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Could you please explain what you mean by "cogent line" and "members sonet loop"? Thank you!

Give this man some cable binders! Thanks for sharing.

Let me try to understand this: Von Mises: „I know things about the way humans act because I am human myself, and from those actions I can deduct universal conclusions about human nature. Empirical evidence cannot falsify those conclusions.“ Popper: „A theory that is not falsifiable is not a...

Seems like the best option, thanks.

Santa in Spring, how nice! Historical and live data is what I need, but thanks for the offer anyways.

Yes, I know Bloomberg has it. But that is rather pricey. Does anyone know of a cheaper source? Thanks!

Hi BYoung I’ve been asking myself the same question. Trading (futures) is essentially a negative sum game because of all the transactions costs. And the players you are up against play a hard game. They have better information than you do, they see swap flows, bond flows, they may have the...

First day for the new FF/ED ICS. I see 1 contract traded in the July contract. Is the light volume normal for a new product or a reflection of disinterest?

NY Fed Statement Regarding the Initial Publication of Treasury Repo Reference Rates The New York Fed plans to begin publication of the Treasury repo reference rates on April 3, 2018.

Hi all Does anybody know of a software that can chart constant maturity contracts? E.g. take into account the days until settlement (IMM) for each Eurodollar contract and splice several contracts into ED1, ED2, ED3, ED4, etc.? I've been doing it in Excel but would prefer to have a software do...

If you don't want to roll, how about ETFs?

Haha, yes, seems like I was going the wrong direction. Thanks for the clarification, I really appreciate your feedback.

Phew, this took a bit longer than I expected. It really is exhausting to read (especially if your native language is not English and you are not familiar with legal-lingo), but interesting nontheless. I hope the OP does not mind me positing a short summary of the document as it relates to...

Thank you for pointing out the SEC rules. Do you mean the document here? I'm going to start reading it this weekend. Anything in specific I should pay attention to?

I've been thinking about the CME's rational to introduce this contract. Two things come to mind: 1) They want to attract liquidity to the Eurodollar 2) They want to show that they can handle different roll dates, possibly in preparation for a SOFR vs. Eurodollar ICS to transition the period...

Might actually do that, thanks for the email. @Martinghoul Do you have an opinion on SOFR based futures and options? Do you think they will replace Eurodollars, maybe after a transition period where SOFR is published side by side with LIBOR? As far as I am aware there is no end date to LIBOR...

I just made my way through this tome (The Eurodollar Futures and Options Handbook by Galen Burghardt). It is a bit dated but I was told that it is a must read for anyone wanting to trade STIRs. Learned a lot. I just mention this in case anyone wants to know more about the Eurodollar.

I am aware of CTD. The effect it has on my backtests is that trades around rollover almost become random (i.e. 50% chance winners to losers). I will see if I can adjust for CTD, but for now, I think I'll simply not trade around rollover. This is well documented here. I can see how the leg...

So basically, I need to use a 'Day' stop limit order. Ah, the intricacies of trading... I was thinking about using the yields as a proxy and then executing on futures, but decided to not go down this path. The reason is the fact that in the end, it is the futures that I'm trading and any...

Thank you, I did not know that. Using the delta in price would be one way, yes. It gets worse if you add volume. I will focus my attention on the synthetic spreads. It does add another layer of complexity to backtesting since there are several methods on how spreads are executed.