NexusFi: Find Your Edge


Home Menu

 





commodity spreads


Discussion in Commodities

Updated
      Top Posters
    1. looks_one SMCJB with 23 posts (21 thanks)
    2. looks_two brentf with 16 posts (12 thanks)
    3. looks_3 Kurtas with 9 posts (5 thanks)
    4. looks_4 myrrdin with 8 posts (10 thanks)
      Best Posters
    1. looks_one myrrdin with 1.3 thanks per post
    2. looks_two SMCJB with 0.9 thanks per post
    3. looks_3 brentf with 0.8 thanks per post
    4. looks_4 Kurtas with 0.6 thanks per post
    1. trending_up 29,342 views
    2. thumb_up 66 thanks given
    3. group 40 followers
    1. forum 99 posts
    2. attach_file 17 attachments




 
Search this Thread

commodity spreads

(login for full post details)
  #71 (permalink)
 
CobblersAwls's Avatar
 CobblersAwls 
London, United Kingdom
 
Experience: Intermediate
Platform: N/A
Broker: Bloomberg
Trading: Energies
Posts: 310 since Jul 2014
Thanks Given: 1,089
Thanks Received: 386

Check this out from the ASX, this was a popular spread in the past, not sure what it's like now though but worth some investigation: https://www.asx.com.au/documents/products/asx_interest_rate_futures_research_aus_us_bond_spread.pdf

If you want to trade London/EU session after work (I presume as you are AU based) then you could look at Euribor/Short Sterling/Eurodollar markets for rates. Due to CB intervention and ZIRP/NIRP these markets are pretty bad for retail.

For commodities you could look at products such as Sugar, Coffee, Cocoa, Brent Crude Oil, Low sulphur Gasoil and many others. Have a look at Ice Future Europe for a complete list.

For index spreads you could look at the 5/2 FESX/FDAX ratio spread.

Visit my NexusFi Trade Journal Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Trader Dale [email protected] or Scammer Dale
Trading Reviews and Vendors
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Request for MACD with option to use different MAs for fa …
NinjaTrader
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Tao te Trade: way of the WLD
30 thanks
Supertradersams Thread Journal on NQ/MNQ
25 thanks
Deaddogs Stock Trading
23 thanks
GFIs1 1 DAX trade per day journal
22 thanks
Daytrading ES & NQ
13 thanks

(login for full post details)
  #72 (permalink)
 jokertrader 
NYC, NY
 
Experience: Intermediate
Platform: Sierra, TT
Broker: N/A
Trading: Spread Researcher and crypto degen
Posts: 654 since May 2013
Thanks Given: 545
Thanks Received: 360


brentf View Post
The new crop bean spreads over the pas week provide an example of reduced corrrelation between the price of the nearby and the spread. Flat price of X has dropped approx $1.30 while the X/K has lost approx 10 to 15 cents. This is what I was trying to suggest above, that the correlation between the nearby and the spread will approach zero as the spread approaches full carry. The spread simply has nowhere to go (assuming full carry is not breached. I have only seen it happen a couple of times and for good reason).

@brentf if you see this, you should start posting again if possible.. u gave good insight especially on bean spreads.. good reading for a newbie to spreads like me

Visit my NexusFi Trade Journal Reply With Quote
The following user says Thank You to jokertrader for this post:
(login for full post details)
  #73 (permalink)
Maria Julia
Beverly Hills, CA
 
Posts: 9 since May 2017
Thanks Given: 0
Thanks Received: 7


I was curious to know what strategies underlie your spread trading. Do you look for historical price differences between two markets to spread? In an algorithmic trading system, would such price differences trigger a trade signal? Perhaps you’re looking at seasonal tendencies. In this case, would dates on the calendar trigger a trade signal?

Reply With Quote
(login for full post details)
  #74 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
Posts: 1,938 since Nov 2014
Thanks Given: 3,680
Thanks Received: 2,651


Maria Julia View Post
I was curious to know what strategies underlie your spread trading. Do you look for historical price differences between two markets to spread? In an algorithmic trading system, would such price differences trigger a trade signal? Perhaps you’re looking at seasonal tendencies. In this case, would dates on the calendar trigger a trade signal?

Most of my spread trading is seasonal trading.

You find some information about my strategies in the thread "Commodities Futures Trading" > "Seasonal Trades".

Best regards, Myrrdin

Reply With Quote
The following user says Thank You to myrrdin for this post:
(login for full post details)
  #75 (permalink)
 datahogg 
Knoxville Tennessee USA
 
Experience: Intermediate
Platform: TOS
Trading: ES, NQ, CL, /6E futures options.
Posts: 346 since Oct 2012
Thanks Given: 135
Thanks Received: 154

Anyone trading the (ES-YM) spread??

Reply With Quote
(login for full post details)
  #76 (permalink)
 
gisot's Avatar
 gisot 
Milan, Italy
 
Experience: Beginner
Platform: NinjaTrader, TWS
Trading: ES, Stocks
Posts: 278 since Jan 2012
Thanks Given: 382
Thanks Received: 177

I have tried ES-NQ, with ninjatrader the best I could come up with was the attached chart.
How are you, or are you going to trade ES-YM?
with ninjatrader?
the issue with NT was executing orders on both legs quick enough

Reply With Quote
The following user says Thank You to gisot for this post:
(login for full post details)
  #77 (permalink)
 datahogg 
Knoxville Tennessee USA
 
Experience: Intermediate
Platform: TOS
Trading: ES, NQ, CL, /6E futures options.
Posts: 346 since Oct 2012
Thanks Given: 135
Thanks Received: 154


guidoisot View Post
I have tried ES-NQ, with ninjatrader the best I could come up with was the attached chart.
How are you, or are you going to trade ES-YM?
with ninjatrader?
the issue with NT was executing orders on both legs quick enough

That is an A+ video, thanks. Ninja Trader will never work for spreads. I use Sierra Charts for the spread
charting, and I use Interactive Broker for spread trades. IB quotes a single price for the spread with
competitive (good) margins. The dollar value for the spread is (ES*50 - 5*YM). This is the value you
should chart. I have seen the spread go to a large unrealized loss, and the next day revert back to no loss
or a gain.

Reply With Quote
(login for full post details)
  #78 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Posts: 5,013 since Dec 2013
Thanks Given: 4,334
Thanks Received: 10,111

Not familiar with NT but you can program automated spread trading in Tradestation so would assume you can on other systems as well. As @guidoisot said though, there is the issue of executing both legs quick enough, AND you will be paying the bid-ask spread on both outright contracts, rather than on any exchange listed spread which is normally a lot tighter. You just need to have two different charts, both with 2 data series on them for the spread, but one chart trades one leg of the spread and the other chart trades the other - but both with the same but opposite logic.
For example
Chart 1 might be, if data1 > data2 then buy next bar at market
while
Chart 2 might be, if data1 < data2 then sell next bar at market

This can be a little confusing as data1 and data2 are reversed. A way to avoid this would be to have 3 data feeds on each chart, data1 is the executable symbol, data2 is spread leg X and data3 is spread leg Y. So you first chart would be X, X & Y and your second chart would be Y, X & Y. Now you only have to reverse the order signals and not the code logic. For example
Chart 1 would now be, if data2 > data3 then buy next bar at market
while
Chart 2 would be, if data2 > data3 then sell next bar at market

With regards to ES-YM even if you dollar adjust as @datahogg suggests (ES*50 - 5*YM) you still don't have a market neutral spread. The ES contract currently has a $139K notional, while YM is $127K, so if you trade them on a one-one basis you'll be net buying or selling $12K of outright market exposure. To eliminate this risk you really need to be executing the spread as 10:11. This is different to trading for example the Crude Oil - Heating Oil spread, as each contract while having a different notional USD value, are both for the same quantity - 1000 barrels.

Reply With Quote
The following 5 users say Thank You to SMCJB for this post:
(login for full post details)
  #79 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,637 since Jul 2012
Thanks Given: 1,882
Thanks Received: 7,304

Tradestation does a lot of things well, but spread trading is definitely not one of them.

Their platform needs to include:

1. Market data for exchange traded spreads

2. Ability to actually trade these exchange spreads


They have been telling me for YEARS this was right around the corner, but it never shows up. Legging is the alternative, but is dangerous in runaway markets, and definitely more expensive for slippage cost.

Follow me on Twitter Reply With Quote
The following 4 users say Thank You to kevinkdog for this post:
(login for full post details)
  #80 (permalink)
zxcv64
London, UK
 
Posts: 74 since Jan 2018
Thanks Given: 162
Thanks Received: 68


Hi,

Pls forgive the noob question. I am looking on seasonalgo, and they have a good spread to enter around about now.
It's selling the GEH19-ZFU18.

I am experimenting with trying to create this in IB. But I'm struggling to see how seasonalgo get the price of 129,699
when the individual quotes are :

GEH19 - 97.1975
ZFU18 - 113.2929688

I cannot post a link or image as I do not have enough posts on here.

Can someone kindly show me where I am going wrong?

Reply With Quote





Last Updated on August 3, 2018


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts