25,000 Roundtrips a day?!

[JackRab]

The top volume players pay less than the publicised membership exchange fees on some exchanges. I dont know about eurex. In some instances on challenger exchanges they are paid to trade.

That's what I think as well... I'm pretty sure fees were lower than that when I traded on Eurex. Although I traded more in options...

But with exchange fees being the biggest part.. you wouldn't be way of the 20 cents.

If I remember correctly our fees on options were about 10-14 cents per contract... and when an active MM it was about 5 cents since you would get a massive Eurex rebate.

 

[CALLumbus]

http://www.eurexchange.com/exchange-en/trading/transaction-fees

 

[JackRab]

propwarrior, for illustration I just made a picture of a Eurex calendar spread (FESX, september-december). Pretty thick market, lol
View attachment 166577

especially close to expiration for the rollover... and they get traded in massive numbers too... wait until thursday and friday volume in the spread will balloon...

 

[CALLumbus]

especially close to expiration for the rollover... and they get traded in massive numbers too... wait until thursday and friday volume in the spread will balloon...

Here the december-march spread:

 

[tommo]

CALLumbus, could you please elaborate? is there something different about today's environment that prevents futures prop traders from being as active as they were in the past (eg. limited leverage, lower risk limits by prop firms)?

10 years ago prop traders did what algos do. We exploited price inefficiencies that lasted maybe 5-10 seconds. You could have 100 guys trading pretty much the same strategy. The prop guys would generally always have a quote in the market for longer term traders to trade against and provide a market and in exchange for that we were thrown a few ticks edge. You could make tonnes of cash off those few ticks with enough size. But now 1 computer can do what those hundreds of traders do. I know a few prop traders that do maybe 5000 lots a day and they are the exception. And this would be in spread trading (where your round turn amounts are twice the volume). If theres a prop trader out there trading more than 1000 lots a day trading outrights id love to shake his hand.

 

[Mtrader]

And there are traders that prefer to hold longer, to trade smaller size but go for larger moves.

On this I don't agree. If you trade in seconds you can only take the volume of seconds in 1 trade. If you trade with holding times of hours you can take much more volume in 1 trade. So in 1 trade you can trade bigger size when holding longer. Only the total volume traded in a day, when trading seconds, can be bigger. But the average profit per trade willl then be much smaller, so they will need high volume to compensate.

 

[CALLumbus]

Mtrader, you are 100% right. What I wanted to say is that traders that hold longer CAN trade smaller size because they go for larger moves. Scalpers need to trade relatively large because they just go for a tick or two. A scalper is limited in the possibility to scale his trading up. You can scalp with a clip size of 5, 10, even 100 in a contract like the Bund. But you cannot scalp around with a clip size of 2000 or 5000 that easy, at least not any more.
A trader with longer holding times does not have to care too much about a tick. If he wants to trade size, he can clean up the whole inside market or even more. Or he can slowly scale into his position over several minutes, to build a position of for example 5000 contracts in the emini.

 

[algonoise]

10 years ago prop traders did what algos do. We exploited price inefficiencies that lasted maybe 5-10 seconds.

Intentional or not, many prop traders have succeeded not from arbitrage but from creating inefficiencies and exploiting other participants. Rotter, Sarao, and others come to mind.

 

[tommo]

Intentional or not, many prop traders have succeeded not from arbitrage but from creating inefficiencies and exploiting other participants. Rotter, Sarao, and others come to mind.

Rotter yes. Sarao no not really. I worked in the same place as him briefly and know many of the ppl he worked with. He wasn't spoofing.

But I've known 100's of traders. And maybe 2 of them I can think of attempted to spoof or manipulate the market. Both of them were cautioned and fined within 2 weeks of trying. So your 'many' traders isn't accurate.

 

[propwarrior]

recently came across an article (published quite some time ago) that talks about a prop trader in London who makes seven figures a year:

http://www.financialtrading.com/lawrie-inman/

a couple details that really stood out:




this is truly amazing, and humbling to read..! how do the prop firms in London provide enough leverage to do this? what are the mechanisms involved (eg. contracts per trade, trade per day, profit/loss per trade, types of trades, commissions paid), in going about trading 25,000 round trips a day? any ideas?

ok here you go this is an example of how 25000 could be possible. See the 4 example ladders below. Bear in mind its 7.30am here in London so we are outside of main volume hours. The first ladder is the front 1 month calendar WTI, compare the liquidity to ladder 2 which is the Nov 16 outright WTI. To clip off 500-1000 lots is no problem. Also consider this is could be just one leg of a synthetic spread which would be extremely liquid and very low volatility. Ladder 3 is the front 3 month Eurodollar spread, EDs are extremely liquid. You could do 25000 in one clip if you wanted to. Again the flys,condors, packs will offer extreme liquidity. Ladder 4 is the front month Schatz, again this spreaded against bobl would be very liquid

hopefully you can see how 25000 could be possible, it all depends on what you are trying to do.

GL