I first started seriously trading my own account around 2006. I had quit my job at a hedge fund and was writing software on my own to sell back to them. While I was so engaged, someone lent me the book "The little book that beats the market". I thought the tax strategy to be rather clever but paying $7.00 a trade at Scottrade seemed expensive so I took the $200K I had saved and started looking at different brokers. I soon found one and started following the strategy. By happenstance, one day I opened a chart of a future and saw insanity. I thought, surely, prices couldn't be doing that. Someone was throwing away tens of thousands of dollars several times a day. The next day I opened the same chart and saw more of the same craziness. I still thought there must be some error. Something wrong with the data or the charting software somewhere. But I got a free copy of SmartQuant (I think it was a product, not a company back then) and spent the next night writing a strategy to take advantage of what I saw. Three weeks later, I'd added $50K to my account. I was pretty excited. Then.. disaster. I woke up one morning to find my account balance was under $40K. I had done no trades and had on only a tiny position (15K margin) but my account had been liquidated early that morning into a very, very illiquid market. With a few phone calls I soon found that the same broker who liquidated my account just happened to be on the other side of my trades. I was mad. Furious. And I couldn't stop shaking. It took me more than a week to tell my wife that I'd lost almost all our savings - not through error but through fraud that I was totally unequipped to prosecute. Luckily, my wife didn't care at all and was confident I would make it back. ----------------------------------------- I'm lucky I learned this lesson early on. Because I have since realized the following: If you trade well and your strategy is easily reverse engineered from clearing statements. 1) If your FCM trades, they will figure out how to take it from you. 2) If they do not trade, they will try to get their other clients to do the same trade. I'm not actually sure which one is worse, but I can almost guarantee that if you are trading systematically and doing size with conviction one or the other will happen. And they have no shame. Last summer I went to a party hosted by an old FCM and the salesman introduced me as "the guy that started this (certain type of trade)". How was this? I knew nobody in the room. I had never discussed this trade with anyone there. It wasn't even my salesperson! No wonder it had dried up. There were now 20+ guys doing the same trade on the same product. So, I learned my lesson again. I split legs of my trades across FCMs, make sure nothing stands out and quickly slip the sales guy disinformation when they are pitching the latest trades their clients are doing.
This is so true... In 2010 about 70% of my trading income came from one quite obscure instrument, I rent a desk for 3 months at the Board of Trade and the first thing the other trader in the room tell me is " Hi, ( instrument ) trader "...F***...I had never told anybody about it.
I heard at one time Milk options were interesting - pit traded. Never investigated. And I didn't really trust the guy telling me this. He tended to drone on a lot.
I have never traded milk options, pit or electronic. I loved milk until around 2012. It had 6-7 ticks spread, a 20 dollar tick and really clean trends. You didn't really have to be a genius to make 1K per day or so...The problem is that sometimes you fall in love too much with a product... Even in 2014, when I saw the volatility, I was like "I am back in" and proceeded to get crushed the very first day...LOL
Garachen, would you care to share the trades you are talking about if it has dried up? It seems like capturing small spikes with limit orders or something like that.
Ok. The first thing I noticed worked from 2006-2009. Spikes on Vix. They were not small. Between $500 to $8000 per contract. Several times a day. Someone had a crazy heavy finger on the market order button. Obviously not trading their own money. I kept fearing that surely they'd get fired. Must have happened eventually. The trade that was so generously shared had to do with a matching engine 'feature' on the calendars.
Thanks. Fair enough. A lot of times I can't understand how I got a fill according to CME's algorithms but don't investigate further( which is completely stupid ). Generally, second generation implieds are my scapegoat when the brain gets lazy...LOL 500-8K$ per spike several times a day? Gosh...If that's not the holy grail...At one point there was quite the same thing on e mini MSCI EAFE but it only lasted one month or so and the spikes weren't that large...