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I'm speechless guys. I just started looking into this and found the proof. Here is my custom indicator that plots the NET ARBITRAGE activity against a BOND/INDEX SPREAD. It's a perfect match. This is completely insane. The indicator is in white with yellow, orange, and red linear...

I am in the same situation OP. Except slight differences 1) I have ~120,000 liquid 2) ~50,000 gross income 3) extremely frugal budget 4) insane proprietary edge that took like 6 months to develop and YEARS of study and learning including a degree in mathematics and a complete obsession with...

If you take long/short exposure in indexes, for example buy YM and short NQ, then you can trade (roughly) three times the size in notional amount using the exchange variance margin (SPAN). ***This is stuff like having $2,500,000 in long DOW contracts and short $2,064,303 in the NASDAQ (you...

Hmm, I'm thinking about getting an AMP account and funding it with $10,000 just to practice trading for a while with a small account and micros. Is the data cheap? They have some good front ends that I would like to try out.

You should probably just try to daytrade the Nasdaq. There is going to be a lot of volatility in the indexes. What brokerage do you use? My research is all about analyzing HFT and programming visual representations of what is happening behind the price. The really big money knows how to hide...

UBZ19 closed at 191.625 on Friday 9/27/2019 ESZ19 closed at 2,968.50 Here is a chart of the YEAR TO DATE comparison of a portfolio allocated 72% bonds and 28% equities. $1,533,000 in Ultra Long dated Treasury Bonds $593,700 in S&P 500 Index Holdings Basically, the fund managers are taking...

Just a typo here. I should have written that "HFT arbitrageurs provide new bids on globex and hit bids in cash"

It's not made for AAPL. It's used to trade index futures and rate futures. This is the chart that I posted in another thread when that idiot Amherix was trolling ET. But, it still works to trade this stock because AAPL is arbitraged against the Nasdaq 100 contract. The indicator only tells...

This thread should be called "How can I blow up my prop firm?" :wtf:

I'm guessing that this guy is just looking for advice for his trading of futures. 100 RT in a day is nothing, and you should not use micros to trade like this. High freq for a day trader is somebody who flips their exposure, is both long and short, and uses cross hedge to act like a market...

This I agree with but has to be considered complex strategies. I am working on some strategy where you take a equity index spread and spread that against a short rates spread. This is complicated, but that other stuff is too. Have them trade micros, index spreads, bond spreads, or something...

Here is a chart of my custom indicator. The indicator plots the net activity of HFT arbitrage on the stock indexes. When the indicator is rallying, the buyers are trying to move the price up. When the indicator is falling, sellers are trying to push the market down. The blue line is AAPL. I...

I'm saying that I don't do arbitrage. The HFT firms are doing it. I just have a way to measure it using differentials of tradable instruments and index data feeds.

Anyway, my edge is not what the thread is about. It's about ways to trade risk on / risk off.

What do you mean by this? Every time I say arbitrage I specifically state exactly what I mean. Which part of this sounds unbelievable? That you can't know when the arb is taking place, or that it doesn't give a tradable signal fast enough to make trades?

It's pretty simple qlai. If I am a fund manager and I have sold my bonds and bought equities because I think that it will help my portfolio, but then equities start to stall and bonds start to rally, then I better sell my equities and buy back my bonds before my portfolio gets whacked. Since...

Edge on what. Arb what. You have to be specific or it's just talk that means nothing. Funds allocate capital. They allocate between fixed income and equities to reduce portfolio volatility. They rotate between conservative allocation (risk off), and aggressive allocation (risk on)...

The reason these indexes affect each other is because of two things. Some of the biggest funds are invested in all of the indices at the same time. They also hold positions in all of the bond markets at the same time. This means that the bonds will move together and the indices will move...

You need to give an example of this. You are being too vague. You could be talking about the NIKKEI 225 or the FTSE 100 for all we know. The cash session in the US is hugely influential on global indices but they still do affect each other. For example, if there is volatility in DAX and...

Just click on my profile and read through my threads and comments. I'm one of the only guys on here that actually breaks down HFT and how it is being used. This is not simple to understand. Most people say algo and arb but they can't really give an example that is based on market...