Recent content by dvegadvol

A friend has a trading corp - a limited liability corp to be specific. He told me that his FCM requires double margining from him because he has this corp setup. I haven't heard of FCM's requiring double margins in the past... Anyone familiar with this? Could he get a better deal at...

I was a member of the CME. You're looking at Rule 106.H,I and J at the CME, I think. I don't think you can lease a seat - I think you'll have to buy one. CME seats are offered at $500k, IMM at $420k and IOM at $325k You'll need at least an IOM, but check with the CME first. Their...

And to put it another way: Institution does 12% of the biz / day in forex $1,000,000,000,000 / day in transaction Makes 1/5 pip profit (in eur/usd $0.00002) average on trades +$2,400,000 / day in p/l just on spread capture. Gives you a little wiggle room when taking proprietary...

HTrader, et. al. I've traded fx for some time (15+ yrs now, yikes!) and maybe I can give you a bit of perspective about what goes on in this market. Profit Centers: Spread Capture - certainly the engine that drives any large trading operation. One moneycenter bank controls about 12% of...

It's always worse than you think it is. Commish is stable but slippage estimates (by people new to this stuff) are usually very low. To be conservative, sure triple it; worst case you'll have better results! Not profits necessarily, just better results...

Systems trading is a difficult subject and is made more difficult by a lack of robust software to test an opinion. A few observations, fwiw: 1. All markets I've researched have the following common traits: non-linearity, non-stationary means and stochastic volatility. Because of this...

Well, I don't leave stop orders in the market. People have been "picking off" orders for years. That's part of the game, I suppose. There's an advantage to being on the floor - you see and hear what the big guys are up to, can gauge the flow of orders, "feel" the market. That kind of access...

So what's wrong? The multiplier is the same, $20 * future or index, whatever, there's a basis, but the equivalency is always the same - 800 shares per e-mini. Not 850, not 750, 800. Unless the CME changes the multiplier...

I think information flow is created by price discovery and is directly proportional to the number of trades executed, so I'm not surprised that the mini generally leads. Part of the reason that they may lead could be due to the fact that it is electronically traded. Don't get me wrong, I...

GA: It's always exactly 800 qqq's = 1 naz e mini 1 e-mini ndx point = $20 qqq price = ndx/40 1 emin point / 40 = $0.025 equivalent position in qqq's needed to equal 1 emin contract move $ 0.025 * 800 shares = $20

Certainly greater price discovery activity through e-mini; efficiency perhaps as well. THey are parallel mkts, imho, and I'm know that local traders on the floor have an edge wrt order flow and speed of execution...There are reasons that exchange seats have and retain their value.

Sure, the arb profits are small, but execution costs are minimal and potential opportunities are continually present. I started trading on the floor and knew of scalpers who would trade hundreds of times per day. Yes, locals will do the arb, scalp and take positions, but I'm not sure which...

No problem, my pleasure. There are e-mini terminals on the floor, right next to the pits and elsewhere. Some local traders have teamed up to do execution in the pit and on the terminal and they split profits (and losses!). You have to be a member of the exchange to do this, either by...

Yes, indeed. But what most locals do is try to scalp a full size contract on the bid side and scale up a few offers in the mini's one at a time (and vice versa). Most of the volume in the mini appears to be one-lots, while the larger contracts have chunkier institutional flow. Many locals on...