日间自动交易讨论区

酒醉今朝

Two hours passed, no SVXY buying signal so far.

酒醉今朝

Market BUY SVXY Wed Oct 12 12:33:00 2016 at $72.84

酒醉今朝

Market SELL SVXY Wed Oct 12 15:47:15 2016 at $72.73 Result:-0.15

酒醉今朝

酒醉今朝 发表于 2016-10-12 02:47 PM
Market SELL SVXY Wed Oct 12 15:47:15 2016 at $72.73 Result:-0.15

Two consecutive losses almost wiped out Oct. earnings. See you tomorrow.

pdz

酒醉今朝 发表于 2016-10-12 02:53 PM
Two consecutive losses almost wiped out Oct. earnings. See you tomorrow.

大盘岌岌可危，不适合做多SVXY. 反过来VXX怎么样？UVXY就算了，毒药不碰。你这个系统做long/short SPY是不是更准？

Hutong9999

酒醉今朝 发表于 2016-10-12 07:08 AM
A technical question as you automate your order via IB API:
Do you use "SMART" or "IBALGO" as  ...

I use GLOBEX.

酒醉今朝

Hutong9999 发表于 2016-10-12 08:58 PM
I use GLOBEX.

Thank you for sharing the order type.
GLOBEX is for futures orders (FUT) only, which cannot use for STK trade.

酒醉今朝

pdz 发表于 2016-10-12 06:34 PM
大盘岌岌可危，不适合做多SVXY. 反过来VXX怎么样？UVXY就算了，毒药不碰。你这个系统做long/short SPY是不 ...

谢谢。我这个系统，原则上，可以做任何股票。
我测试过SPY,年回报率约20%, 当然不如加杠杆的SVXY好。
我测试过UVXY,因为交易次数少，统计不稳定。
我没有测试过VXX，因为没有足够的数据。你如果有一年或两年的分钟交易数据，让机器去学习一个晚上，很容易得到VXX的交易模型。

我知道现在的SVXY模型，最怕区间震荡，可是，一时拿不出对策，明天只能继续使用：（

Hutong9999

酒醉今朝 发表于 2016-10-12 09:43 PM
Thank you for sharing the order type.
GLOBEX is for futures orders (FUT) only, which cannot use f ...

o, stk, then SMART

酒醉今朝

Hutong9999 发表于 2016-10-12 10:35 PM
o, stk, then SMART

I am always placing Market Order using SMART.
Then my broker warns me "A Market Order is not guaranteed a specific trade price and may trade at an undesirable price. " and suggest me switch to algorithmic Market Order (IBALGO).
I guess I have to call them to make it clear.

Hutong9999

酒醉今朝 发表于 2016-10-12 10:47 PM
I am always placing Market Order using SMART.
Then my broker warns me "A Market Order is not guar ...

Calling is the best. Please share what you find out.

They may try to explain to you what has been written in doc though:
https://www.interactivebrokers.c ... algo_parameters.htm

Given you are trading in regular trading hours; svxy has good volume; and you are not high frequency traders; I am not sure it is worthy or not.


EDIT: actually now I may know why they message you. You place a big big order?

Hutong9999

Hutong9999 发表于 2016-10-12 10:55 PM
Calling is the best. Please share what you find out.

They may try to explain to you what has  ...

actually now I may know why they message you. You place a big big order?

酒醉今朝

Hutong9999 发表于 2016-10-12 11:03 PM
actually now I may know why they message you. You place a big big order?

No, that's not true. All sizes of my orders are pretty pretty normal.

酒醉今朝

Market BUY SVXY Thu Oct 13 11:53:46 2016 at $68.52

酒醉今朝

Market SELL SVXY Thu Oct 13 15:47:16 2016 at $70.22 Result:2.48

酒醉今朝

Hutong9999 发表于 2016-10-12 10:55 PM
Calling is the best. Please share what you find out.

They may try to explain to you what has  ...

Let you know that Today I spoke to a technical person in Interactive Broker.
He told me the warning I got is just a notice of potential risk of Market Order.
With larger volume, there is no problem of keep using SMART exchange.
He also told me that IBALGO has more powerful way to automate complex trading strategy.

Hutong9999

酒醉今朝 发表于 2016-10-13 07:43 PM
Let you know that Today I spoke to a technical person in Interactive Broker.
He told me the warn ...

thanks

酒醉今朝

Hutong9999 发表于 2016-10-12 11:03 PM
actually now I may know why they message you. You place a big big order?

SVXY has Market Capital: $ 266,141,000
Average Daily Volume: 1,429,575
Everyone's tradings are tiny.

酒醉今朝

Market BUY SVXY Fri Oct 14 13:27:15 2016 at $71.66

酒醉今朝

Market SELL SVXY Fri Oct 14 15:47:15 2016 at $71.10 Result:-0.78