Started a demo account and currently spreading currencies. The spread chart is AD4Z:AD5H (1:-1) on a 60 min time frame. I contacted the broker because the price seems to be based on the last making it appear that the spread is profitable, however, the market can be 10 points away giving an inaccurate open trade equity. Is this a standard or normal way for spreads to be based off the last and not the bid? It says that I have made $1,240 this week minus commissions and I have a hard time believing this. Please advise.
you'll probably have a hard time getting comparable fills if you try this live. Back months can be much more illiquid, a lot of the 'jitter' you see in the spread chart is from the wide bid asks in the back months. A practical trade for the calendar spread is the quarterly roll
you may be right when it comes to futures at the cme spot fx is the very best medium for spread trading, for me not sure why everybody doesn't do it to each his own that's all spot fx is, just spread trading can't really imagine a better medium
how do a profit with spread trading (calendar spread) ?! you paid 2 or 3 ticks of spread ... scalping or hft are not possible ?!
Yesterday, for example, the June AD contract traded 259 and the OI is < 2K contracts. March traded 106K and the OI is 128K. Not sure that calendar spreads in the currency futures are the place to be - I can't recall any of my clients in that particular trade.
This post is a little off-topic, but this thread reminds us that some futures contracts have a forward curve with liquid back months and others trade primarily in the front month only. In the interest rate complex, Treasury futures trade mostly in the front month but Eurodollars have liquid back months. Currencies and equities are front month. On the physical commodity side, ags have a forward curve due to planting/harvesting cycles. Energies have a forward curve, yet metals don't. Does anyone have a concise explanation of why some contracts have a forward curve and others don't?
storage and carry, new crop ags are stored in the ground. It aint cheap to store crude, metals also need to be stored. They actually pay you to store bonds in your own account.