# SPI 200 Futures!



## Bullseye

Hi there,

I have tried to undertake my own Futs research with not much luck and I was hoping someone could answer the following questions:

1. What is the difference between the ASX (SFE) SPI 200 Futures and the S&P/ASX 200 Index Futures?

2. Where can I find the best possible "live" charts showing the SPI 200 Futures movement?  The ASX website only has their 15-min delayed pricing only and I cannot find any proper real-time charting...

3. As a general consensus/own opinion, who are the top 3 Futs brokers?

Thankyou in advance.
B


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## supermatt

*Re: SPI200 Futures!*

I can answer question 2 and maybe some of 3.

I have done a lot of research on data and charts. To get the actual REAL Sydney futures exchange data you will need an account with a futures broker to get this. There are no other alternatives if you want the real SFE data unfortunately. (or get a data feed such as esignal which can provide the data) 

However if you just want the cfd charts for the spi 200 I know where to get free live charts from but I find them useless as there is no volume. (and I hate cfd's)  

Going by the general consensus on this forum most people use interactive brokers as they are a big company, charge low commissions ($5 per side) and offer free live data for the SFE which you can import into many popular charting platforms. 

Alternatively I was researching futs brokers in Australia to keep your money on shore and the best I can see is MF global which seem to be reasonable, albeit they have higher commissions. I emailed them and they said they charge $10 per side which can be negotiated depending on volume.

Still not many GOOD options if you are an Aussie. sigh.


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## Bullseye

*Re: SPI200 Futures!*

Great!  Thanks for your prompt reply... I will look into MF.  

I have seen IG Market's Aussie200 charting which is absolutely horrible and I am not sure *if *or *how *it correlates to the actual underlying SPI market. Which free CFD SPI chart are you referring to?


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## supermatt

*Re: SPI200 Futures!*

IG is one of the free cfd spi charts I was referring to. There are others but its the CFD so its not the real futures chart. Id say it tracks the futures charts pretty much the same with a few differences here and there. Just like fx futures and the spot market. But yeh IG have horrid charts. 

I am looking into MF as well


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## hooikk

*Re: SPI200 Futures!*

_1. What is the difference between the ASX (SFE) SPI 200 Futures and the S&P/ASX 200 Index Futures?_

I believe they refer to the same instrument. Feel free to correct me if I'm wrong.

_2. Where can I find the best possible "live" charts showing the SPI 200 Futures movement? The ASX website only has their 15-min delayed pricing only and I cannot find any proper real-time charting..._

I would think the only way is to open an account with a broker. As supermatt mentioned, IB is a good option.

IG-Markets and City Index (another CFD provider) are meant to mirror the movements of the SPI, but they tack on an additional 1pt spread during the day and 2pts during the night market.

_3. As a general consensus/own opinion, who are the top 3 Futs brokers?_

I've only traded the SPI using CFDs via City Index, but IB and MF Global usually top the lists of most people I've asked.


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## Punta

*Re: SPI200 Futures!*

Here's a couple of graphs of diurnal behaviour in the SPI200.  Perhaps no surprises, but I found a couple of them interesting anyway.

These are averages over a year of 1-minute bars I pulled from IB

Volume:  Much higher during day session, spikes during opening/closing phases, and minimum during midday


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## Punta

*Re: SPI200 Futures!*

The labels on the last graphs were wrong.  Should be right now.

What's interesting (to me):

Volume: Much higher during day session, spikes during opening/closing phases, and minimum during midday

abs(open-close) is the magnitude of the change during the minute.  Interesting that this is higher during the morning than afternoon.

Spread: much higher during the night session.  Interesting how it slowly ramps up after the day session.

Transactions per unit (i.e. the inverse of volume per transaction, looks neater this way).  Interesting how this ramps down in the afternoon, so that people are on average buying more per transaction in the afternoon than morning.  Is this the result of algos that accumulate slowly in the morning, but dump in the arvo, or is it that small players trade in the morning, and this big boys in the arvo??


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## Punta

*Re: SPI200 Futures!*

You might think that the mean(abs(close-open)) pattern is largely caused by the changes in volume (there are far more zeros at night, which reduce the average), and you'd be right.  With these removed, you still see the same diurnal cycle during the day session though (attached)


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## Punta

*Re: SPI200 Futures!*



Punta said:


> You might think that the mean(abs(close-open)) pattern is largely caused by the changes in volume (there are far more zeros at night, which reduce the average), and you'd be right.  With these removed, you still see the same diurnal cycle during the day session though (attached)




I guess you could argue this is expected because there are more "fundamental" announcements in the morning, and so doesn't necessarily indicate market inefficiency??


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## Trembling Hand

*Re: SPI200 Futures!*



Punta said:


> I guess you could argue this is expected because there are more "fundamental" announcements in the morning, and so doesn't necessarily indicate market inefficiency??




There is nothing unusual at all in that pattern. Thats how market participants trade. I wouldn't say it has to do with "fundamental announcements". All instruments world wide will display the same volume pattern.

What were you looking for? Did you find it?


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## Punta

*Re: SPI200 Futures!*



Trembling Hand said:


> There is nothing unusual at all in that pattern. Thats how market participants trade. I wouldn't say it has to do with "fundamental announcements". All instruments world wide will display the same volume pattern.
> 
> What were you looking for? Did you find it?




Not really looking for anything in particular - just getting a feel for high-freq data.

Sure the volume pattern is standard fair, I kind of included that to clearly indicate the day session.  

But what about the others?  E.g. "transactions per unit volume" seems kind of interesting - on average, people put through more units per order at the end of the day than the beginning.


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## Trembling Hand

*Re: SPI200 Futures!*



Punta said:


> But what about the others?  E.g. "transactions per unit volume" seems kind of interesting - on average, people put through more units per order at the end of the day than the beginning.




Units you mean contracts? Nope that is standard. Retail and the crap prop have nicked off for the day, most likely stopped out but also a lot just have a few swings and nick off for the day. All that is left is Algos and good Prop traders thus the larger size.


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## Punta

*Re: SPI200 Futures!*



Trembling Hand said:


> Units you mean contracts? Nope that is standard. Retail and the crap prop have nicked off for the day, most likely stopped out but also a lot just have a few swings and nick off for the day. All that is left is Algos and good Prop traders thus the larger size.




Fair enough, I buy it.  

What about the increase in contracts per trade in the morning and afternoon, relative to midday and night session?  I was thinking that this is when the largest fraction of the trades is probably by humans, and so maybe humans do more contracts per trade than bots.

Anyway, nothing particularly mind blowing, just of vague interest to a newbie who doesn't know high-freq trading....


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## Trembling Hand

*Re: SPI200 Futures!*



Punta said:


> What about the increase in contracts per trade in the morning and afternoon, relative to midday and night session?  I was thinking that this is when the largest fraction of the trades is probably by humans, and so maybe humans do more contracts per trade than bots.




Nah. Its how markets work. Opportunity brings in volume, Volume creates volatility which means opportunity . 

Overnight and midday there are less traders around, less volume = less opportunity. Pretty much self fulling.


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## Trembling Hand

*Re: SPI200 Futures!*

On my above point your charts show nicely what I mean. As the volume picks up so too does the range. Thats what you want as a trader. Range so as to have a possibility of a good R:R & cover trading cost and nice volume to execute your trades without slippage.

Its common sense as a trader that you trade that period, weather you are a bot being designed by a person or a fool trying to beat the former.


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## CanOz

*Re: SPI200 Futures!*



Trembling Hand said:


> , whether you are a bot being designed by a person or a fool trying to beat the former.




Classic......


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## Punta

I was going to post this over on the "What's happened to the SPI thread", but it's been closed.  

TH reckons that the introduction of bots could be responsible for the reduced range over there over the last few months.  I just made a graph illustrating the reduction in range, so thought I might as well stick it up here.

This shows the 1st & 99th percentiles for the difference between the 1-min-running-mean and the 10-min-running-mean (high, based off 5-sec bars).  Black is 2011, red is 2012.

Could have chose any metric for this, but the point is just that the SPI does not have the range, at least in the high-frequency, that it had 4 months ago.


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## Punta

in fact the 5th/95th percentiles from 2012 lie pretty much on top of the 1st/99th percentiles from 2011, so yeah, a massive reduction in volatility or range or whatever.


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## Punta

I mean it makes sense that it could be the introduction of bots, but I would have thought thought that there hadn't been any drastic changes in the last 8-10 months.  

I was thinking it more likely reflected generally clamer markets in the wake of the euro crunch, etc??


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## Punta

should be



Punta said:


> in fact the 5th/95th percentiles from *2011* lie pretty much on top of the 1st/99th percentiles from *2012*, so yeah, a massive reduction in volatility or range or whatever.





Nothing gobsmacking, just curious whether anyone has a good understanding of why the range dropped so markedly at the end of 2011?


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## blink231

Many thanks for your charts.

Not sure why the thread got closed (censored).

There is some algorithm in there that quotes at a much tighter spread than what the "old" index arb bots were doing. If I remember right index arb had a 4-5 point spread so the bots were quoting outside of that ... but this is definitely no longer the case. Also check the overnight SPI order book. It used to be empty and super illiquid. But now somebody is constantly quoting and maintaing quite a tight spread.

It must be some fairly strong (in size) algo that spreads us against whatever ... S&P futures would be my first guess .... but I don't really know.


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## CanOz

How about using a long term chart of the XJO and an ATR?


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## Trembling Hand

Punta said:


> Nothing gobsmacking, just curious whether anyone has a good understanding of why the range dropped so markedly at the end of 2011?




Because IMO prop has given up trading it. There are NO more locals.


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## blink231

Following graph shows SPI 10day MA intraday range since 2010. We've been that low before. However interestingly volatility seems to quickly shoot back up once we have reached these low levels. This is obviously related to world events ... so maybe I am just reading something from this chart that does not really exist. I guess we are about to find out.


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## CanOz

Its just volatility....

I pulled up a half dozen indices around the world and they're all the same....a bull market is usually accompanied by low volatility...

The SPI also has low volume and is at times almost illiquid looking.

CanOz


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## sinner

CanOz said:


> How about using a long term chart of the XJO and an ATR?




Just for the record CanOz, when you are looking at a longer term chart of ATR, or StdDev or similar measures you should really normalise by a mean price or current close because 10pts ATR when the index is priced 100pts is different from a 10pts ATR when the index is prices 1000pts.

The most common normalised historical vol measure is probably 'bollinger bandwidth'. This only takes into account closing prices, you can do the same with ATR.



The pane 3 is BollingerBandwidth(20,1) -- that is, 1 stddev normalised by the 20 period mean.
The pane 2 pane is ATR(14)/Close -- that is 14 day average of True Range normalised by the current close
The pane 1 that is my own personal code so I won't disclose it, but you can see it's not that different anyway. Less smoothing basically.

However, since XJO is not a really representative due to staggered opening times etc I've included BHP to show a better example of intraday vol. 


In this case pane 1 is bandwidth, pane 2 is prop sinner, pane 3 is normalised ATR.


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## Trembling Hand

There is a problem with range as a way to measure volatility for an intraday trader.

Rarely do you actually trade the daily range. If you have days when it just opens and grinds in 1 direction very slowly all day it is very hard to trade. If you fluff up a few trades in the morning going against the direction by the time you flip there is nothing left to get you back to even. Sooner or later you should start seeking out something that is trade-able.


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## sinner

Trembling Hand said:


> There is a problem with range as a way to measure volatility for an intraday *fader*.
> 
> Rarely do you actually trade the daily range. If you have days when it just opens and grinds in 1 direction very slowly all day it is very hard to trade.




There, fixed it for you. 

I have a couple of completely dynamic setups which hold until the close, they generally trigger and perform nicely (both psychologically and R:R) on the trend days you describe.

Just looked at the stats for one of those setups, it's triggered only 68 times since Jan 1 2008 (admittedly not on the SPI) profit factor 1.4ish.


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## Trembling Hand

My point was in reference to why there is no more prop traders and locals on the SPI. Just small retail fighting it out with the arb bots. Prop traders are active, 20 trades a day at least. No way in the world you'll find that on the SPI.


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## sinner

Trembling Hand said:


> My point was in reference to why there is no more prop traders and locals on the SPI. Just small retail fighting it out with the arb bots. Prop traders are active, 20 trades a day at least. No way in the world you'll find that on the SPI.




Yeah fair enough I guess, but dunno why the prop traders *have* to trade all day every day, instead of trading market regime appropriate setups?

I mean, if one of those setups I mentioned above was triggered I would be in and watching/waiting for the close, rather than looking for an exit to enter the next trade, market is telling me something on those days.


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## Trembling Hand

sinner said:


> Yeah fair enough I guess, but dunno why the prop traders *have* to trade all day every day, instead of trading market regime appropriate setups?
> 
> I mean, if one of those setups I mentioned above was triggered I would be in and watching/waiting for the close, rather than looking for an exit to enter the next trade, market is telling me something on those days.




Funny isn't it. Retail wants a few good setups, maybe even 1 per day. Prop wants 100.


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## sinner

Trembling Hand said:


> Funny isn't it. Retail wants a few good setups, maybe even 1 per day. Prop wants 100.




Well I'm happy to trade higher frequency if I think the market regime means I can get away with it. And classify myself as retail. 

If the regime is indicating the market is likely to run away from you, then standing aside or joining in (even if it means you enter at the open and exit at the close) seems to make more sense to me than keep standing in the way.


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## blink231

Trembling Hand said:


> There is a problem with range as a way to measure volatility for an intraday trader.
> 
> Rarely do you actually trade the daily range. If you have days when it just opens and grinds in 1 direction very slowly all day it is very hard to trade. If you fluff up a few trades in the morning going against the direction by the time you flip there is nothing left to get you back to even. Sooner or later you should start seeking out something that is trade-able.




Couldn't agree more. Though I could still successfully trade the SPI until a few weeks back. The "grinding" has always been a problem. But what has been bad just got a whole lot worse recently. Now the contract indeed seems to be finally completely dead.

Time to move on to better pastures.


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## CanOz

sinner said:


> Just for the record CanOz, when you are looking at a longer term chart of ATR, or StdDev or similar measures you should really normalise by a mean price or current close because 10pts ATR when the index is priced 100pts is different from a 10pts ATR when the index is prices 1000pts.
> 
> The most common normalised historical vol measure is probably 'bollinger bandwidth'. This only takes into account closing prices, you can do the same with ATR.
> 
> View attachment 46762
> 
> The pane 3 is BollingerBandwidth(20,1) -- that is, 1 stddev normalised by the 20 period mean.
> The pane 2 pane is ATR(14)/Close -- that is 14 day average of True Range normalised by the current close
> The pane 1 that is my own personal code so I won't disclose it, but you can see it's not that different anyway. Less smoothing basically.
> 
> However, since XJO is not a really representative due to staggered opening times etc I've included BHP to show a better example of intraday vol.
> View attachment 46763
> 
> In this case pane 1 is bandwidth, pane 2 is prop sinner, pane 3 is normalised ATR.




Thanks for the clarification Sinner. You are much more technical than I, and more so its seems since i was last on here frequently. To what do you owe your knowledge?

Cheers,


CanOz


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## sinner

CanOz said:


> Thanks for the clarification Sinner. You are much more technical than I, and more so its seems since i was last on here frequently. To what do you owe your knowledge?
> 
> Cheers,
> 
> 
> CanOz




I would say the technicality comes from mostly reading a **** tonne of financial research as well as reading quant blogs and speaking to quants who are willing to talk to noobs.

The CompSci background allowed me to pick up a lot if it really quickly since there is a huge overlap. From the compsci perspective it's just a time-series which needs processing.

First to admit the main reason I never blew up is because the market didn't punish early transgressions too hard (I put this down to pure luck) and the huge trending environs which took place post GFC when I was getting the 'swing' of things. I bought a lot of resource stocks in Nov 2008 and sold them when I moved to Melb. I bought a lot of silver and sold it into the spike. I traded the **** out GBPUSD and FTSE during the BP thing.


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## CanOz

Interesting Sinner, are a fully systematic trader yet?

What markets do you now trade? DO you trade the SPI?

CanOz


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## sinner

CanOz said:


> Interesting Sinner, are a fully systematic trader yet?




I've developed and using models for momentum, options vol, mean reversion, machine learning, stat arb, swing trades, vol breakout. All systematic, running on equities/equity indices, each has an 'on/off' depending on market regime. Usually only one/two are running at any given time.

Working on an options collar model, research is promising and based on returns I anticipate to drop the mean reversion and swing. Maybe even wrap it around the momentum strategy and turn off that models regime switch. Should reduce transaction costs by a chunk.

But no not fully systematic since I trade discretionary as well, AUDUSD or EURUSD depending on session. Never managed to systematise what seems to pay intraday (despite sooooo many attempts). I also speculate in OTM options, pretty unsuccessfully. In both cases I don't risk a lot.

I have a bunch of really robust daily forex models but the trade size required is way bigger than me, so they're sitting on the shelf until one of those OTM options returns 500,000,000% 



> What markets do you now trade? DO you trade the SPI?




Overall systematic: ASX XSO stocks, three US sector ETFs, SPY, QQQ and two related futures markets. I also spend a lot of time each day looking at markets I don't trade.

In regards SPI, nope, if I'm intraday trading Tokyo hours it will be AUDUSD these days.


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## CanOz

You have been busy Sinner!

CanOz


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## CanOz

When trading sycom do i need to use a different contract? For example, i have the APM2, IB's SPI contract up on my chart now, and it includes sycom, so i should be able to trade after hours on IB then right? eSignal has two contracts, one for day and one for night, but IB has just the one yeah?

CanOz


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## Trembling Hand

Yep IB has just the one contract. As they should its the same contract.


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## CanOz

Trembling Hand said:


> Yep IB has just the one contract. As they should its the same contract.




Ahh thats great TH thanks a bunch. I was having trouble getting a decent set of stats out of my system on the SPI, then i noticed how well it trended after hours so i started entering at the end of the day instead of the beginning...it quadrupled the returns...now to bring the win rate up a little....

Cheers,


CanOz


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## CanOz

Interesting to note that eSignal really does have two contracts for the SPI, one for ETH and one for RTH. However, it seems that there is no way in NT to get both contracts plotted together....on a chart.


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## waza1960

> Interesting to note that eSignal really does have two contracts for the SPI, one for ETH and one for RTH. However, it seems that there is no way in NT to get both contracts plotted together....on a chart.




Yes ridiculous isn't it. For a company that specializes in Data wouldn't you think they could sort it.
 I guess the SPI isn't a priority.


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## CanOz

waza1960 said:


> Yes ridiculous isn't it. For a company that specializes in Data wouldn't you think they could sort it.
> I guess the SPI isn't a priority.




Will try your skype


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## baby_swallow

Futures exhange down!!!!
can't trade

maybe got something to do with this story on SMH...

"ASX directors resign over US share scandal"

http://www.smh.com.au/business/asx-directors-resign-over-us-share-scandal-20130919-2u0qi.html


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## kid hustlr

baby_swallow said:


> Futures exhange down!!!!
> can't trade
> 
> maybe got something to do with this story on SMH...
> 
> "ASX directors resign over US share scandal"
> 
> http://www.smh.com.au/business/asx-directors-resign-over-us-share-scandal-20130919-2u0qi.html




I can see prices moving on my ladder?


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## CanOz

kid hustlr said:


> I can see prices moving on my ladder?




lol....me too


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## skc

IB sent a message out to say there's problem with trading the SPI. It wasn't clear whether it was at the exchange end or IB's own issue.



kid hustlr said:


> I can see prices moving on my ladder?




Moving?! That is too strong a word. I had to checked my SPI chart twice to make sure I wasn't looking at the expired contract.


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## Gringotts Bank

Since they move pretty much in unison, does movement of the SPI drive all movement of the All Ords?

Anyone?

edit:  Anybody at all....

[tumbleweed....].


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## CanOz

I don't think its constant. Consider for example,funds are buying heavy into the constituents in an up-trending bullish market, they're not likely starting to hedge their positions. During a market top (bracket near the highs), commercials may start hedging their long positions if they're getting nervous, all that selling may create a dip that gets arbed...dipping stocks.

Just thinking out load really to illustrate thats it a complicated relationship. I think around tops and bottoms they may change lead a bit...


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## Gringotts Bank

CanOz said:


> I don't think its constant. Consider for example,funds are buying heavy into the constituents in an up-trending bullish market, they're not likely starting to hedge their positions. During a market top (bracket near the highs), commercials may start hedging their long positions if they're getting nervous, all that selling may create a dip that gets arbed...dipping stocks.
> 
> Just thinking out load really to illustrate thats it a complicated relationship. I think around tops and bottoms they may change lead a bit...




Hi Canoz, thanks.

I'd like to know how institutions do their buying and selling.  Do you know if they re-set their bots each day with a slightly different instruction depending on circumstances?  Or do their bots have all the required algorithms to know what to do for a whole year unassisted?  Do they say in their morning meetings "we're going to buy 10 mill worth of BHP over the next week" and then give that job to a trader to do manually?  How do they do it?  They're the ones who move the market after all, so it's something I should know!


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## CanOz

Gringotts Bank said:


> Hi Canoz, thanks.
> 
> I'd like to know how institutions do their buying and selling.  Do you know if they re-set their bots each day with a slightly different instruction depending on circumstances?  Or do their bots have all the required algorithms to know what to do for a whole year unassisted?  Do they say in their morning meetings "we're going to buy 10 mill worth of BHP over the next week" and then give that job to a trader to do manually?  How do they do it?  They're the ones who move the market after all, so it's something I should know!




I guess thats sort of like saying back in the days.."what are the brokers on the floor going to be doing today?"

From what i've read there are algoes tasked with all kinds of roles. Some may be trend following programs where some are buy/sell programs just designed to fill orders, some are option bots, some are arbing off the difference between the index constitis and the futures, or ETFs...

Its a big question once you realize the size and scope of algorithm use in the markets. Basically the markets are automated, less people at the big banks doing the manual stuff. Its not all evil HFT front running everyone anymore...which apparently is on the decline.


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## Gringotts Bank

Punta said:


> I was going to post this over on the "What's happened to the SPI thread", but it's been closed.
> 
> TH reckons that the introduction of bots could be responsible for the reduced range over there over the last few months.  I just made a graph illustrating the reduction in range, so thought I might as well stick it up here.
> 
> This shows the 1st & 99th percentiles for the difference between the 1-min-running-mean and the 10-min-running-mean (high, based off 5-sec bars).  Black is 2011, red is 2012.
> 
> Could have chose any metric for this, but the point is just that the SPI does not have the range, at least in the high-frequency, that it had 4 months ago.




Anyone know if this trend is continuing?

Anyone here still trade it?

How many decent intraday swing or breakout set ups might one expect per day/week?

Thanks.


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## CanOz

Here is the current TPO and Volume Profile chart with composite for the SPI...

Bit of an excess high there and now back in the middle of the current bracket...some nice references there on the composite.


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## CanOz

SPI levels not including O/N highs....the bottom chart shows the levels above the market, including a gap...


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## Caveroute

Uhm, interesting times !


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## ThingyMajiggy

What a day on the SPI, one way train, I haven't traded it for a long time, but getting back into it again lately due to work commitments, but I don't remember seeing a 100 point move pretty much in one go on the SPI for ages? Usually it dies during midday but its just kept plugging away. 

Have nabbed 41 points this morning, was expecting it to just fluff around over lunch so I got out. Might look for something in the last hour or so again, otherwise happy. 

Many guys trading the SPI these days?


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## tech/a

Haven't traded the SPI for years.
Volatility is normally pretty flat.
I cant remember a 100 tick day.

That's why I went DAX/FTSE.

Well done on your grand pick up.


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## ThingyMajiggy

tech/a said:


> Haven't traded the SPI for years.
> Volatility is normally pretty flat.
> I cant remember a 100 tick day.
> 
> That's why I went DAX/FTSE.
> 
> Well done on your grand pick up.




Yeah neither! Yeah I would be trading those as well but different hours now for work, so only get an hour if that to have a look at those markets before its nap time! 3am rises these days 

Thanks re the grand  

Interested in your take on the volume on that chart tech, especially that larger red one in the middle(not that it's that large, but larger relative to those around it), seemed to halt the move for 2 bars or so, then the push further down again. The red bar after those two green ones is on pretty low volume, and being at that point, I take it that is a sign of moving down with ease? A lot of people would interpret that as no supply, when it in fact could be the opposite? Obviously was something like that in this case as it continued plummeting! 

Chart is a 9m


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## pavilion103

ThingyMajiggy said:


> What a day on the SPI, one way train, I haven't traded it for a long time, but getting back into it again lately due to work commitments, but I don't remember seeing a 100 point move pretty much in one go on the SPI for ages? Usually it dies during midday but its just kept plugging away.  Have nabbed 41 points this morning, was expecting it to just fluff around over lunch so I got out. Might look for something in the last hour or so again, otherwise happy.  Many guys trading the SPI these days?  <img src="https://www.aussiestockforums.com/forums/attachment.php?attachmentid=60533"/>




I've started trading it.
Literally on my phone at work for the first 30 mins to 1 hour.

Made 35 points today. Was tempted to hold but I wanted to lock in profit. Happy enough.


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## pavilion103

Price action on FTSE is much much cleaner though.

I find myself using limit orders on SPI more because setups are too wide and the stop can get taken out much easier IMO.


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## Market Sniper

ThingyMajiggy said:


> Yeah neither! Yeah I would be trading those as well but different hours now for work, so only get an hour if that to have a look at those markets before its nap time! 3am rises these days
> 
> Thanks re the grand
> 
> Interested in your take on the volume on that chart tech, especially that larger red one in the middle(not that it's that large, but larger relative to those around it), seemed to halt the move for 2 bars or so, then the push further down again. The red bar after those two green ones is on pretty low volume, and being at that point, I take it that is a sign of moving down with ease? A lot of people would interpret that as no supply, when it in fact could be the opposite? Obviously was something like that in this case as it continued plummeting!
> 
> Chart is a 9m





Hey Sam

Curious as to reasons for 9m chart? 

Cheers MS


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## ThingyMajiggy

Market Sniper said:


> Hey Sam
> 
> Curious as to reasons for 9m chart?
> 
> Cheers MS




Seems like a good time frame for cutting out noise, I don't actually use the chart that much, more of a DOM-based trader, I refer to the charts on 9m or above to see the whole road, instead of just the next corner


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## Market Sniper

ThingyMajiggy said:


> Seems like a good time frame for cutting out noise, I don't actually use the chart that much, more of a DOM-based trader, I refer to the charts on 9m or above to see the whole road, instead of just the next corner




Thanks for that!!!


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## cmt5467

These futures seem to be illiquid. This market could be easily manipulated.


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## baby_swallow

cmt5467 said:


> These futures seem to be illiquid. This market could be easily manipulated.




Yep. Its mostly the market maker bots doing the trading. With ASX now charging a monthly data fee of $65 when it used to be free, it will scare some retail traders away. The SPI200 is now among the most expensive market to trade, let alone easily manipulated.


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## skyQuake

After a crazy 150pt intraday range... Lows in?


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## ackj

Who is everyone using for a SPI data feed? 
I'm using the filtered interactive brokers data and would like to compare it to someones unfiltered data.

I usually record the SPI 9:49 to 11:49, would anyone be willing to record their screen for the first hour or so we can compare?

I trade with DOM, 1min, 5min (candles) so ideally it would be someone who uses a similar setup or willing to set it up for a comparison.

My setup(NT w/Jigsaw):


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## skc

skyQuake said:


> After a crazy 150pt intraday range... Lows in?




A very nasty day. XJO finished just below the last low in early July.

It's the banks and resources taking turns to get hit.

I actually thought today was going to be a positive day... with CBA reporting ok and the last of the raising out of the way. And it looked that way for a bit until the Chinese news.


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## CanOz

Anyone hear any brokers that are carrying the new SPI mini?


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## Richard Dale

FYI:

Mini SPI 200 for Nov 2015 contract volumes since date of listing:
0
0
0
60
24
120
48 (open interest 252)
36 

For Mini SPI 200 Dec 2015 we would expect bigger volumes as this is a "major month" on the full SPI 200
0
0
0
25
291
0
33  (open interest 88)
5

Not exactly setting volume/open interest records right now.


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## Trembling Hand

Richard have you access to live depth data? Would be more interested in seeing the spread.


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## Richard Dale

Nothing happening on the night session.  By nothing I mean no bids and no asks.

Here's the live trading floor:
https://www.youtube.com/watch?v=U9c_KttvQPU
(well at least that video is more entertaining than the Mini SPI 200)


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## CanOz

Richard Dale said:


> Nothing happening on the night session.  By nothing I mean no bids and no asks.
> 
> Here's the live trading floor:
> https://www.youtube.com/watch?v=U9c_KttvQPU
> (well at least that video is more entertaining than the Mini SPI 200)




Lol @ Richard....

They obviously have no market makers then, Eurex has said the Dax will have market makers until the liquidity is sufficiently. Why would the ASX not do the same, or do they like to see new products fail?


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## Quant

CanOz said:


> Lol @ Richard....
> 
> They obviously have no market makers then, Eurex has said the Dax will have market makers until the liquidity is sufficiently. Why would the ASX not do the same, or do they like to see new products fail?




Seriously who trades these SPI minis , daytraders cant make a living at 5 bucks a point , waste of time really , only about 15 years too late   ...   

 Hopefully we can bring this thread to life , SPI/AUS200/XJO has been magnificent to trade this year with daily ATR above 75 most of year with a 6 week period north  of 100 . Really has been the perfect rotation to mean indice this year for daytraders . DAX has been chaotic since QE started and for most of year SPX was stuck in a 4% range till august . Has been great , not so much burning midnight oil to turn a coin .


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## Quant

Daily at a key juncture and id expect support here rest of year , seasonally bulls rule from dec opex on , FOMC the fly in the ointment . Below AUG sell exhaustion gets ugly 





Short term trend is down on multiple TF and its been a sell the pop market since early dec when we saw fresh 5 day lows


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## Quant

Got that snap of the bottom 'V' style that burns shorts so well , coming up to a resistance zone . Liquidity going on holidays so bit of a grind for next 2 weeks would be the norm ...









add the 2 hour here for MT structure


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## Quant

You got to love the points on offer in the 200 these days , compares to any indice anywhere currently . Structure and geometry comparable to ES/SPX  , I am surprised that more aussies don't trade it . Great hours , great moves , great profits on offer ......


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## kid hustlr

Yeah its been behaving quite nicely in recent times.

How are you seeing it now? Looks like we are back into the range - I'm looking for another push up over the coming days with (possible) resistance circa 5200


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## CanOz

What is it that makes market change the way the SPI has, is it liquidity, fewer algoes, more retail traders, more institutional?


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## kid hustlr

CanOz said:


> What is it that makes market change the way the SPI has, is it liquidity, fewer algoes, more retail traders, more institutional?




Added volatility at the moment I'm sure has helped.

I figures its just swings and round abouts. The ASX used to have lots of retail punters, then most got wiped out in the GFC, and its been quiet for a while. Now perhaps we are seeing a little more 'real' interest in our market, they have volume to do which moves markets, which attracts traders and the cycle begins again.

The underlying stocks must be an issue here also - the ASX's make up is just so horrid it probably doesn't assist with trading the index?

I'm talking my book here but I think there's been a dynamic shift since the August lows. This in itself could be a factor.

So lots of factors but long story short i don't know :1zhelp:


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## Trembling Hand

Scratch all that just realized I'm wasting everyone's time.


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## Quant

kid hustlr said:


> Yeah its been behaving quite nicely in recent times.
> 
> How are you seeing it now? Looks like we are back into the range - I'm looking for another push up over the coming days with (possible) resistance circa 5200




yeah seeing the same as yourself , 5200 speedhump and then we have the longer term sliding resistance ( around 5300 ) from April highs as next key , 5300 good prospect in coming month ... 





Liquidity be an issue from here on next few weeks , usually takes till jan 10 ish for volume to return mind you the markets gets a little skitterish last few months


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## CanOz

Trembling Hand said:


> Scratch all that just realized I'm wasting everyone's time.




Mate, don't be bothered by that, there is an ignore button for that reason. It's really a bonus to have you posting again, especially in Modest's thread.


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## kid hustlr

CanOz said:


> Mate, don't be bothered by that, there is an ignore button for that reason. It's really a bonus to have you posting again, especially in Modest's thread.




Agreed.

Was surprised about the cyclist bit by the way, I'm now trying to work out if TH is actually Jan Ulrich or Sean Eadie.


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## skyQuake

kid hustlr said:


> Agreed.
> 
> Was surprised about the cyclist bit by the way, I'm now trying to work out if TH is actually Jan Ulrich or Sean Eadie.




Clearly Lance Armstrong


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## CanOz

My point was, to draw the link to a competitive performance sport....


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## Quant

Joe Blow I request you ban me , I really don't want to be part of this place . the Collingwood cheersquad is a friendlier place for an away team   ..... good luck to all but I don't need this ****  ....


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## cynic

Quant said:


> Joe Blow I request you ban me , I really don't want to be part of this place . the Collingwood cheersquad is a friendlier place for an away team   ..... good luck to all but I don't need this ****  ....




I  for one am sorry to hear that you feel that way. It might be worth noting that the nature of some on forums is akin to the markets :- quick to condemn mistakes/oversights whilst slow to acknowledge/compliment/reward prudence.


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## fiftyeight

Trembling Hand said:


> Scratch all that just realized I'm wasting everyone's time.




WOW , what did I miss???


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## CanOz

Quant said:


> Joe Blow I request you ban me , I really don't want to be part of this place . the Collingwood cheersquad is a friendlier place for an away team   ..... good luck to all but I don't need this ****  ....





See ya!:xmaswave


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## fiftyeight

Quant said:


> Joe Blow I request you ban me , I really don't want to be part of this place . the Collingwood cheersquad is a friendlier place for an away team   ..... good luck to all but I don't need this ****  ....




Please ban me...... haha


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## CanOz

Big consolidation in the SPI, almost time to shake out a few....


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## CanOz

Indeed the SPI broke out of its consolidation this morning after a brilliant Minwa style shakeout at the prior LOD. 

Some heavy selling on the close today would have provided a nice quick short before 16:30 and Miller Time


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