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:) Yes, I noticed the spread got pretty wide as the May contract was getting close to delivery, with very very little volume traded. So, on closer thought I probably wouldn't have gotten a much better fill than the one I got back on April 25th (unless I had a GTC order resting, I probably would...

bigbiscuit: It's the Combo part of TWS, although IB are a bit picky on what they allow you to define.

Just an update on the Oats trade which couldn't be held beyond April 25th. It should have been closed yesterday, and I don't think 3 is a bad guess as to where it could have been closed - 2 cents better than 5 where I had to close it - which would have amounted to 100 usd more.

Bogan7: I've excluded seasonal spread patterns like that, although I'm sure there are interesting opportunities there. I think I've seen Kansas Wheat being electronically accessible, but I didn't look that seriously into it - maybe volume is an issue? SWScapital: Thank you - it should be an...

Entered a new trade today: Long 1 Dec Corn, Short 1 Sep Corn @ 1 Could have gotten it at 1/2 or maybe even lower, but didn't really have time to work it much. 2 new trades on May 14th or thereabouts, no position closings before then. The Oats trade into physical delivery should have...

Thank you for that, very interesting. I'll stick to the system of course, as that's the whole point of this thread, but with that backdrop it's going to be very interesting to see how this turns out over the summer. Your input is much appreciated, and anyone that can contribute to discussions...

Entered into a Soybean Oil calendar spread today: Long 2 Dec Soybean Oil, Short 2 Aug Soybean Oil @ 0.91 Notice that I'm now short 4 Aug ZL, so here's to hoping nothing peculiar happens to that contract.

Just for the record the 2 Aug ZM/Aug ZL spread entered into yesterday was at a price of $496. I'll also include in the journal when the close-to-physical delivery spreads would be opened and closed, and make a special tally of what the net p/l would have been on those. Next trade is coming...

Great Scott, thanks for checking that out for me.

Ok, particularly interested in Scandinavian equities markets (Norway and Sweden), stocks in London both UK and international listings, and then US stocks + minis on Globex and ECBOT. Appreciate the effort!

Does this include the international markets you cover as well?

Today I got an email from IB warning me that I had to close my trade in Oats. They're not allowing positions when contracts are approaching physical delivery. This actually removes 12 of my 57 seasonal trades from my plans - mainly affecting Oats and some Nymex-trades. (I also have 6 calendar...

I have a question for the more seasoned of you, a question about execution risk when arb'ing a future vs stock (say YM vs DIA). Obviously the spread is tight, with DIA and YM moving in tandem. But let's say you're hosting your system with Genesis, and it is lightning fast, is it totally...

Does anyone know if eSignal has a window of intraday bid/ask history making it possible to create an accurate spread chart?

The funny thing is I'm coming into this knowing absolutely NOTHING of the planting/harvesting cycles etc, the current fundamentals this year vs previous years, current news and trader talk - so this will definitely be a 100% seasonal journey based upon statistics and gut feel selection (which...

This journal will chronicle my seasonality spread trades as I've worked through MRCIs Encyclopedia of Commodity and Financial Spreads and selected the ones I think have most merit - 63 spreads in total throughout the calendar year. It's a good mixture of grains, softs, the soybean complex...

So, you enter your bid for 100k shares on some stock, on INET for instance - however would Ameritrade route your sale to INET, knowing that they would lose 290 dollars (with 0.003 fee for removing liquidity)?

The US problem with naked shorting is related to dysfunctional clearing and a lack of consequence for the Broker/Dealer who fails to deliver on settlement date. It's quite easy to remedy, and could be done in many ways - the whole thing is quite amazing really.

Great post, gurucandidate.

I'm in Europe, and IB worked fine up until about 10-10.30 EST (traded the DAX). However I started losing CME level2, then everything on Globex and now cannot even log in... hm....