TBond Scalper questions

Discussion in 'Financial Futures' started by Wallace, Apr 8, 2011.

  1. I usually concentrate on the eurusd/6E fx/futures, after settling on a setup tried
    a few sim/demo scalp trades in NinjaTrader using Market orders which lead to
    some unsatisfactory results because of the B/A spread

    remembered TBonds and noting the tick value is 2.5 times the 6E and the commi-
    ssion is almost half, thought TBs may offer a better alternative
    so I did some trades using Buy/Sell Bid Buy/Sell Ask
    needless to say ? I got filled, actually the price did move in my direction so that bit
    was realistic, but I wonder:
    How realistic is it to expect B/S Bid B/S Ask fills ?

    currently the daily volume of the TBs and 6E is similar, but the B/A volume is very
    different - see attached - left Dom - TBs right BE - 6E snapped at 1:50 am PST
    What entry order type/s do you use ?
    What exit order type/s do you use ?
    - what works what doesn't ?

    Do you scalp for a lot/many single profitable ticks ?
  2. attached !
  3. 1) The NinjaTrader simulation is okay for "practice" but seldom will it "conform" to actual circumstances in any market you want to trade.
    2) In the market, if you get filled on a limit-order, you have to expect the market to trade through you a little bit. Seldom will the market stop and reverse and give you "heat-free" money.
    3) Instead of the bond, you may be better off with the 5-year or 10-year note with its smaller tick increment and better liquidity.
    4) I prefer the currencies for their intra-day volatility and trendiness. The bonds and notes are generally too "slow" for me.
    5) It can help to know when to trade for reversals and when to trade for trend-continuation during specific times of the day. :cool:
  4. Handle123


    Getting filled for me in Bonds on a limit is rather difficult on as little as a ten lot, if I just got to trade them, I will at non report times on breakouts, but prefer doing the ten year when the trend of the ES is opposite.
  5. had no idea the TNote volume is so high, always thought TB had the highest - after
    the ES

    yes I when I was closing a demo Sell trade with a Buy Bid or Ask, there was a wait
    and then I got filled 2 pips - 6E - to the better after the price just happened to drop
    below the price I'd entered the order at

    I've previously only used Market orders and sometimes you get the slippage and
    sometimes you don't - by slippage I mean 2 pips between the B/A rather than 1 pip
    I guess my questions are generic really, and what I'm asking is how can I avoid
    slippage going against me:
    What is/are the best order type/s to use ?
  6. Handle123


    In certain markets that are prone to "run", slippage is cost of trading those markets like 6E, Bonds, crude oil, they don't come back in good trends, they just take off. And "this' little tidbit should come to your mind that when in a trade that hangs near entry price for a couple of bars might be a way for market saying to get out. Most of my winning trades allow me to get in and goes immediately in favorable direction, I don't have much patience of when they don't, but my method been backtested ten years.

    Emini Nasdaq is more of a sloppy market which will allow one to get in on limits and if you realize it not going in your desired direction, often can get out with one tic to cover fees.
  7. 1) Dang dude, not since about 1999! :eek:
    2) With "thick" and slower-moving markets, you have to use limit orders because the bid-ask spread is more "valuable", i.e. as in eurodollar or fed funds futures. :)
    3) With flitty and volatile markets, you have to be willing to use market orders because the market can "get away" from you when things get crazy, i.e. as with any physical commodity you can think of. The bid-ask spread is less valuable because of the potential enormous magnitude of the daily range in the market. :cool:
  8. thanks Handle123 and nazzdack for the useful info you've both provided

    I was first thinking of 1 pip scalps of the TBs which seemed to me eyeballing charts
    to be easier than trying to clip the 6E which is too 'spikey', plus zips up or down when
    those 100+ orders come in, and about which nothing can be done if one's on the
    wrong side when such orders hit

    as you say, the important matter is getting into the market and the price move, and
    if a pip or two is the price for getting in, well that's just the cost of doing business

    market orders here I come ;