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Members have no advantage over others in terms of what they see on the screen. That is why depending on how much size you trade it may not make even make sense to be a member anymore. I could understand your worries, but can assure you that members are not able to see anything different than...

In the interest rate complex, the pro-rata algorithm is only applied to the Fed fund futures, Swaps, and Munis, while the price/time priority (FIFO, what is used now) is applied to all Treasury futures (except reduced tick spreads, which are also pro-rata).

Yes, I remember reading something about Project A using both and I believe it used some type of notice for the participant as to where he was in the que if he was the one showing the largest size. Not exactly sure on the notice part, but Pabst is right Project A did use a blend of both.

Those are time and sales for the reduced tick spread, because it is rollover. The 6000 is being executed in the quarter tick spread, not the outrights, but it prints the outright leg prices used for the spread. Put up both the Dec and March time and sales next to each other and it will print...

Haven't heard anything about this. The Fed funds and all calendar spreads are on pro-rata right now. This works in the short end markets because they are less volatile and traders have to show more size to get filled. I don't think it is needed in Treasuries as there is relatively more...

Rufus, Yes, my brothers group does the same thing (not DRW, a much smaller group), their theo engines compute fair value and the trader executes. I am actually based on the CBOT floor in between the 30-year options and futures pits, and I overheard one of Donnie's traders saying they do have...

Yes, most of these groups trade the basis. My brother works for a big basis group in Chicago and they are essentially automated with the trader actually pulling the trigger, and their program working their theoretical levels for the spread along with other parameters. These guys are good...

March is officially top-step on Wednesday of this week, but you can easily roll your position before that, if you are long, can probably even wait a little for the spread to come off and get in cheaper into March. Interesting note on Friday there were a ton of spreads trading in the pit between...

Exactly what nazzdack said, also knowing what a few of the biggest funds are doing (Pimco, Citadel, one of the Goldman house accounts, and a few other big house accounts) and when they roll their position allows you to take a position trade in the spread ahead of their roll. For instance, Gross...

Some of the biggest curve locals are NOB traders. It is usually traded on a 1.66 to 1 weighting ten years to the bond. I have never really watched it overnight, but since it includes the ten year more often than not it has some strange moves because of the amount of paper in the ten year...

Most two year locals on the floor trade the TUF (2yr vs. 5yr) extensively. It is usually weighted one to one, sometimes just barely a few more two years.

Tough to say if anything will stand in the way of curve inverting in next couple of weeks. 2-10 year in cash right now is at 9 basis points. Big volume rally in long end with two year note just sitting, starting to catch small bid.

Gonna be tough to get these things to trade higher today. Goldman has sold 7500 five years, Lehman has sold 6000, EDF Man has sold 4000, across the whole range, all in the five-year pit, and even more strange is locals have bought ALL 17,000. Most like FIT spreading out of it. Goldman buying...

Just from reading bloomberg.com and hearing some daily flows from some big funds out east there are still some guys looking for value. It seems Asian investors are looking at 4.70% in the Ten-year. I wouldn't worry about demand as much as how much inventory the primary dealers end up taking...

I tend to agree with the Goldman moves, but it depends if its customer trades or prop traders. More often than not when the prop guys are active in the options it usually does move the opposite direction as it is a hedge for some other position. But when its Goldman customer business (on the...

Again primary dealers taking down a sizable amount of the two-year auction, about $11.6 billion, so more than half of the auction. Maybe they are the ones also selling the long end or off-the-runs to make room for the new notes. As for mortgage convexity selling, the Bank One guy, who does the...

Indirect bidders only took down 23%, compared to more than 50% last time I believe, so primary dealers got stuck with a bunch of TIPS, maybe sold long end stuff to make room for it.

Almost 40,000 traded between 03.5 and 01.5 in the ten year over about an hour before the auction, at first I think I saw Hardy's pit guy say he was buying on the screen, puked em up, got short in size and they found the big stops. Eurex bund was very weak and hit size stops into 121.00. I...

CBOT members could have either sold at the Initial Public Offering price of $54 or have to wait six months before they can sell any stock. CBOT employees (even the janitors) had the option to purhcase up to 1000 shares at the IPO price as well. A few members chose to cash out at the IPO price...

What are you talking about? I believe the CBOT trades a product called the US Treasuries. These trade several million contracts a day and with the reintroduction of the 30-year bond the volume will only continue to grow. I have worked at the CBOT for a little while now and can tell you when...