Robert Carver

icon indicating a website link systematicmoney.org

icon location I am a proprietary trader, writer, financial activist, economist, python user, and statistics/finance geek. I write books.

Results 6 comments of Robert Carver

Unify disparate caching code

Instances - ib_client and inheritance Probably keep caching in base system with decorators?

New report - live vs sim performance

I get NAV history intraday through the API, and also fill data through the API. So the data exists, it's just a question of making it an easy report.

Make all instrument orders limit orders, with a price limit set x sigma around the sampled price

Not really, no.

Bunch of new markets added create error on whatif orders

- WHEAT_ICE - NICKEL_LME - BRENT_W - ALUMINIUM_LME - LEAD_LME - PALLAD - SARONA - EURIBOR-ICE - FTSE100 - FTSE250 - EUA - GASOIL - GASOILINE_ICE - GILT - SONIA3...

Add commissions from IB to spread check report and update script

Commission report added, need to do script

Start collecting open interest data?

Sure could be useful. For implementation, please go slowly adding the required classes bottom up* one PR at a time and ensuring existing framework is respected. Any questions just ask....