DH7 Trades the Bond Futures

[darkhorse70]

As far as 5 bad trades in the bonds, my stops are usually tight. Im only aiming for maybe 2 points a day. Youve got a 14 atr range and it feels as though they have a much more ebb and flow character which means it comes more down to timing the trade and you have a better chance of getting out of a bad decision.

 

[darkhorse70]

Im no expert so ill always contradict myself as I learn.

 

[jmg86]

jmg, have you noticed a thinning out of spread trading in Australia in general? Speaking to a few people i know in the business, there seems to be less of the traditional arbitrage like opportunities now, as Kid was saying, perhaps from more volatility in bond futures?

I've always been interested more in equity index spreading, as watching many different indices at the same time while directional outright punting lends itself to auto-passive observation of opportunities as they develop. Tons of opportunities in the Asian and China linked indices due to intervention but as well in Eu indices around the ope and before the US opens. (For example, the CAC was lagging the Dax yesterday, but it caught up in the end)

Also, i had heard that there had been a big loss at one of the Singaporean prop firms due to a blow out in the bonds recently....and, but not related to that episode, that several well known Australian bond spreaders had exited the business altogether or had switched to equity index spreading and directional outrights...any further insight here?

Cheers,


CanOz

I think the traditional days of locals 'tap n scratch' type of trades in Bills and 3 years are over which is probably what DH7 has already observed. The 10yr roll is also non-existent these days on local side with the exception of one firm compared to prior years which I believe was a huge edge for locals in the past.

Im not to sure about the bigger guys, but smaller guys trying to get queue and then take a tick or stop out with a volume triggered stop across the curve are definitely struggling. Whether thats due to algos or a relatively stable rate environment I dunno.

I agree re equity spreading. If I was DH7 during the Euro & US hours I would definitely look at Stoxx/ES or SPI/ES etc..I would also look at the US curve products which I reckon offer far better ops than 10:10s.

http://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf

 

[darkhorse70]

JMG, I'm going to pm you.

Damn, instead of selling at limit @ 19.5 I went market order at 19 just before market went bid. Still getting use tot he functions...

Anyway, still 1.5 points. The emini started curving off. I'm not usually tempted to stay long enough to find out what happens. Once the move gets underway im usually out. I believe in consistent small profits. Win ratio goes up, peace of mind increases and I dont find my self chasing trades because I waited to long.

Sold 2 x @ 19.0

I'll be watching the markets for another few hours. Going to go for a cycle now and clear my head. That took hours..



You cant see anything in the photo. My snipping tool is behind MC and I cant get to it. Ill have to figure out a way tomorrow so screen shots are bigger.

 

[darkhorse70]

Long 2 x @ 15.5

 

[darkhorse70]

Sold 2 x @ 16.0

1 tick profit

I got filled through a limit order. Ill pull up the T&S from now on to shop fills.

For some reason my previous gains arent shown on the sim position. Need to look around to see total profit. But just a photo of the 1 tick. Im trading based off a 20k account .Need to configure settings later.

 

[darkhorse70]

Bought 2 x @ 15.5 again. Looks like emini might top out as well as the notes might have a small rally.

Some times you just need the confidence to take the trades...

 

[darkhorse70]

Sold 2 x @ 16.5

Profit 2 ticks/1point

 

[darkhorse70]

I think its a wrap for tonight.

Up 2.5points = $150USD

3 Trades, all profitable.

Generally how I trade. Unless the market has a really great set up and in for a major sell off or some thing, I usually get out. Needless to say, the t notes are about to go bid @ 18.0

 

[kid hustlr]

If you are trading SIM I would cross the spread every time you trade (both in and out). It will most likely under exaggerate your profits but at least you won't get the dodgy fills where you sit on a bid behind 1200 and get filled when 3 lots trade. Just a thought.

 

[darkhorse70]

Thanks kid, I guess ill just hit at market instead of putting in a limit order. Most of the times thats how ive been trading anyway, so shouldn't make too much difference.

 

[darkhorse70]

Quick update on last nights market activity. Equities sold off again. E mini closer under 1900. T notes rallied but were faced with selling. They still managed to closer higher for the session although not above the previous days high.

Oil inventory was much lower than expected. I dont really know what oil inventories implications are and what it means. Need to find out.

Emini is at an interesting cross roads. It might see some short covering rally or it might go lower.

Aussie figures coming out at 11:30. Employment change and unemployment change. Possible dislocation between the bonds and notes.

Ill have to sit and wait on the sidelines till I see a good set up.

Will report as I go.

 

[darkhorse70]

https://www.youtube.com/watch?v=1grhmdzoHrw

For now lets play a tribute to Lemmy

 

[darkhorse70]

Uh, such an easy looking set up. Notes are clearly bid and emini looks like its going to possibly plunge.

But some times you need to bite your tongue and wait a while.

 

[CanOz]

Shanghai opened down 2.6% as well....somethings up again...they're struggling to keep the currency afloat i reckon...

Expecting lots of intervention again today in the China markets.

Last nights sell off in the US was very direct, like there were no buyers anywhere...

 

[darkhorse70]

Interesting Can. Crazy how China has that effect on every where else and the scary thing is we dont even know the level on intervention by them.


Just shorted 2 a 128'0.5

Looks like some one is holding the emini up. Some sort of buying.




Update :

Notes are rallying again/ Off side a few ticks

 

[darkhorse70]

I got in at a less than good price. Should have been a bit more patient. Hoping for that emini to push up and feel some down force on the notes.

 

[darkhorse70]

Bought back 2 x @ 0.5

Was in the money 2 ticks but thought there would be stronger rally. Emini looks like it might be turning back around and notes might be going slightly bid..

 

[darkhorse70]

Going to wait for the emini to give it another push lower. This will drive the notes up and position me for a better entry short later on if the mini fails to go lower.

 

[darkhorse70]

Sold market 2 x @ 1.5