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Not synthetic spreads that are created by subtracting one from the other.

Hi all, I am looking for historical OHLC data for spreads that are actually traded on exchange. Surprisingly Bloomberg only stores 2yrs of data(except a few cases, such as Euro$ spreads, etc.). Reuters also store a limited amount. So where can I find data? Thanks a lot!

I just don't understand how to map those Bloomberg language to the MC language: Price Scale: Daily Limit: Min Movement: Big Point Value: ???

Lets take Crude Oil WTI futures as an example: on Bloomberg I see: Contract Size: 1,000 U.S. Barrels Value of 1.0 pt: $ 1,000 Tick Size: 0.01 Tick Value: $ 10 Price: 78.36 USD/bbl. Contract Value: $ 78,360 @ 14:41:13 --------------------------------------------- how do I...

I heard lots of people lost money these past a few months, lots of systems that previously worked broke down these days... What do you think? What type of systems are making money in this market? What do you do with those strategies that are not making money currently?

I couldn't find those spreads that are actually traded on CME as a single product? I have spent some time browsing and searching CME website, but couldn't find any... For example, on Bloomberg there are CL1CL2 spread, CL1CL6, CL1CL12 spreads, etc. But I am looking for a "complete" list...

Are Bloomberg data reliable enough? Or Reuters? And which platform would you recommend?

But I am asking about dates, not rates...

if I have the value date of 1WEEK forward of EURUSD, and have the value date of 1WEEK forward of CADUSD I want to form a cross EURCAD what's the value date of that 1WEEK forward on EURCAD? the biggest of the two value dates I have on hand?

Okay, lets say I successfully constructed a carry-adjusted time series. I generate signal based on it. What do I then trade actually? Spot or forwards?

Hi all, I know how to calculate the EMA: EMA_t = a*EMA_{t-1} + (1-a)*P_t but how to calculate the EMVol (exponential moving volatility or standard deviation)? It cannot be: EMVol_t^2 = a*EMVol_{t-1}^2 + (1-a)*P_t^2, because this is assuming the mean is zero. I was thinking...

I am thinking of using TradeStation or MultiCharts, however I am stuck.

Hi all, I keep getting confused. There are two ways I can trade, one is spot and the other is forwards. Trading spots and holding positions for more than a few days necessitate the need for adjusting for the carry effect. Trading forwards at a flexible time horizon necessitate the need...

say 3 month and 6 month forwards...? on G10 and EM currencies...?

Anybody please point me to the details of VWAP. I know the general idea. but how do you really work VWAP operationally, with market order or limit order? Any pointers to indepth reading would be greatly appreciated! Thank you!

yep, the first day's tick data is fine. how do you adjust for the carry to the second day's tick data?

how do you construct a carry-adjusted time series for backtest FX? Suppose you want to have the flexibility of not only doing tick data intraday, but also the position will be last for a few days or even a few months so you need to adjust the data for carry effects. How to do that? The...

If you trade spots and hold for some time (say mid-term to long term), how does your bank roll your position internally? If you trade forwards and hold for mid-term to long term, how does your bank roll your position internally? I heard you would almost prefer to trade forwards instead of...

I agree with you. It's annoying to see these new threads were all started by me and being a newbie my questions were of course entry level and naive. I hate that too... Folks, please post more interesting threads... :=)

You know sometimes when you call, you are not speaking with the right person and it's hard to get what you want...