Search results

The IDEAL PRO minimum is 25,000 units of whatever the base currency for a given trade is: http://www.interactivebrokers.com/en/trading/forex.php?ib_entity=llc Note also that at or near the minimum trade size, commissions ($5.00 for a round trip) will effectively add another 2 pips to the...

That's due to risk-free interest rate differentials, positive vs. negative. Taking a look at the relevant yield curves, for example, the 3-month point: USD 3-month T-Bill rate (2.9%) is less than equivalent AUD (~5.1%) and GBP (4.8%) rates, but greater than 3-month EUR rate (~2.0%).

Nitro, I agree that's an excellent and valid point in general. (Sadly, so much of applied finance is distribution-blind or, worse yet, assumes normality.) However, I am implicitly assuming that the distribution functions of YM and ES are not dissimilar. Outside of extreme outlier events...

Thanks, Dave. Interesting (and consistent with my trader's gut feel) that as we decrease the frequency, the hedge ratio decreases as well, i.e., it takes relatively fewer ES contracts to get the job of hedging YM done on shorter time frames.

Hey, Pabst -- Wags... what's that? :confused: I assume you don't mean Washington Area Girls Soccer League? :p

OK, I've run a statistical analysis on optimally hedging YM exposure with an offsetting ES position, on an intraday basis. Time frame: last 10 trading days, 2/22 - 3/7/05, RTH. Frequency: 1) hourly bars; 2) daily bars. Here's a snapshot (done with SnagIt) of the relevant area of the...

Steve, Let me take a look at the most recent data and post my results. Of course, anyone else with experience in this area is more than welcome to share.

Blueskier, appreciate your thoughts on proper intermarket hedging. Agree, as long as you mean "expressed in USD terms" (or whatever the trader's base currency is). My value of 0.9 for beta was given as an example only (pls. see my 1st post above). I have not had a need to carry out such...

Before I forget: let's not lose sight of DIA as a natural "perfect" hedge for YM in case of only that particular futures exchange being down, like today. Assuming that one is set up to trade stocks as well as futures. 500 sh. for each future... no regression needed. :) Similarly for the...

I think some will be confused by the above discussion of ES / YM hedging ratio... let me see if I can clarify. The tick sizes are irrelevant. To compute the optimal hedge ratio (OHR) -- how many ES to go long for each YM short? -- one needs simply to consider the relative USD value of a 1%...

FuturesTrader71, Just wanted to say -- an exceptionally thought-provoking thread so far, indeed. Really appreciate your (and others') in-depth contributions. Can't wait for that video from you some time next year... hey, no pressure! :) What I've been wondering is -- to what extent...

I am back... Glad to report that, with the help of both this thread and an anonymous IB person, my case has apparently been solved. Backwardation, alanm and others -- I did not have that box checked last Friday. The "Allow triggering outside of regular trading hours" (RTH) box under...

Good, the 2nd chart got through intact. Now, to address some of your excellent points already made... To OldTrader and pspr, among others: actually, if this turns out to be my, end-user error, I'd be thrilled. Really -- since it would restore my confidence in TWS simulated stop orders...

Well, your replies have started to come in unbelievably fast... Really appreciate that. First off, most of that chart I posted has been "lost" in transmission to ET... presumably because its size was double the max (just noticed that, sorry). I've cut the chart down and re-attached it...

Wondering if anyone else here has had a similar experience and, if so, how they've dealt with it. Until I can understand what happened, I will not be able to do any further trading through TWS in my IB account... and that's too bad. Kinda defeats the whole point of my bringing over part of my...