Search results

  1. S

    Trading Strategy

    Interesting link. That guy is saying the opposite of me - human orders have less alpha and algorithms should seek them out and take the opposite side of the trade. He also suggests using the timestamp to differentiate between human orders and machines. I assumed that machines don't have any...
  2. S

    Trading Strategy

    What reason? Do human submitted orders contain more alpha? Why are they useful?
  3. S

    Trading Strategy

    An idea that came to me today... Orders in the book are either placed by humans or machines. 1) Is it the case that the majority of machine placed orders are cancelled before being executed whilst the majority of human placed orders rest in the market until they are filled? 2) Can you assume...
  4. S

    HFT Myths

    Like I said, you have to wade through a lot of garbage on this site...
  5. S

    HFT Myths

    Excellent thread - many thanks. You have to wade through a lot of garbage on this site to pick out the gems, but's worth it :) Is it true that exchanges keep a unique serial number for each customer (for compliance reasons) and that hft's have access to these numbers (so that, for example...
  6. S

    What is DVE?

    Delivery Value Equivalent, apparently
  7. S

    What is DVE?

    In the context of grains basis, does anyone know what DVE stands for?
  8. S

    Energy Spreads of Interest

    Interesting chart Bone. Heating oil increases in value over winter, but I guess the spread doesn't behave like that every winter. It pays to watch these spreads so that you're ready when something unusual happens. Any thoughts as to why the spread acted like that? Corn / ethanol?
  9. S

    Energy Spreads of Interest

    The candles are the Gasoil / Brent crack (in the ratio of 4:3) and the blue line is UK Natural Gas
  10. S

    Broker for Minny and KC wheat

    Thanks - good info but these brokers tend to require large account sizes. I was looking for a broker with a 10k minimum account size.
  11. S

    Broker for Minny and KC wheat

    Does anyone know of a broker that provides electronic access to both the Minneapolis and Kansas City wheat contracts
  12. S

    Understanding IB Spread Charts

    I guess that fact that you have posted some examples of historic implied spreads answers my question :p
  13. S

    Understanding IB Spread Charts

    Hey Bone, Does eSignal have historical data for the implied spreads?
  14. S

    Gas Oil crack and calendar spreads

    Here's a chart showing the GO/Br crack spread (in red) plotted against the difference between the GO calendar spread and the Brent calendar spread (in blue). This is hourly data for the whole of 2011
  15. S

    Gas Oil crack and calendar spreads

    There seems to be a significant correlation between the Gas Oil / Brent crack spread and the difference between the Gas Oil and Brent calendar spreads. Anyone else notice this? It's not perfect, but looks significant to me. Any ideas on how to trade this?
  16. S

    Gas Oil / Brent Inventory Data

    Thanks Henry. Interesting stuff about water levels in the Rhine affecting GO storage levels. I figured the only source of this info was brokers. PJK International publish inventory data - presumably only for their clients. I don't think I'd do enough business to interest them.
  17. S

    Gas Oil / Brent Inventory Data

    EIA is US data only. Brent and Gas Oil are European commodities. I'm looking for ARA inventory data
  18. S

    Gas Oil / Brent Inventory Data

    Does anyone know where I can get inventory data for Gas Oil and Brent?
  19. S

    MF Global - WTF! Customer money gone missing?

    Presumably this is less likely to happen with a broker that doesn't have a prop business as well. Maybe there's a lesson here...
  20. S

    Today's Schork Report (10/27/11)

    Deleted
Back
Top