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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
That's what I use. It's very good, and arguably recognized as the best available. It's also very intuitive. Setting the first few up will make you scratch your head alittle, but using them to trade is as easy as using a DOM to trade anything.
Can you help answer these questions from other members on NexusFi?
I found presentation from Interactive Brokers on the subject.
Looks like interest rate trades have longer time-span and are not really suited for intraday(as I thought they would be).
I was hoping to find delta-neutral intraday way of making $ with bonds. Looks like it's possible only with auto-spreading liquid pairs (and means significant investment upfront).
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Welcome @JonathanRose and thanks for joining the conversation.
I'm curious when you trade spreads or flies between the different contracts are you trading 1:1 or using DV01 ratio's?
If the latter, when you chart the speads or flies are you charting 1:1 or using the same execution ratio's?
Finally if the latter how do you know what the DV01 ratio's were historically to chart them?
historically can be done using a rolling contract but that's not practical because you won't be factoring in the difference between the calendars spreads that roll
so historically, can only be 'historically' with a given contract (March, June, etc...)
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,059 since Dec 2013
Thanks Given: 4,410
Thanks Received: 10,226
Thanks interesting. So the exchange actually lists the intercommodity spreads but didnt see anything on the Butterflys. That would make things easier. I don't have CBOT data so can't see any of these contracts.
Jonathan great webinar! yesterday on Bond spread trading.
It is a very interesting piece of news to hear that you and Patrick have been working and "getting done" the fact that Sierra chart is ready to plot spread charts (the same way only TOS was allowing).
Since I have been attending your course over one year ago, I have been trying myself to get these same spread charts on my Ninjatrader (the first platform I jumped in ...) but ... being alone .... I was unable to get them done and I could not continue my walk forward. Sure, maybe I should have hired a consultant, paid him/her at least couple of thousands, in the meantime go relaxing and playing golf, then, once the consulting work had been completed, install the add on on my platform and, with these new charting features start paper trading on the charts. But I am not such an elite person, I can't afford it.
Anyway great stuff from you at the webinar, both as regards the concepts you illustrated on Yield curve spread trading, and as regards the info you guys provided on honoring margins for exchange recognized spreads.
Thank you.
guidoisot.
I've dropped you a couple of emails over the weekend (hope you don't mind!) but I also am not sure how the butterfly ratios are calculated. As mentioned earlier in the thread, I have the CME link for the pair spread ratios but how do these get translated to the butterflies?