ASX Stock Pairs Trade Journal

[skc]

From what I read you will get it if you cross the spread, if available, or you can place a CP order specifically.

Well I was under the impression it was the latter. But after watching this it looks like it will sweep any hidden liquidity.

A 5bps extra cost is offset by *potentially* saving around 14bps in something that is priced like MGR at ~174.
Something that is priced at 1.00 will save closer to 25bps.

So the annoyance is worth the savings..now just have to make sure not to hit the CP prematurely :

There are CP liquidity in the higher priced stocks as well. Say ANZ @ $26.245. You save nothing yet pay 0.5bps...

Indeed FP should be the market maker enabling the fill while charging you 0.5bps for it!

 

[VSntchr]

View attachment 59572

Why is it always the important days when stuff like this re-occurs!

Lucky I know how to fix it these days...
Thanks Edman!

I don't have an exorbitant amount of pairs (300-400) - but it always seems to happen after a certain amount of time once more price data is stored progressively...there must be some kind of data limit that is causing the problem.

 

[ThirtysixD]

Not sure how many pairs traders use FPmarkets - but they have just updated their platform to be able to access centre-point orders...**DARK POOLS**:vader:

Sure was annoying to sit in the queue on some of the REITS watching countless orders go through as CP trades while my line didn't move.

I guess it comes down to "If you can't beat em, join em".

NOTE - they do attract an extra 0.5 bps of brokerage.

how much do they usually charge to borrow stock?

 

[skc]

Has anyone been having problems with PTF recently?

My copy seem to only update prices intermittently. I am not sure if the problem is on my end, yahoo or the PTF server.

Obviously my internet is working...

 

[VSntchr]

Has anyone been having problems with PTF recently?

My copy seem to only update prices intermittently. I am not sure if the problem is on my end, yahoo or the PTF server.

Obviously my internet is working...

Yep. On Friday my pairs stopped updating after about the first hour. Yesterday seemed to stop in the early afternoon too...

I have just recently had to redo the entire database so I thought the problem was my-end..looks like its a bit wider than that.

 

[CanOz]

Pairs trade finder is for sale....

 

[VSntchr]

Pairs trade finder is for sale....

First reaction:
Second reaction:
Maybe the new owner might actually put some time into maintaining and improving this thing!

 

[skc]

First reaction:
Second reaction:
Maybe the new owner might actually put some time into maintaining and improving this thing!

Interesting to see how this develops.

PTF is not a bad piece of tool, despite some of its shortcomings. The software isn't hugely expensive and I think the relative simplicity is actually a plus - the learning curve on the software itself is very short. Which means users can have more time to focus on the actual trading and implementation of the signals.

I think as a business it can improve a lot by adopting a monthly subscription model after the first year or something. Those who are starting off trading small pairs won't like a subscription model, while those who actually make profit using the tool probably wouldn't mind. Obviously the charge needs to be in line with what competitions are out there - but it could be a low hanging fruit for the new owner. It will help fund ongoing maintenance and improvement of the software, and make it a better product and hence more initial sale.

Ideally it'd suit someone who trades, knows IT, and knows about internet sales and marketing. But I think the latter two are probably more important than trading itself.

 

[Gringotts Bank]

The PTF guy never responded to emails I sent. He would just ignore them. Is that still his way of doing business?

 

[skc]

Managed to hit the IOF/DXS pair today... This rumour has been around since the dawn of time and actually came to fruition. Gain on the spread is pretty small for a takeover though.

Now IOF is trading at a tiny premium to the implied offer price for some reason. I closed it when it was @ 1% discount.

Let's see if the spread would move back out and offer further trading opportunities.

The PTF guy never responded to emails I sent. He would just ignore them. Is that still his way of doing business?

I don't know. Why don't you try emailing him again? I'd be surprised if he doesn't answer emails now given that he's selling the business.

P.S. From memory you had him and another poster with similar nickname mixed up at one stage? Just check you are using the correct email. e.g. your email client might auto-complete the wrong address?

 

[VSntchr]

Managed to hit the IOF/DXS pair today... This rumour has been around since the dawn of time and actually came to fruition. Gain on the spread is pretty small for a takeover though.

Now IOF is trading at a tiny premium to the implied offer price for some reason. I closed it when it was @ 1% discount.

Let's see if the spread would move back out and offer further trading opportunities.

The IOF shareholders get the ~9.7c distribution though and from what I can see this will not reduce the cash component? If I am right then the total return is still positive for new buyers. Could be wrong though, I tend to struggle with the details on these things.

 

[skc]

The IOF shareholders get the ~9.7c distribution though and from what I can see this will not reduce the cash component? If I am right then the total return is still positive for new buyers. Could be wrong though, I tend to struggle with the details on these things.

Dividend impact is much of a wash when you consider that you have to pay dividend (~20c a share) on the DXS short borrow.

I'd just work out what IOF is worth after DXS goes ex-div, then add back the 9.7c dividend that you will collect on the long.

So on the script deal, with DXS @ $7.76 and 20c dividend, IOF is worth $4.0068 + 9.7c dividend = ~$4.1.
On the mixed deal, IOF is worth 0.424 x ($7.76-$0.2) + $0.8229 + $0.097 = $4.125.

IOF is trading @ $4.13 as we speak so a tiny premium - I'd have thought a 2-3% gap to be more appropriate.

Mind you DLS went slight premium to BPT offer on the first day or two. Now the gap is ~2-3%.

 

[VSntchr]

Dividend impact is much of a wash when you consider that you have to pay dividend (~20c a share) on the DXS short borrow.

Yes your spot on.

Mind you DLS went slight premium to BPT offer on the first day or two. Now the gap is ~2-3%.

Ahhh, that one brings back good memories

 

[Gringotts Bank]

I don't know. Why don't you try emailing him again? I'd be surprised if he doesn't answer emails now given that he's selling the business.

P.S. From memory you had him and another poster with similar nickname mixed up at one stage? Just check you are using the correct email. e.g. your email client might auto-complete the wrong address?

Yes, good memory you have. The email was correct, I just lost interest after a while.

Maybe I'll check in when the new owner appears. I've noticed the market for this type of product has taken off - lots of softwares out there.

 

[VSntchr]

Bummer to close my last pair of the year for a loss. Biggest ever loss % wise, although was only a small size so not too much account damage. I had a pretty good run over the last few months with my pairs, although I struggled to consistently have a full portfolio so activity levels were substantially down on last year.
Closing the pairs down now for the year as I do not want to get stuck in anything over the low-volume holiday period - last year was a bit tough to trade through.

 

[VSntchr]

View attachment 64914

Update to the MTU/TPM deal.
A bit of a while since the last chart as I had an unexpected week off last week :bowser:

MTU has been in consolidation and pushing a little higher, while the discount continues to blow out and is now back to the 6%+ level..

 

[skc]

Bummer to close my last pair of the year for a loss. Biggest ever loss % wise, although was only a small size so not too much account damage. I had a pretty good run over the last few months with my pairs, although I struggled to consistently have a full portfolio so activity levels were substantially down on last year.
Closing the pairs down now for the year as I do not want to get stuck in anything over the low-volume holiday period - last year was a bit tough to trade through.

Great stuff. I have shut down pairs for the year as well. The last few months have been pretty bad for my pairs trading. Still profitable overall the but gains were tiny. The problem probably came down to a lack a patience... I entered too quickly, took small profits to quickly and closed when faced with drawdown too quickly. Hopefully these are all fixable come the new year.

Update to the MTU/TPM deal.
A bit of a while since the last chart as I had an unexpected week off last week :bowser:

MTU has been in consolidation and pushing a little higher, while the discount continues to blow out and is now back to the 6%+ level..

MTU/VOC. Took a trade earlier in the week when it came out of the trading halt... thinking that the ratio might converge a bit. It did for 48 hours only and I closed the for some lunch money. Wasn't going to hold this over the holidays. It remains to be seen whether it's just a tiny quirk in the market or there's something else at play.

 

[VSntchr]

Great stuff. I have shut down pairs for the year as well. The last few months have been pretty bad for my pairs trading. Still profitable overall the but gains were tiny. The problem probably came down to a lack a patience... I entered too quickly, took small profits to quickly and closed when faced with drawdown too quickly. Hopefully these are all fixable come the new year.

Always good to have an understanding of what is driving performance, rather than just knowing its down.

MTU/VOC

think I'm still on holiday

 

[VSntchr]

Welcome to 2016 pairs traders

Has anyone got a handle on any affected REITS re: the Masters sale process?

Already seen APD delay the release of their latest fund, although the wording looks like Woolies is pretty tied up by the agreement so they will be financially liable to get out of it.

Obviously SCP is heavily involved with Woolies, but not sure if they had much to do with the Masters stores?
A bit of digging around probably necessary before putting on any big REIT pair positions.

 

[skc]

Welcome to 2016 pairs traders

Has anyone got a handle on any affected REITS re: the Masters sale process?

Already seen APD delay the release of their latest fund, although the wording looks like Woolies is pretty tied up by the agreement so they will be financially liable to get out of it.

Obviously SCP is heavily involved with Woolies, but not sure if they had much to do with the Masters stores?
A bit of digging around probably necessary before putting on any big REIT pair positions.

Here's an Australian article on this.
http://www.theaustralian.com.au/bus...t/news-story/bfded253fba2ab528b4a470ef3629f64

Newly listed Aventus has exposure to one Masters store in Victoria’s Cranbourne in its portfolio of 15 bulky goods centres.

SCA has one store in Mount Gambier’s town centre, which could be turned into a supermarket or bulky goods centre.

Charter Hall has two stores in Sydney and Melbourne, and has a contract to buy a third Masters site. Funds run by APN and Cromwell are also exposed to Masters developments.

Doesn't sound like there'd be major implications.