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Removed markets report produced on 23/12/2025 21:32
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List of markets which should be marked as untradeable due to risk, liquidity or cost issues
Following should be removed from trading (add to config.bad_markets) [0.300000 threshold]: ['BOBL', 'US5', 'EURIBOR-ICE']
Following should be allowed to trade (delete from config.bad_markets) [0.300000 threshold]: ['SMI', 'US20', 'CAC']
Markets too expensive (SR cost per trade > 0.010): ['JGB-SGX-mini', 'OATIES']
Markets not enough risk volume (Volume in $m ann. risk per day < 1.50): ['JGB-SGX-mini', 'LUMBER-new', 'OATIES']
Markets not enough contract volume (Volume in contracts per day < 100): []
Markets too safe (Annual % std. dev < 5.0): ['BOBL', 'BTP', 'BUND', 'CAD', 'EUR', 'EURIBOR-ICE', 'JGB-SGX-mini', 'OAT', 'SHATZ', 'SOFR', 'US10', 'US10U', 'US2', 'US5']
(Minimum standard deviation 5.000 calculated as follows: = max_vs_average_forecast * approx_IDM * notional_instrument_weight * notional_risk_target / raw_max_leverage= 2.0 * 2.50 * 0.040 * 0.250 / 1.000000
Use the following if you want to minimise turnover of markets
Put following into config.yaml
exclude_instrument_lists:
bad_markets:
- BOBL
- EDOLLAR
- EURIBOR-ICE
- JGB-SGX-mini
- LUMBER
- MILK
- OATIES
- SHATZ
- SOFR
- US2
- US5
Use the following if you want a clean slate without considering existing markets
Put following into config.yaml
exclude_instrument_lists:
bad_markets:
- BOBL
- BTP
- BUND
- CAD
- EUR
- EURIBOR-ICE
- JGB-SGX-mini
- LUMBER-new
- OAT
- OATIES
- SHATZ
- SOFR
- US10
- US10U
- US2
- US5
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END OF REPORT
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