JSParticipant
Veteran
If it’s still not entirely clear, it might be best to check directly with IB themselves…
If i am not mistaken, there is also CFD without overnight fees (not the CFD Cash), but with larger spreads… They are more suitable for swingtrades and if you keepd your positions more longer.
They have a date of expiration (written in their name) like futures.
yep, just consider so much higher spread for those so called cfd-futures…. as alwas – no free lunch anywhere.
Yes, it is more for buy and hold (for 1 month or 2 month)
jebus89 wrote: Well i hope to get approved this week and can start to test my algos to see if its doable or not! Thanks so much for all the info guys. Lets see if im a futures trader or if im stuck with CFD going forward! JS thanked this post
…and how is it going, jebus?
justisan wrote: jebus89 wrote: Well i hope to get approved this week and can start to test my algos to see if its doable or not! Thanks so much for all the info guys. Lets see if im a futures trader or if im stuck with CFD going forward! JS thanked this post …and how is it going, jebus?
Well hows it going.. i finally got access to the futures account with premium account so im able to backtest and im kinda stumped.. Obviously its not 1:1 and im seeing some issues here and there. Some algos look bad on futures so i got no option to run it there. others look kinda similar or almost 1:1, but trying to calculate the cost of running on futures vs CFD when comparing the backtest results are kinda hard. Like look at my picture here, im trying to use chatgpt to calculate my funding cost and comparing to running vs futures but its not that easy or im just not doing it right, im left confused. Futures are on the left side, CFD on the right side. Ignore the insane high numbers, i need to backtest on Mini to get the big 2006 data on 1h, so i just adjusted the CFD contracts to match 1 mini contract. i would run this on Micro futures.
On the graph picture the CFD is on left side and Futures on right side… Like unless the funding cost is costing me 100K € (for 50 contracts..) i would rather run the CFD vs the futures.. average holding time on this algo is almost 4 days per trade
- i notice different amount of trades
like im missing the 23.00 clock candle, in futures it dosnt enter that trade, but it does in the CFD… so it makes sense MACD and other indicators will behave differently than the CFD charts..? how do i deal with that lol
heres the difference between a daily strategy on CFD vs futures. its not 1:1 but its at least more similar, wouldnt mind running this on futures to remove the funding cost on CFD; this algo is holding avergae trade 7 days… thats 7 days of funding cost for each average trade i dont need to pay.. the daily algos are obviously the ones demanding most funding cost so it would be nice running them on futures.
but even on daily theres a difference in amount of trades. i realize photo above has 2 different start dates in 1998 but if i adjust both to same dates its still 317 futures trades vs 350 CFD trades…. and i mean… i dont like that… i can try to reoptimize the algo for futures market but it WOULD BE NICE to just use an algo ive used every day for the past 8 years directly on futures and just not have to optimizie and risk fucking it…. dunno… guys whats your thoughts
Hi jebus,
Unfortunately it is not in this thread but throughout times I told a dozen+ times that no Strategy can be the same for IG and IB. I always cite : plot a simple Average for both and see that already that is far from the same or even similar.
A special thing we deal with is that IG changes her own strategy for hedging and you’ll find that in the prices of the instruments. Thus, from one day to the other your Strategy stops working because IG changed hers.
With IB this cannot happen – there we deal with traders only (who can also change “strategy” as such and which dimension is incorporated in IG’s data as well (because reality is underlaying)).
Anyway you’d need to start all over at “porting” from one to the other (IG vs IB).
Do i understand correctly that you cannot trade on the continues contracts, like in IG with CFD you got the “full data” and you can trade on that chart, is that not possible on futures? You gotta algo trade on contracts that expire?
How are you guys doing that? Can you trust that the backtest done on the “full” data continues to perform on the expiring contracts? that would greatly affect indicators like MACD etc that rely on momentum and previous candles??
I was up till 02.00 sunday night backtesting and optimizing my algos for futures contract, went to start one and it said “cannot algo trade on this chart” LOL…
JS wrote: Hi @jebus89 Here are the current prices for IB: Premium software license Fees per order PRT credits Margin requirements If you want to run multiple systems on the same market, you have the option to have sub-accounts created by PRT. You can decide how the PRT credits are distributed across the different accounts. For example, I had my sub-account integrated into my main account and allocated the PRT credits between the accounts. Example: Currently 1 Micro E-mini Nasdaq-100 Full0326 “short” position on the Nasdaq: Exposure: Close × PointSize × PointValue = 25,638 × 1 × 2 = $51,276 (€43,455) Margin: Initial $3,253 / Maintenance $2,957
On your screenshot looks like you where trading on the “full” data?? Is it possible to algotrade on the full data charts?
JSParticipant
Veteran
Correct, you must start your system on the “Full contract”. This contract is a combination of the current futures contract and the previous futures contracts…
Futures contracts have a lifespan of three months and expire on the third Friday of the final month. Before expiration, the contracts must be “rolled over”. Unfortunately, this requires the system to be stopped and restarted using the new futures contract. According to Nicolas, automatic rollover was expected to be implemented soon, but unfortunately this is still not possible…
hi jebus, thanks for sharing your experiences.
rework workload when transiting a strategy from cfd to futures depends of course on the very details / parameters / inputs one uses to define a trading logic. price data itself might be also significantly different for same instrument on cfd vs futures, and I mean now not price behaviour on “micro-level” like single ticks but like this for example: dax index on cfd “trades” during hours and during some days when futures are not traded (futures exchange simply being closed, while cfd broker indicating prices still and giving possibility to trade) – so of course it might influence various indicators and also other significant price points like day’s open/close/high/low. that needs to be considered for specific stratetgies.
because of tutures contracts expiring (like dax every 3 months), and no automatic roll-over possible still, for futures I implemented the rule which closes all positions – if any open – for all algos one day before contract expiration and “quits” then every algo. then I restart all algos on the new contract in the evening or next morning. that rule is included in the backtest version and also in live version, so live version “behaves” same as backtest in this regard. expiration dates are known in advance, and also all past expirations are known, so one can collect past dates and add this kind of “expiration calendar” manually into the code for the backtest purpose, and add future dates into the live version. this rule / interuption did not have any significant impact on long term performance on my strategies, even if some algos by their general logic/design might carry positions overnight and over weekends, so potentially (if that would be a not-expiring-cfd) during periods of contract expiration, yet again, your strategies might be very different and so the impact of such interuptions. but the impact might be positive as well, it’s not be default negative.
cheers
justisan
