Australian (ASX) Stock Market Forum

SPI 200 Futures!

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Trembling Hand said:
Yep IB has just the one contract. As they should its the same contract.
Click to expand...

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
 
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.:confused:
 
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.
Click to expand...

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.:banghead:
 
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?
Click to expand...

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.
 
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....].
 
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...
 
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...
Click to expand...

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!
 
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!
Click to expand...

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.
 
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.
Click to expand...

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.
 
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.
 

Attachments

  • SPI 12-13 (60 Min) 10_14_2013.jpg
    SPI 12-13 (60 Min) 10_14_2013.jpg
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SPI levels not including O/N highs....the bottom chart shows the levels above the market, including a gap...
 

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  • SPI 12-13 (60 Min) levels with gap.jpg
    SPI 12-13 (60 Min) levels with gap.jpg
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  • SPI 12-13 (60 Min) levels.jpg
    SPI 12-13 (60 Min) levels.jpg
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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?

SPIdowntrend.PNG
 
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.
 
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.
Click to expand...

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 :cautious:

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! :xyxthumbs

Chart is a 9m
 
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"/>
Click to expand...

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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