Trading the S&P/DJIA spread

Discussion in 'Index Futures' started by esc_trader, Dec 22, 2002.

  1. BUYING at 36-38
    #51     Jan 7, 2003
  2. SELLING at 56-58
    #52     Jan 8, 2003
  3. BUYING at 47-49
    #53     Jan 8, 2003
  4. SELLING at 60-62
    #54     Jan 8, 2003
  5. BUYING at 49-51
    #55     Jan 8, 2003
  6. SELLING at 58-60
    #56     Jan 8, 2003
  7. Had another very busy day and could not post trades for today.
    For the time being I will scale it back a bit and just post ranges. You can assume I am buying at the low end, selling at the high end of these ranges. I'll post when they change.

    Currently 42-60 on this spread, good movement the last few days. Of course I am not the final word on where these are going (I'm just trying to keep the losses small!), so select your own entries/exits as you wish, but the improved liquidity in the mini Dow over the last few months make this an attractive spread IMO for those interested in this type of trading.

    I will touch on a few other subjects I have been asked about in PMs. As far as platform and broker, I use Interactive Brokers (IB).
    I cannot overemphasize the importance of getting the absolute lowest commissions you can find. Low comms IS AN EDGE.
    Believe this for all types of daytrading, yell at people who tell you otherwise. :)
    I have seen that for those that do volume, Ffasttrade is now offering better rates, but I've been with IB for three years and don't feel like switching accounts.

    After using platforms other than IB's TWS, I hate going back to use TWS, but I have written an application to their API that I use to trigger the trades, so no need to mess with the TWI user interface.

    As far as quote speed, I compared IB, Hyperfeed, and CBOTs quotes yesterday and IB and Hyperfeed were about even, both ahead of the tool on CBOT's web site. Quote delay would be a problem, but IB seems pretty good on that front, and should be sufficient.
    I plan to try the CBOT/ACE market depth on IB and see if that can be helpful.

    For executing the trades, there are two ways you can go:

    1. Honest Spread - market orders on both the ES and YM at the same time. No directional risk here, and the mini Dow has enough liquidity now where you usually won't get too much if any slippage on small orders.

    2. Directional - You leg in one side of the spread, hoping it moves in your favor. If it doesn't, put in the other leg.

    Depends on how much directional risk you are comfortable with.
    More later.. Best wishes!
    #57     Jan 10, 2003
  8. Buying at 20-22. New range is 15-45
    #58     Jan 15, 2003
  9. H2O


    I trade spreads with J-Trader and use Advanced Futures.
    IMHO this is a better platform for spreads. The reason I switched from IB to AF (As well as customer service speed):cool:
    #59     Jan 15, 2003

  10. Curious as to what your P&L looks like with this strategy. PM me if you'd like.

    #60     Jan 18, 2003