Attn US Bond Futures Traders

B

BondTrader50

I just read the customer readiness FAQ for the migration of CBOT products to CME products and noticed that the plan was for the Bond futures to have a 5 deep order book just like the current CME futures have.

Having traded a 10 deep for so long I called Globex Acct management to request that they keep the 10 deep book in place after the migration. They told me that they do have the ability to display 10 deep but they use five deep for efficiency purposes. I informed them that the bid/offers in the 2's/5's/10's/30's change with very little frequency once you get past 4 prices from the market (except during short periods after fairly important economic releases).

The person that I talked to plans on bringing this issue to the integration team and will get back to me once they discuss it.

I told them if they did an impact study between a 5 deep and a 10 deep in the bonds, they would find little difference in resource utilization.

And I would suspect most (if not all) current bond traders would prefer the 10 deep book. Yes? No?

I will keep you posted on here of any updates that come my way. I would appreciate your support with this issue if needed.

Thanks
 
I'm viewing 10 on TT but apparently you can see more with other platforms or have it configured to see more than 10.

BUT, the rep at Globex said that they only transmit 5 deep real time and it wasn't individually customizable through any program. Although the rep said that you could choose to view less:eek:
 
Maybe someone should remember the CME that some traders could migrate elsewhere their interests on rate futures such as to the Eurex...
 
CQG Trader currently displays the full book only because it's the eCBOT feed... I'm wondering what will happen during NFP release when actually you could not see meaninful bid/ask given the huge spread.
 
why in the world would you need more than five levels? i've traded bonds / notes / euros for 15 years and there is absolutely no significant information that far outside of the indside market. I've filled paper in the pit and didnt care what was there outside three (except maybe stops, but they don't show through anyway).

increasing the number of levels of orderbook depth takes up bandwith. it slows down your gateway and can cost you money.
 
Quote from covered_call:

why in the world would you need more than five levels? i've traded bonds / notes / euros for 15 years and there is absolutely no significant information that far outside of the indside market. I've filled paper in the pit and didnt care what was there outside three (except maybe stops, but they don't show through anyway).

increasing the number of levels of orderbook depth takes up bandwith. it slows down your gateway and can cost you money.
More...

Greater visibility. Plain and simple. Have you ever traded an important economic release electronically with an algorithm? You really think that having 5 deep is enough and beyond that it doesn't matter? Thanks for your opinion though.

There are many different ways to trade. The more info your algorithm can process, the more efficient (and safer) the trade.

I beg to differ on the bandwidth, the diffence between 5 and 10 is minimal. The diffence between 5 and limitless may be significant.
 
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