SpreadProfessor Clients - Thanks !

Discussion in 'Announcements' started by bone, Sep 19, 2014.

  1. Trader13

    Trader13

    Even though this example makes reference to a trading opportunity decades old, the lesson for spread trading still applies today. Market selection and identifying these obscure relationships is an edge that can trump timing indicators/patterns and all the other conventional stuff.
     
    #601     May 11, 2015
    bone likes this.
  2. bone

    bone

    I work with my clients in the present tense. In fact, I have recorded at least a dozen hour-long webinars on the exact topic with respect to mining for intra market positive correlations that appear to hold up over time. Then, the exercise progresses to short term co integration and if that holds up - calculating hedge ratios.

    Much work for a few leads. But they can be very good.
     
    #602     May 11, 2015
  3. bone

    bone

    I personally swing trade my personal futures account with spread positions. For the record. Same methodologies I show my clients.
     
    #603     May 11, 2015
  4. i960

    i960

    Question about native spreads and order books. Since I've often heard of native spreads being a "separate" book, do positions put on using native spreads affect the main order book in any way?

    I'd presume if one put on a 100 lot spread position it's going to affect the individual legs directly - but does it show up in their books?
     
    #604     May 16, 2015
  5. bone

    bone

    Yes, native or "implied" exchange supported spreads do indeed affect the flat price or outright order book - but the implied pricing orders are typically hidden from the "bid - ask" spread for the outrights unless you have an execution platform that allows for implied pricing to be included. There are some notable exceptions - If you are using TT, you can simply enable implied pricing in the order ticket DOM setup menu to see the quantities that the exchange will fill for exchange supported spreads. Ditto for Web ICE.

    Indeed, the exchange has an internal spread order matching algorithm that will take prompt ( and other inter market month or intra market product firm orders ) month firm futures orders and match them to other orders in order to fill an implied exchange supported spread order. Happens all the time.

    As a matter of policy, the exchange will not match "contingent" orders ( that is, autospreader orders or most automated trading platform orders ) in order to fill an exchange supported spread order. The exchange needs to confirm the fill in milliseconds as done and filled before issuing the fill in kind to the exchange supported spread customer - in other words, the exchange does not want to get "hung" filling a spread order.
     
    Last edited: May 18, 2015
    #605     May 18, 2015
    Adam777 and i960 like this.
  6. i960

    i960

    Thanks for the informative answer Bone. So if someone puts on a 100 lot Jul/Aug spread (in CL for instance), I'd presume that's additional hidden liquidity the outright would have to get through in order to move past it?
     
    #606     May 18, 2015
  7. bone

    bone

    The exchange will either match firm outright liquidity, or elements from other spread orders ( crosses ), or block trades, or even confirmed RFQ's.

    Yes, for the more liquid futures the implied pricing DOM looks substantially different than the naked outright DOM. Especially for highly liquid inter month products like Crude Oil and Nat Gas, Grains, STIRS... etc...

    The spread bid / ask liquidity is almost always MUCH more substantial than the flat price outrights. Been that way since forever.

    To your point, if there was a 300 lot Aug outright order at a parallel price level working and also a 500 lot Jul/Aug spread order working that matched both the Jul and Aug pricing - the exchange would internally Iceberg another 200 lots in Jul at that price level as long as the Aug order remained firm in order to fill the entirety of the Jul/Aug exchange supported spread order.

    Yes, the exchange injects liquidity internally in terms of matching bits and pieces of other orders to fill implied spread orders. BIG TIME. And since spread orders are typically much larger than the flat price orders, it can absorb a great deal of liquidity.
     
    Last edited: May 18, 2015
    #607     May 18, 2015
    i960 likes this.
  8. bone

    bone

  9. bone

    bone

    #609     May 21, 2015
  10. bone

    bone

    Former clients with a track record, even a very modest one in terms of account capitalization, and who are looking for a proprietary trading firm futures or options trader position using only the firm's capital for risk and who are willing to relocate to Chicago should privately PM me or email me. I have been contacted by a prominent Chicago firm who would like to hire some of my clients.
     
    #610     May 26, 2015