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You don't think its useful to look at a spread like NQ/YM?

I'm not really pumped on it. I'm pumped on the algos and scripts i wrote to get an edge on actual HFT stuff. This is just a chart on one of my screens. Charting a spread or even trading a spread is not an edge.

I prefer outright to spread too. You are just trying to big brother people on here apparently. Obviously outright will make you the best money if you are any good. These spreads are just a side thing to get small with imo or swing them.

Hi, Bone I would really appreciate a comment on my thread in the Index Futures Section. Some jerk tried to ruin the whole thing. You can just skip to my comments near the end if you don't have time to read the whole thing. http://www.elitetrader.com/et/threads/index-spread-traders.335197/

The fact is, if you are a small independent trader, (let's say you have about $100,000 account size) then futures are a very compelling tool to participate in the capital markets speculatively. The capital efficiency with SPAN margin is arguably better (much better) than Reg-T margin. So, if...

These ideas are advanced so it is expected that people will say its stupid or foolish or amateur. Most people do not have cross domain expertise in futures, options, and the indexes and spread combinations. I'm not saying I do, and that's why these ideas are very interesting to me, as a...

It is like placing bracketed OCO orders above and below the range, but its also a spread trade. Another thing you could do is spread with a small bias up or down by choosing different leg sizes. Then close one of the legs at your discretion whenever it is convenient. This could be during the...

Hey dude. As far as I know, the E-Mini equity futures are about as good as it gets for a retail trader. They are certainly liquid during RTH and even after hours. Sending a 2 lot in NQ and a 3 lot in YM is literally nothing. This kind of order would be completely irrelevant in terms of...

Another example, lets say the market is starting to consolidate in a contracting range. You put on the NQ/YM spread using the 'implied volatility adjusted notional' ratio, check the video it says 2/3. Then you put stops just outside the range on BOTH LEGS. The market breaks or rallies and...

I started this thread because I just wanted to talk about strategies to manage what I would call 'open position PNL variance' and knowing about these inter-market spreads is useful. Put otherwise, you could say that being flat is very similar to being spread in a very low position variance...

Not really. If you really want to compare that spread to anything in equities you would have to try to go to market on something like ESU/ESZ. What if you move to Chicago and lease a seat then can you get filled at the market? Can a CME member get filled at the displayed quote on a E-Mini?

Also, the spread you posted is an intra not an inter-market spread. In other words a time spread. It's not even relevant to the thread.

I'm not convinced by your claimed expertise of markets at all. You are talking about the E-Mini equity derivatives as if there is no liquidity in them. You sound clueless to me. Here is a point I will make about HFT. Do you know what cash and carry and reverse cash and carry arbitrage is...

Here's another spread long two YMU19 and short 3 RTY. Same session AUG 16 RTH: The chart is the same as before. ES is in blue and the spread is in white. Red line is a polynomial regression on the spread. Sub chart is the spread detrended against the red line. ES points on the left axis and...

Hey qlai I will try to explain what I mean. I used to develop processes that would do things that you see in markets. The model was 'self referential' in that it was a stochastic process whose variance was a function of the realized process trend. In other words the variance of the...

I used ThinkorSwim to chart the spread. I want to point out something to the guys that will inevitably say trading these instruments using relative value techniques is inferior to outright futures trades. The legs can be scalped because they are outright futures trades. You can take profit on...

There is a ton of hate on HFT. Many on the forum love to blame their losses on it. When I watch the markets (and I have a real edge) I can see a lot of predator prey behavior in the quotes. It seems like the guys that have the real edge (large buyer) are VERY dominant when they want to be...

Can't get hanged on a market orders. The commission is tiny relative to the P/L. How does hft hurt somebody sending an order for NQ/YM @ market? Hft provides and lifts/fills marketable orders. That spread gained ~1000 dollars in 20 minutes. Paying the bid-ask is literally negligible...

I think you misunderstood my post #9. I said would replicate the payoff from the futures spread given the right ratios. However, the point above by REDP1800 is well recieved. On second thought, the fills and commissions would eat you alive trying to do this. Thanks guys.

AFAIK, small caps tend to rally in the beginning of a bull market and then as recession fears take hold they under perform. Recession can cause serious problems for small caps. The Russell is weighted heavy financials, consumer discretionary, and healthcare, more so than SPX. A good...