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Futures spread trading grains education sources?


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  #11 (permalink)
 Wartrace 
Wartrace,TN usa
 
Experience: Intermediate
Platform: NinjaTrader
Trading: 6E
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planetkill View Post
You should ask [email protected] to be sure, straight from the source

I just received a reply. This is good to know since one of the advantages of spread trading is reduced margin requirements.

Hello John,

Thank you for using NinjaTrader. Currently, NinjaTrader does not offer SPAN margin for futures spreads. Our risk team evaluates market conditions in real-time and reserves the right to adjust intraday margins in accordance with market volatility. For more details on our margin policies, you can view our Margin Policy and FAQs.

Thanks,
NinjaTrader Client Services AI Agent


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  #12 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT Stellar & Tradestation
Broker: Primarily Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
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kevinkdog View Post
The best person here to discuss spreads is @SMCJB . He is a former professional energy trader and does a lot of personal trading now, including all kinds of spreads, including many off-exchange spreads.

I'm still around, although as Kevin says not as much as I used to. My background is energies but I do trade a lot of spreads. Unfortunately Ags is probably the group of commodity futures that I know the least about.

kevinkdog View Post
Another source for spread info is mrci.com. They offer seasonal type tools (such as in the past 13 of 15 years the Dec/Jul Wheat spread has gone up from Dec 1 to Jan 12.) Interesting stuff, although that type of trading is not as profitable as it once was (you can see their track record here: https://www.mrci.com/results/mrciport.php)

Also seasonalgo.com

kevinkdog View Post
Most retail platforms do not support spread trading or backtesting, which is a blessing and a curse. This means it is much harder to analyze, but at same time less prospective traders are looking at the type of trading, so better chances of finding alpha

One word of caution that most new spread traders make: be careful when writing spread indicators (like the price or July Wheat minus the price of December Wheat, plotted as OHLC difference). If you use that for analysis, your analysis will be wrong. You want to plot the Exchange July/Dec Wheat signal, which most platforms do not readily offer.

Agree with Kevin here. Lots of pitfalls trying to trade spreads on platforms not designed for it. Also worth noting that you can't plot continuous contracts and then use an indicator to calculate the spread between the two contracts as it will give you really bad data.

Another issue for retail traders trying to trade spreads are commissions. Round turn on a spread is 4 commissions rather than 2. Round turn on a Futures Butterfly (ie a spread of spreads) is 8 commissions. Can add up quickly if you have high commissions. Pro's not only have aggressive commissions but probably also own or lease exchange seats which give them reduced exchange fees as well. For example I can buy and sell a crude oil butterfly (ie 8 legs) and make the minimum 1 tick, and still make money.


Wartrace View Post
I just received a reply. This is good to know since one of the advantages of spread trading is reduced margin requirements.

Hello John,

Thank you for using NinjaTrader. Currently, NinjaTrader does not offer SPAN margin for futures spreads. Our risk team evaluates market conditions in real-time and reserves the right to adjust intraday margins in accordance with market volatility. For more details on our margin policies, you can view our Margin Policy and FAQs.

Thanks,
NinjaTrader Client Services AI Agent

Very difficult to trade spreads without SPAN margining. To put this in perspective current SPAN margins for
Long 1 CL F5 outright is $6582
Long 1 CL Z6 outright is $3803
Long 1 CL F5/G5 Spread is $736
Long 1 CL Z6/F7 Spread is $96 (not a typo!)
Long 1 CL F5/G5/H5 Butterfly is $630
Long 1 CL Z6/F7/G7 Butterfly is $70 (not a typo!)
Even things like
Long 1 CL Z5/Z6/Z7 Butterfly is $767
which moves around a lot more than you might think.


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  #13 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,697 since Jul 2012
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Wartrace View Post
I just received a reply. This is good to know since one of the advantages of spread trading is reduced margin requirements.

Hello John,

Thank you for using NinjaTrader. Currently, NinjaTrader does not offer SPAN margin for futures spreads. Our risk team evaluates market conditions in real-time and reserves the right to adjust intraday margins in accordance with market volatility. For more details on our margin policies, you can view our Margin Policy and FAQs.

Thanks,
NinjaTrader Client Services AI Agent


Something bothered me when I read this answer from Ninja. Although it did answer your question ("does not offer SPAN") it added info about intraday margins (why?) and then I saw that it was written by AI. So I was suspicious.

So I ran a test in my Ninja brokerage account. I bought 1 Dec MES, and sold 1 Mar MES.

According to the Live Dashboard, this ate up $100 in margin, so does not include SPAN.

I held position overnight, which is when I'd expect SPAN to kick in. Here is what I saw:




So, that overnight margin requirement DEFINITELY is a SPAN margin requirement.

My conclusion:

Ninja does not apply SPAN to intraday requirements.

Ninja does apply SPAN to overnight requirements.



I'd love to hear clarification/confirmation from @NinjaTrader


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Last Updated on December 3, 2024


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