Recent content by H2O

Take liquidity is lifting offers / hitting bids (i.e. remove liquidity provided by other market participants). The opposite would be to provide liquidity, i.e. place limit orders that are not immediately executable against existing bids / offers on the exchange / market place. (Usually market...

https://www.cmegroup.com/clearing/margins/inters.html#exchange=CME&sector=EQUITY+INDEX&pageNumber=1 (I think you were at the correct page originally, but didn't select "Inters" on the top of the page.)

From: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_short-term_rate/html/eurostr_qa.en.html The broad scope of the €STR guarantees that the rate is a fair reflection of the overnight borrowing cost for banks in the wholesale market, in which not only banks but also...

Plenty of factors at play here: (Corporate) bonds trade OTC, not on a centralised marketplace. A trade agreed between 2 parties can be reported with a delay. I expect (little experience trading corp bonds at IB) that IB's "algo" will look for bids posted on different venues - before sending an...

I suggest you read up on cointegration

To answer your question: Bloomberg terminal suggests VD for German sovereign bonds is T + 2 (i.e. settle on 25/08) Quoted spreads may be wide in TWS as most trading is OTC. IB is not the best route to trade these (or any other fixed income for that matter).

As mentioned in the post you quoted, I traded firm capital only. Risk management set my trading limits based on my trading style (and I assume on overall firm exposure). "Leverage" therefore didn't exist for me. I know other traders at that firm traded their own capital, but I don't know the...

Nothing negative on Barchart (never really used them), but if you're looking for high-quality EOD data you should consider CSI: http://www.csidata.com/ (No affiliation)

When trading futures spreads, butterflies etc. you're taking a view on the (future) shape of the curve. Technical traders generally fade any 'humps' in the curve, while longer-term traders may take a fundamental view on how the curve should change if certain conditions emerge / cease to exist...

I expect you are refering to daily settlement prices. For more info on how these are set (also in the event of no trading): https://www.cmegroup.com/confluence/display/EPICSANDBOX/E-mini+Nasdaq+Biotechnology+Futures

I would appreciate getting more insight in your approach to RV strategies / calendars. Aside from the technical implementation (fills / risk), I think the 'strategy' perspective would probably give more than enough material for several chapter(s) of book IV, if not enough for book V! If you...

How do you think that would work? If the "close" price (i.e. the last traded price of the session) is your trigger, when is your stop order supposed to be executed? Ignoring after hours sessions (not available for all markets / instruments), the only option would be next market day's opening trade.

I don't know if you have access to options markets and if the stocks you are looking to short have sufficient options liquidity - If so, syntectics (long put / short call with the same strike/expiration) may be a better alternative (depending on costs / liquidty / time in trade) than stock futures.

Delta hedging (as per the title of the thread) aims to remove directionality from a trade by offsetting the delta of one position (say the -400 in your example above) with another position (i.e. you would need a +400 delta in your 'hedge'). Your combined portfolio delta should be as close to...

You would need to sell puts, not buy them It is unlikely that you would be able to sell 100 puts at an 'acceptable' price if 10k shares is a market moving quantity If you were to get someone to sell you 100 puts, this person would most likely want to hedge (using the underlying) which in turn...