IB Multiple Account Questions

[emretezel]

Hi Rob, everyone,

For those who run pysystemtrade fully automated in production using IB, and if you also happen to have ETF positions away from the futures system, do you have two accounts - one for pysystemtrade futures and one for everything else? Are such accounts totally separate or are they linked, such as one of them being master account?

Best,
Emre

[tgibson11]

I have some ETFs in the same account I use for futures trading. Why do you ask?

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On Sun, Jul 17, 2022, 6:08 AM emretezel ***@***.***> wrote: Hi Rob, everyone, For those who run pysystemtrade fully automated in production using IB, and if you also happen to have ETF positions away from the futures system, do you have two accounts - one for pysystemtrade futures and one for everything else? Are such accounts totally separate or are they linked, such as one of them being master account? Best, Emre — Reply to this email directly, view it on GitHub <#700>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AA3JWKQ6P4DXVQHZTX4NR6TVUQAWTANCNFSM53ZXNPAQ> . You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>

[TobiasAntiGravity]

I think I read your question to quickly when I posted my first answer.

I will add to my answer that it is based on interpreting your question as asking - has anyone gotten a second account to do discrete trading. Here is a modified answer, clarifying the residual P&L part;

ETF's are a separate asset class, and so pysystemtrade does not get confused about positions not registered in the db.

Only impact I can think of for the pysystemtrade system is; the residual in calculation in the P&L report. My understanding is that profit is calculated using position and price data from pysystemtrade db. At the same time a control calculation is done where the system basically checks what IBKR's profit calculation is. The difference between the two is the residual mentioned in the report.
I therefore believe that adding an ETF position to the account would add to the residual discrepahncy in the P&L report.

I actually have thought about doing a separate IBKR account in case I wanted to do discretionary trading in futures. That would impact the above mentioned. Of course I assume that you could setup a strategy in pysystemtrade that is basically a placeholder for discretionary trades - so each time you do one, you would enter the trade under this strategy.
There is one practical annoyance; If you use the IBKR app for trading, IBKR will not allow to simultanious logins consuming the same data subscription. So, logging into say the IBKR phone app, will cause the gateway from pysystemtrade to loose it's data feed.
I would not do two separate accounts though, as this means two data subscription costs

[mjuhanne]

There's not really need for a separate account. I've added a bogus 'discretionary' strategy for pysystemtrade and then I either manually create the trades on interactive_order_stack or if using IB app, add the balancing trades there afterwards.
This way things are neatly separated and I can plot PnL for each strategy (including discretionary).

On IB, I've created a separate user that allows logging on IB app without disconnecting pysystemtrade. Since manual trading is not done often I haven't gotten separate data feed for the extra user.

For adding bogus strategy, modify private_config.yaml:

strategy_capital_allocation:
function: sysproduction.strategy_code.strategy_allocation.weighted_strategy_allocation
  strategy_weights:
    .
    .
    .
    discretionary: 0.1

strategy_list:
  .
  .
  .
  discretionary:
    load_backtests:
      object: private.mysystem.run_system_classic.runSystemClassic # not really run
      function: system_method

Also this patch was necessary to add the balancing trades to bogus strategy

For mixed use account these patches might also come handy: this and this

[emretezel]

If the ETFs pay a cash dividend on a day, wouldn't the futures system think the capital is now higher, given there is more cash in the account?

[tgibson11]

Yes. Not just in the case of dividends, but the current market value of the ETF will be included in the trading capital. In my case, that is what I want. Pysystemtrade does have a configuration for production_capital_method. Full is the default, but there is also half and fixed. See https://github.com/robcarver17/pysystemtrade/blob/master/docs/production.md#capital . You could probably write a custom method that would exclude the market value of your ETFs.

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On Sun, Jul 17, 2022 at 2:32 PM emretezel ***@***.***> wrote: If the ETFs pay a cash dividend on a day, wouldn't the futures system think the capital is now higher, given there is more cash in the account? — Reply to this email directly, view it on GitHub <#700 (reply in thread)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AA3JWKRRRJ44YQB3FFN5LM3VUR3YBANCNFSM53ZXNPAQ> . You are receiving this because you commented.Message ID: ***@***.*** com>

[emretezel]

This is why I was thinking having a separate account for pysystemtrade would be cleaner, as one would prefer to run a dedicated capital for futures strategy and wouldn't want to commingle it with Stocks or other non-futures instruments.

Curious how Rob does it as I would expect he would have some ETFs in his IB account (outside of ISA or SIPP).

[robcarver17]

I have one ETF in my IB account (used to be many more). The code only recognises futures, it ignores ETFs, shares, and also FX. The only impact is the residual p&l since that takes the whole account value into consideration, but this particular ETF has almost no P&L so isn't important, but back in the day there used to be quite an effect. It will also have an effect on margin, but then I only monitor that I don't use it.