Hello Folks, I am trying to build a auto-strategy for intraday trading of futures. I (my program) want to buy a SPX PUT as first step in the morning and close it as the last step just before the market closes. I am trying to cover the risk of market closing during trading hours because of some huge event (and my stop-loss does not trigger before it.) I was comparing tradestation and ninjatrader and was almost decided with ninjatrader after some research because they have c# and i know java so i can code it better than easylanguage (tradestation). Also, intraday futures margin of ninjatrader seems half of what tradstation asks for. But the problem with ninjatrader is that they don't offer options trading. I don't want to use IB because they have huge requirements for intraday margins for futures. I am really surprised that there is no retail broker offering a all-in-one auto-trading solution with decent pricing.. Does anybody know any ? Thanks for reading my post .. hoping for any insight !
You are looking to protect against the "market closing during trading hours because of some huge event." When did that last happen? What do you expect the cost will be over the next 5 years when the market generally goes up most days? Also, you are confusing me. You said that you want to buy SPX puts in a futures account, but those are traded in a securities account. Did you mean ES puts? If you want to do this with ES puts using an API, check out CTS T4. They are very good for options on futures. If you want to trade SPX there are many APIs for equity/index options including real tick which also offers C#. 1245
1245, first thanks for replying.. I know, but i want to make my strategy rock-solid .. meaning- I don't want to assume and say "if something never happened earlier wont happen in near future." There is always a slight probability of some huge event... especially in today's world. And i just want to protect myself and my hard earned money.. Pardon my in-experience here. I did not know i need to have 2 different types of accounts ? I have traded futures and options earlier but not on US exchanges.. Also, do you think ES puts would serve me the same purpose of "insurance" as out of money index puts (spx) ?
Yes exactly. And in such case if i was long on future contract, i would be saved.. my risk-covering strategy basically
Look around for futures brokerages. I don't trade them myself but seems like theirs a lot of options and most seem to offer a range of possible software to use. Theirs a lot of options it seems for introducing brokers and FCM's. For instance I think Amo offers a wide range of options for trading softwares( not sure of fees). Think they offer multicharts.NET (which would be a c# option). Another one I saw recently on a forum was Optimus Futures and they seem to offer a wide range of options for software,data, FCMs,etc. Not sure of the requirements of these examples or fees but your not limited to using ninja trader and their brokerage or trade station an their brokerage. Multiple software/ broker combinations out there.
Instead of wasting capital on that protective put, why don't you consider putting some intelligence in your trading system to go flat before major announcements ? Only in the case of events like a meteor strike, alien invasion or zombie apocalypse would you possibly be at risk for a major market move to the downside intraday. Even on 911 you could have easily exited any long futures positions without a major hit....thanks to liquid markets at the CME.
Some retail broker give the impression that there is one account. ALL futures must be placed in a futures segregated account. http://www.cftc.gov/IndustryOversight/Intermediaries/FCMs/fcmsegregationfunds The margin required to cover that must be moved into the Seg account. SPX is traded on the CBOE, not the CME. ES replicates the SPX but is 1/2 the size and the option settles to the future vs the SPX that settles cash. Also, ES options trade throughout the night and SPX have less trading hours. SPX should cost you less to hedge your concerns because you can buy less of them. If all your trading is in a futures account, I would just stay with just a futures account and hedge with ES options. 1245
Exactly. His concern :"market closing during trading hours because of some huge event." would only apply in the case of a flash crash. I believe the exchanges have all put in fixes to prevent that from ever occurring again. Now if he was holding a position overnight, now that's a different story. In that case he could hedge his overnight position with ATM SPX or SPY put options.