futures contract - I will exclude these from the report. - The instruments right at the end with a blank IB currency code are those for which I get some kind of unusual IB error when trying to place the 'whatif'. Most of these are new instruments I added recently but haven't yet tried to trade. As a safety mechanism though, I will add them to my don't trade list until I can work out the problem. When cleaned up I will include a script for pst users that will allow you to automatically update the commissions saved in the .csv file if they are way out, as we already do for spreads. Rob
A quick update (more will follow in my usual annual review blog post in a few weeks time), good performance recently - now at a HWM and YTD about 12%. But don't worry, things will get worse, for two reasons: firstly the usual universe punishing my hubris for posting at a HWM, but also because I've substantially increased the allocation to my futures account. I've also decided to no longer reveal exactly what that cash allocation is. In the past I've been quite open about the exact amount but then had to hide what my allocation to futures is as I don't really want people to infer my exact net worth by dividing the two numbers out (though you can probably have a guess, but I will say the very small number of people who do know my net worth are surprised how poor I am relatively speaking - certainly much poorer than if I had worked for another ten years in the hedge fund industry!). Instead I think it makes more sense to be open about what my futures risk allocation is but not the $ amounts. So FWIW my risk allocation now is around 40% in futures, 5% in bonds and 55% in equities (cash allocation to bonds is obviously higher, and may well be higher anyway since I hold a chunk of very short term bond ETFs in my futures account which I label as cash). [Of course given my allocation has increased; and I was open about my account size before, this does give you a lower bound on my net worth, but I leave that calculation as an exercise for the reader who really cares about this sort of thing - and people do google my net worth(!)] The last real money figure I will ever share with you then is this; my accumulated profits in this account over what will be ten years of trading at the end of this month now come to over $1 million. Which means I can now write a click-baity.book called million dollar futures trader or something. Of course I probably saw gains/losses of a million bucks every few seconds back in the day, so forgive me for not being that impressed with myself. Anyway back to the allocation increase. Reasons for this are several; I had a large money losing long only investment which allowed me to take a big tax loss. I put a bet on long duration late last year (buying UK and US long maturity government bond ETFs) which was very good in terms of timing getting in, but I was a bit slow getting out and gave quite a bit of it back. If I had done this trade properly I would have bought long dated bond futures and had a proper stop loss; instead I entered into it without any clear exit plan, violating all my own rules. Anyway as it was I did decide to close this overweight offsetting the relatively modest profits against the tax loss, and leaving me with a chunk of change to reinvest. I recently added a huge chunk of instruments to my futures strategy, though I do need to check I can actually trade them all (see recent post on issues with WhatIf orders), and it seemed a good idea to also pour more money in so I could take better advantage of this. Looking back at my past performance, I seem to be best at adding alpha where I'm actively trading - futures and also my UK stock portfolio; in contrast I haven't done terribly well at long only beta allocation in stock/bond ETFs (although we can argue about the statistical significance of these figures). It also seems more plausible than ever that the pure sharpe ratio for a massively diversfied futures strategy will be higher than a long beta strategy in equities and bonds; and even if it wasn't then all the work I have ever done suggests an allocation to trend following should be much higher than I've ever had it before, purely on a diversification basis. And my strategy isn't just trend following. In the past I've used this trading account as a 'piggy bank', only withdrawing cash above the HWM and not compounding my account size above that. Instead I relied more on long only investment dividends for income. I'm happier now to allow the capital at risk to fluctuate with the account size, compounding profits when I can, but also withdrawing money if I need it regardless of whether I am profitable or not - basically how I treat the rest of my portfolio. Having now traded for 10 years independently I'm now fairly confident that my coding and strategy design is robust enough that I'm not going to lose all my money through some huge error; sure the risk premia may go away for the next 10 years but then it could also go away for equities and bonds. There is a potential risk in having a large balance at a single broker, but as has been discussed on this board before it's very small. If IB go down, then I suspect we will all have bigger problems to worry about. There is a potential loss in tax efficiency, since I can time/manage my ETF trades, just as I alluded to above. But with dynamic optimisation it's perfect feasible to do some manual early closing on positions just before tax year end to realise a loss or gain where that would be preferable to waiting a few days (and if they are reopened in the new tax year, that's fine, as long as they are rolled at the same time then they will be treated as new instruments for tax purposes). None of this adds up to a quantitative justification, but I think it makes sense. And I'll probably let the account balance creep up some more, if possilble, which is more likely if I can take further long only tax losses and see profits in the futures account. Anyway hope everyone else is doing okay Rob