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Here is a chart of January WTI Crude vs. December ES. I multiplied CL by 20 to normalize the tick values (CL is expressed in ES terms now.) However, the the chart represents a 1/1 spread. Note the recent strength of CL. Note also how crude tanked much worse than ES in early August. By the...

Portfolio margin. Interactive Brokers has it (and probably some others), but I think you need $100k of cash to qualify. Leverage is 4x to 5x. Otherwise, you need to join a prop firm (Bright, Echo, etc.) and convince them that you won't lose their money.

CL had a very wide opening range this morning (15 mins from 9:00 to 9:15). I thought to myself "if all the discussion about wide/tight OR's hold true, then the A Down is a good fade."

NG had a nice intraday short trade setup with a lot of factors: 1. Bullish news not confirmed by price - 10:45 15-min bar (the inventory report) had a HUGE wick on top after a bullish number. 2. Price made it above my A up after inventories (3.425) but couldn't make new highs. 3. (As Mav...

In that case, the only non-institutional platform even approaching your requirements is Optionvue integrated with their "trading partner." You lease Optionvue for $200/mo to $300/mo and it bolts right into the broker's trade engine/API. Transaction costs are $0.75/contract ($7.50 min) and...

Have you looked at Peter Hoadley's option tools? It plugs into the IB datafeed, but does its own calcs. http://www.hoadley.net/options/options.htm I don't think you can trade through it, but it pretty much gives you all the info to make a trade (including delta hedging values, etc.)...

Just FYI, just subtracting the OHLC1 from OHLC2 won't produce accurate highs or lows for the spread. First of all, the high of the spread is probably mathematically closer to (but not equal to) H1-L1, since "high" actually means "max spread value." Also, the two instruments don't necessarily...

ES charging toward the pivot...let's see if it breaks through. Intraday A-up is about 1256-ish, depending on the high of the 9:45 bar. Edit: MY intraday A-Up is 1256-ish.

Bone would be so proud of you...:p

So how is this different/better than Dukascopy? Dukascopy charges lower commission (0.36 pip) per roundtrip than LMAX (0.50 pip). Is the market deeper? Faster? More liquid?

The tradingblox forum has a few threads dealing with this topic in a lot of depth. The current thinking is that the Original Turtle System was tuned for a highly inflationary environment. The breakout periods (20 days for system 1, 55 days for system 2) were fairly short-fused, but got you into...

This post shows the equity curve of the exact original system rules - it stopped "working" about 1995. http://www.tradingblox.com/forum/viewtopic.php?p=35018&highlight=crosshairs#35018 The moral of the story isn't that the Turtle System "doesn't work", or that "Trendfollowing doesn't...

ES is defending the 1232 pivot just below my A down level of 1237.

The Euro countries got together and cut some sort of deal over Greece.

Nice intraday failed A Downs on ES (15 min OR, 6 point A value) and CL (15 min OR, 60 tick A value). NatGas and Bonds not feeling it today.

Shanb, have you looked into real-time stock scanners like trade ideas or madscan? They may be able to be customized to scan for tight OR's as Mav described. I think one of the platforms has coding services available (for a "nominal fee", of course!)

Just curious, why didn't you short the 1242 overnight support level, with a stop at 1255-ish?

Bonds made a nice A up today, with the added kicker of being an "A up through the pivot." (15 min OR, 16/32 A value) Natural Gas was tricky - made a confirmed A down (A down WAS the pivot), but quickly reversed. An aggressive trader probably could have turned the whipsaw loss into a breakeven...

There was a good article on FT-Alphaville today regarding both the WTI-Brent spread as well as the change in the shape of the forward curves - WTI is backwardated for the first time since 2008. http://ftalphaville.ft.com/blog/2011/10/25/711066/wti-is-no-longer-a-burden-to-passive-investors/...

TRADING SPREADS AND SEASONALS, by Joe Ross is a good start (just a start, though.) If you search around, you can probably find a copy on the internet. The dead-tree version is $150. I also signed up for his free weekly newsletter. His staff sends a spread trading recommendation every week...