Took the plunge and started trading LE live.
Fixed my problem on not recognizing the LE contract by specifying the
contract expiry directly:
Contract contract = ContractFactory.makeFutureContract("LE",
"GLOBEX", "201402");
The multiplier from TWS and from CME is confusing.. 40,000 pounds? the
actual multiplier seems to be x400 so a $0.01 change in the contract is a
$4 change. The commission seems to be $2.76 per contract
Read the forum about concatenating data files, but.. is removing the header
even necessary?
Using two days of data and simply concatenating the files with a copy
command: 'copy a + b finalfile' seemed to work. The backtester accepted
the extra header in the middle of the file without complaining..
In order to get rid of the annoying automatic disconnect on TWS, I tried
the method in:
https://www.bigmiketrading.com/ib-trader-workstation/16703-keep-alive-tws-24x6.html
placing the executable in the windows Startup folder puts the program in
memory, and when the pop up comes up, the mouse automatically click on pm
or am to change the start up time.
Haven't figured how to fix power outage problems (had one yesterday) :P
or TWS disconnects (had one at 8:30 am PST).
Will probably have two strategies: one for regular hours and one for
overnight.. I assume there will a difference in the optimization for both
schedules.. have you guys observed that?
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