Thanks. What about orders? Create & submit orders twice a day? I'm debating whether to add markets in other timezones.. hesitant because of the extra hassle of having it done twice per day. Even if it's scheduled, still have to keep an eye on things due to late data or issues with new strategy changes going in etc. I did 2 timezones with stocks, and regretted it. But futures, they're just better for diversification so yeah maybe...
I don't trade Palm Oil but I do trade other Asian markets along with European and American markets. I also use CSI data. I only update my CSI data once each evening after everything has closed. I have thought about updating during the day, but my backtests are based on once daily in the evening and while I suspect there would be some benefit from updating Asian market intraday I don't think the benefit would be that large.
I wasn't thinking intraday, I just didn't want to be late. The Asian markets end of day data is released 10 hours before NA markets https://apps.csidata.com/DataPostings?PostingStatus=1 My concern was if the backtest has you entering on the open, but you enter some time after the open due to late processing there could be quite a difference. Investigating MDEX it seems the market is closed at that time anyway if my time zone conversions are correct. So even if you wait to do orders at the US time it shouldn't be very late. This could change with daylight savings changes a little (can't see the MDEX markets in the CSI schedule though, so this timing is an assumption) Possibly some of the other Asian or Australian (ASX) markets could be late when doing once/day orders, especially any 23 hour markets. Would have to investigate each market individually. I wish there was no daylight savings, it confuses this process 4 times per year..
I trade my portfolio as a portfolio, much like Rob Carver's "dynamic optimization", so updating Asian markets when they close would be intraday for me. But if you trade each instrument independently, then I see no reason why you couldn't update each market after they close and the data is available.
Makes sense. Interesting that the CSI time is before the ETH close of palm oil (attached). My guess is that they only include RTH hours. Adding markets is the least systematic part of my system, definitely the most work
My futures system is still rather close to how it is described in Rob's book. It uses Asian, European and US based instruments. Each instrument is reviewed once per day, close to its closing time (approx. 30 minutes before end-of-day). Thus my software is running multiple reviews per 24 hours. Of course are time zones, and various daylight-saving rules, taken into account. But from the instruments' point of view is it basically an end-of-day review, not intraday.
Hi all! How are you doing in gold this year? Looking at the spot chart, it seems like we had a great trend. But my unweighted pnl for Jan-Sep was -36%. I see two reasons: the whipsaw in the middle of the year and the carry rule, which was trading against the trend all the time...
FYI, I ran into two problems this evening with my Python system interacting with IB through the API (ib_insync). This might help some of you out there. 1. Apparently there are now weekly Nat Gas futures contracts. Accordingly, my system was confused about which NG contract I was trying to work with. I had to add "NG" as the trading class to get data for the monthly contracts. Previously I had the trading class empty since that's how most contracts work. (The only other instrument I have that needs a trading class is the full size VIX contracts.) 2. Apparently, the S&P select sector futures IXT and IXM have changed symbols on IB to SIXT and SIXM. I wonder if the other select sector futures will also append an S to the beginning of their symbols. 2b. Trying to download historical intraday data for SIXM timed out, so the transition does not appear to be complete. SIXT worked fine. Other operations for SIXM (current quote, daily data) work fine. Never fun having to fix errors on the fly, especially when not of my own making. The IXT and IXM error could have been ignored since I have no positions in those and my system just wouldn't have traded them. But I have NG position and my system wasn't seeing them, which would have messed up all my portfolio stats (not too badly though since it is just one of many contracts).
Here's the CME page for weekly nat gas futures with the following note: https://www.cmegroup.com/markets/energy/natural-gas/henry-hub-natural-gas-weekly.quotes.html Here's what IB TWS shows when you try adding NG to a quote screen. You can see the two trading class options in the bottom left corner. Not sure why IB chose to use NG as the symbol for the new contract and have two trading classes for it rather than just add HHW as a totally separate contract.
my system is "online" all the time, it's reevaluating positions continuously as the new ticks arrive, and it can issue orders at any time, but this is unusual and an overkill for this type of system, I think most people process orders once a day..