Recent content by MRE

Curious...is there currently anything similar for futures options?

Bigger Capital's spread analyzer tool may be of interest to you (http://biggercapital.squarespace.com/), but like Bob said you'll be trusting someone else's calculations.

I use it but currently only as an enhanced spreader. Like another poster said, it can do simple things pretty well (and deploy them quickly) but for me it's failed a bit on more complex ideas. As for stability, ADL doesn't talk to Excel too well in my experience, especially receiving data/inputs.

Most of the futures prop firms that I am familiar with in Chicago give a draw of 3k-5k per month and 30% of net to start out. Expenses such as TT, CQG, etc are generally considered top line or traders are charged a flat desk fee per month, also top line. Some pay W-2 others 1099, mostly...

looks like the ECM waiver is still available: http://www.cmegroup.com/company/membership/files/ECMQA.pdf

"Am I just reading it wrong?" no, you're not reading it wrong. the OP could look into it though and see if he/she meets the requirements.

i just realized that i assumed you were running a spread strategy. not sure why i did that. if you are, then TT ASE may help - your spreads reside at the co-located server, you're outrights reside locally on your desktop. otherwise, you'd be better off co-locating your own server and remoting...

you could start by trying your strategy on TT ASE on a firm provided server (in aurora). see if that is sufficient speed improvement. advantage, crossland and shatkin can all do this and i'm sure there are plenty others. that'll cost you about $1850/mo. you're commissions may be lower at one...

Do you mean calculating the theoretical price of the futures contract based on the physical? If so, then you would want to use a cost of carry equation and like bone wrote, the spot price and some other variables might be hard to come by.

To the original post: First of all, the line between trader and programmer in HFT is blurred. Nonetheless, it would be very difficult to come up with an accurate number for average income of a high frequency trader, but I would hazard to say that most successful ones make north of $300k/year...

SPY ex-div dividend will be $0.59019, which accounts for the difference in the spread between yest and today

anyone know of any off-the-shelf software more customizable than TT for treasuries? apama, orc, etc.

in response to your original post... yes. execution speed and costs are everything, especially in the index ETFs, as is margin cost when holding a position overnight. SPY has been hard to borrow recently and can be very costly with just a medium sized position. i recently posted a question...

thanks for the reply. i figured that the SPX options would be a better market the the EX futures options for size. where would i go to get a quote to close out the combo vs futures? the cboe floor? i assume the market would be tight and should be around flat, right? (apologies if...

i wonder if anyone can help me with a question regarding a combo trade... could a synthetic futures position in the SPX options exactly offset a emini S&P 500 futures position? is there a market to roll out of this position at or near expiration? e.g. short sep futures, long sep9 900 combo...