Cheap Trading of LIFFE IR Exchange Based Spreads

Discussion in 'Financial Futures' started by garywernick, Mar 13, 2009.

  1. Hi

    Anybody know of a cheap trading package which can trade these, with an autotrading functionality.

    esignal ticker I M0:IU0-EIR
    Bloomberg Ticker ERM0U0

    Ninja Trader, Trade Bullet, and CQG can't access these as there two expiry dates. Pats Pro Mark and TT Pro can, but are expensive (my GNI broker wants approx £1000 per month).

    Are there any cheaper solutions


  2. H2O


    Don't really understand your question.... Euribor is a very liquid contract. And in general the spreads are quite liquid as well...
    Euribor spreads are just exchange traded contracts (no spreads in the form of 2 separate contracts) although you can obviously create a spread yourself through the outright M and U contracts.

    I have never used 'retail' packages to trade these spreads (as commissions are usually not interesting at a retail broker) but I'm convinced all of them will offer Euribor (a very liquid contract)

    Automated... again - most prop firms use software like TT, RTS (including autospreader) or more advanced systems that come at a higher price
  3. Hi H20

    Thanks very much for your reply.

    The exchange based spreads seem to sometimes have a bid-offer spread of a single half tick for EURIBOR (and a tick for LIBOR) which is smaller than if I just take the market on the outrights. And my understanding is that LIFFE g'tees one won't be legged-out which is always possible with an autospreader. Hence I would like the option to be able to trade these exchanged based spread contracts.

    The "retail" packages that I have been looking at don't seem to be able to access these exchange based spread contracts, although they can all access the outrights.

    My broker charges virtually the same commission if I use my own trading system. So if I could take something like Ninja Trader which looks to me to have 85% of the functionality of PATS and one can code the rest in Visual Basic. This would cost me only £35 a month and 40p extra a round trip, compared to £1000 a month for PATS. The only problem is that one can't get Ninja Trader to access these exchange based spreads.

    Looks like I may have to subscribe to PATS or TT Pro - but just wanted to see if there was a cheaper package before coughing up the dosh.

    Do you have any ideas for alternatives


  4. H2O


    I would be very surprised if any package would offer access to Liffe, but not to all contracts on liffe. The fact that this (spread) contract can be seen as two outright contracts doesn't change this..

    The contract has one ticker and can thus be traded without legging.

    What packages have you been looking at? Pls double-check cause I think they will offer access to spreads.

    Cannot really recommend anything as the only packages I use(d) are PATS, TT, Ecco, and Stellar in a prop environment.
  5. just21


    Does the combination order in IB TWS use the spread market or is it legging?
  6. Am sure about these packages (eg Ninja) not being able to deal in the Liffe exchange based products.

    Have been looking at the PATs FIX API documentation and I think that the root cause is that these exchange based products are technically "strategies" offered by LIFFE and have a different interface format.

    I guess that it is not economical for the cheaper trading packages to cope for these "specialist" products.

    Have looked at the webpage for IB TWS and this looks like some sort of autospreader.

    If anybody has any suggestions

    Have a good weekend

  7. CQG trader (cheap or free version) allows trading calendar spreads such as MU but dont have autotrading. You can trade this spread without legging. Since time passed sample contracts have expired but example ticker for m2u2 spread should be QEAS3M2 in cqg trader
  8. Anybody know the answer to this question?
  9. #10     Feb 14, 2012