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I have developed and trade a long/short quantitative system. Unfortunately the stocks to short are sometimes quite expensive to borrow (Interactive Brokers has interest rates up to 50%). Right now my main concern is the number of trading signals i lose when i do not trade the expensive positions. This could be easily added to my backtest. Right now i just have a rough estimate of how many signals i will lose.
Unfortunately i have just started to store the short rebate information from IBs ftp server a few weeks ago. My question is if anybody can help me out with historic short rebate data (my broker won't). I would be interested in US stock data back to 2006. If the information is near the close it would be perfect.
Thanks for helping. |
A bad programmer can write bad programs in any language |
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quantz
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| Total Posts: 101 |
| Joined: Jan 2009 |
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| unfortunately not in a position to help you but i'd be very interested to hear how your efforts progress. i doubt you will able to obtain this data without paying. actually ping me offline for one suggestion |
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Thank you quantz. I will ping you.
Actually i did ask them, whether they could sell me the data. I only got the response that "IB does not engage in that sort of actions". I don't know if this support guy misunderstood me (English is not my mother tongue, as you might guess), but his response sounded a little bit like i suggested some criminal behavior.
Plan B will be to collect the data myself till end of this year and then compare the results of the two backtests. It might well be that the performance degrades massively due to price inefficiencies that i can not trade. Only time will tell. Otherwise: Back to the drawing board ;) |
A bad programmer can write bad programs in any language |
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