do you trade spreads between the notes and if so do you calculate the DV01 based on the cheapest to deliver? seems like such a hassle in order to create a correct spread so i've been avoiding them
I rarely trade the plain vanilla spreads such as TU/FV; usually use their values as a reference to trade related instruments/sectors (hence my comment to FT71 "beyond the obvious") Using the DV01 for ratioing is necessary for filtering out an undesired directional element. But I don't torture myself with doing the numbers manually and probably you shouldn't have to either - a good FCM should be able to provide a table of the main spread ratios or get it from Bloomberg. (e.g. I get my ratios from a friendly insider at one of the big banks)
Yes, that is a demanding number. If you achieve it, you'll be in demand as well! What particular aspects of my answer to FT71 were you looking for me to be more specific about?
dun, Great advice and posts. Im just going out on my own from prop and have been looking into the TED and ratioing it. But, came across some of your suggestions about CQG etc. Data fees and things are really starting to add up and I actually was coming to the conclusion you just suggested and Im not going with CQG. Just waaaay to $$ for what I need. I have not checked out barchart.com, but will. Maybe you could help with this. Im looking for OHLC daily on the "vanilla spreads" will barchart be able to provide these? Also, you mentioned you're getting the raios for the spreads from a friend, is the TED sometihng that needs to be re-calculated daily? Trading FOB & NOB's we (I've) been staying pretty standard with my ratio. So Im wondering how frequently you'd have to re-ratio or calculate the TED's. Thanks in advance
id be very careful when using ohlc spread charts. most folk use close only. you MUST know how the chart calculates the ohlc of the spread. some will just use the difference between the outrights, but for example, the 2 highs of each leg could have occurred at different times of the day, giving a high, when in fact, the spread may never have traded there at all. typically, these will be found on 'expression' charts, where you calculate the spread by subtracting the short contract from the long. eg gedu6-gedu5 some packages will chart the actual spread, but ONLY when the spread is traded as an exchange recognized strategy - such as eurodollar cals or crush spreads, where spreads trade as a product (almost) and have their own prints. then a reliable ohlc can be obtained. i have no idea which cqg or barchart.com calculate. all spread traders i know of do so on an end of day basis, so only use the close (line chart)
Barchart's historical custom spread charts are Line, Close Only.. though I recall the chart updates every 10-20 minutes during trading day using the Advance Commodities service, which is $20 p.m. Maybe the best value out there for rate spreaders with timeframes of more than a day; and Fred's points are valid. I know people are doing the NOB now on equal contracts, and there were always those playing it with a bearish or bullish lean - there'll be others here who have much better insight, especially if you are trading it intraday Which TED (contracts) are you referring to?
Thanks guys. I will have to check with esignal to see how that intra-day may be calculated, but the close maybe the only option. However, the $20 a month sounds like a steal, and If I can just view it intraday I might be able to boot-strap a range within a .33-.5tick. Just to give me an idea of sorts in case im out for a few days. As for the TED, I really was looking into the 2yr or 5yr and Im just trying to get more info about it. Im trying to understand it better. Ratio it correctly, charting it, etc. I'd just like to see if it might give me any indications or parallels into the FOB, NOB or FYT direction. Any thoughts would be great! Ive done a few searches and downloaded a few pdf.s just haven't had time to sift through all the stuff yet. Im still in the gathering stage and will probably try and rip through the stuff this weekend. That, and with deciding on data feeds and getting my account squared away. Im not sure if I mentioned it on this post, but I've just left my prop group and now Im going it alone... scary but potentially rewarding too. Cheers!
"I know people are doing the NOB now on equal contracts, and there were always those playing it with a bearish or bullish lean - there'll be others here who have much better insight, especially if you are trading it intraday" Are you referring to people trading it 1-1? Wow, I've always ratioed it... hmm. That must really provide for some moves.
Apparently, beyond the weighted plays for a pure curve trade, some choose to put on a bear NOB in a rally (works where belly gets richer), and bull NOB in market decline (pays off where belly gets cheaper)..using 1:1 ratio. Active CBOT rates traders around here might comment on how the theory pans out in practice. I'll P.M. something to you on the TED,