I like the above statement. @REDP1800, I understand what you are saying, but isn't it possible to trade these on a bit higher timeframe than HFTs? Doesn't it sometimes take minutes or even hours? Or is that no longer considered spreading at that point but rather two directional trades?
of course you can most spreaders stay in the trade for weeks and months. that is how hedge funds made money easily over the years but HFT has changed all of that. you can no longer just buy or sell a spread and say well one day they will get back into value with each other. the hft has unlimited funds to keep your trade tied up as long as it takes for them to profit. this is the most fascinating thing i undertand about the market but so many others are clueless and never speak about it. if 5 hft outfits fill 80% of all stock orders and futures orders and those 5 entities work together in their algos which they do then "they" are informed just because they matched all those orders.. do you understand this? I mean they know exactly at all times what to the second open interest is and what way the trade is balanced becaue they are filling all of the orders that come into the market or most of them. this is why banks and hedgefunds are turning to HFT to fill even more orders. because they always beat vwap and twap because they create the values..they either turn on to match or off to not match which moves the market adn most of this is done with icebergs and cancels. there are numerous other ways also but most will never be told to us because the cme is in bed with the hft. the developers hired by the cme work very closely with their biggest customers the hft to give them what they need to be even faster and have trades match better etc. the CME is a business that is public and why would it care about fairness for you mr. retail who does nothing for the bottom line. they even charge you 10 ro 20x more to trade as a deterent but you still come. futures are for price discovery just like the crooked ceo duffy said. they are for PRICE DISCOVERY not WEALTH creation. wealth creation is in stocks and buy and hold. do you really see the titans of industry day trading all of the shares of stock they own? nope because you don't build wealth that way you give wealth away that way. anyway i am missing some breakouts now in the naz futures. have a good night and find what works for you and trade the hell out of it because time stops for no one. you could die tomorrow and you never reaqlly made it trading did you? people at your funeral will say.. he never really gave up on trading but man he never really made it either. tuff life of a gambler
Here's another spread long two YMU19 and short 3 RTY. Same session AUG 16 RTH: The chart is the same as before. ES is in blue and the spread is in white. Red line is a polynomial regression on the spread. Sub chart is the spread detrended against the red line. ES points on the left axis and spread notional value on the right. The spread sold off all day. It lost about $2,000.00 during the session. Notice the fairly gentle trending. True, paying the commission and spread on this would be something like 200 bucks. However, big players utilizing co-location and HFT are definitely making money on this spread. Selling the spread could very well be profitable even if you went to market in and out!
please go mkt all day long in this spread and scalp the heck out of it and do it live on you tube or twitch or some other live stream so we can watch your entire weekend of ideas crumble. you are showing me hindsight stuff. what have you traded. why not show us your actual trades you have made on it. you will never get filled on those points that make up your chart. you wont get filled getting in or getting out and when it goes against you hard. like out of nowhere.. the russel drops 5 points in a minute and the nz rallies 20 in a minute and you are adding up your losses you realize.. wow this really sucks. i would rather know exacatly when and where I am filled and have a jagged chart instead of a normalized one that I am still losing money on but instead of losing it one way.. you lose it both ways. traders who spread remind me of options sellers. they can do well for weeks and then in 1 day all of it is given back as they learn to add to losers and throw good rules out the window because the spread has widened just way too far. do you even have a clue about how spread charts are built. probably not. why do you think HFT makes their own tick to trade to book? yup so they can front run the real tape from the tape you see!!! and you want to spread 2 fake charts?
herwe is a wheat calendar spread! look at how you could scalp it all day long! each full 1 cent move is 50 dollars! and this is the spread chart. 4 days worth. PROBLEM you cannot get filled on the edges of the trades to enter or exit. that is HFT territory only!! why because volume per bar is "usually" evenly distributed. so you have very little volume at the extremes of any 1 bar. it is a bell curve. so sure you can get filled in the middle.. but you cannot make money after normal fees and slippage. this is arbitrage and it is locked down tight by BILLIONAIRES
I'm not convinced by your claimed expertise of markets at all. You are talking about the E-Mini equity derivatives as if there is no liquidity in them. You sound clueless to me. Here is a point I will make about HFT. Do you know what cash and carry and reverse cash and carry arbitrage is? Enlighten me oh so wise one. HFT is the market now.
Also, the spread you posted is an intra not an inter-market spread. In other words a time spread. It's not even relevant to the thread.
look.. the liquidity is only there for a millisecond is what I am saying and once you go mkt you will see that your slippage is way beyond what you really want to pay to trade and to make profits. Everyone knows spread charts look great and they have reduced margin but they are the most deceiving charts anyone could ever look at because what you see is not what you actually get hence the term RELATIVE VALUE. so you need models to and speed to place orders properly and capture it. but hey. go ahead and take your account into a completely new direction. this site lately is all about spreading which shows me poeple are losing outright trading and looking searching for the next best thing.. or so they think. spreading is great for HFT, exchanges, brokers, fcms and large hedgers and traders because if eeveryone looks at the same chart and does the same thing then this is where you can actually get real volume done without a lot of slippage. see.. you pay the slippage so they don't have too pay it. I do not need to prove anything to anyone who uses think or swim to build spread strategies that are so flawed that for you to even post that spread chart is an embarassment.
yeah i guess you are not understanding my point. I showed you an simple spread that your strategy will not work on to reinforce that if it wont work intra it definitely wont work inter.. now will it. I mean you must think you can beat the CME matching engine with your strategy. it doens't matter how much "liquidity" you see on the book. it isn't real until it fills! filled liquidity is way different than actual and what you see doesn't exist when your order even a mkt click on the mouse hits the real trade engine. btw. you don't ven go to the right gateway. you get bottlenecked so the hft can outrun your order even without the microwave towers