Attn US Bond Futures Traders

Quote from BondTrader50:

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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I have traded bonds for over 10 years. Personally, I do not need more than 5. But I would be curious to know to how you use the larger deck. Do have some kind of spreadsheet analysis for this on the number?
 
Quote from Nickels&Dimes:

I have traded bonds for over 10 years. Personally, I do not need more than 5. But I would be curious to know to how you use the larger deck. Do have some kind of spreadsheet analysis for this on the number?
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I use it to take advantage of stop runs, mainly during numbers. I need the larger book (resting bid or offer sizes) to determine a possible "safe" entry point attempt. If certain parameters aren't met, then the attempted entry isn't executed.

I also like the larger book visibly, to let me know how seriously an economic release is taken.

Also, I'll activate a spread program once the initial noise is over. Usually, the sooner I can fire that up the better.
When I can visually see large bids/offers start to enter the market then I know it's safe for that one. A five deep book isn't much of a view.
 
Example about how CQG is dealing with Globex.

[...]
You are absolutely correct and unfortunately, there is nothing anybody can do about this. Globex sends us bids/asks only 5 deep for all products. The CQG Data Quality department is in discussion with Globex about these concerns and since the migration is quite some time away there is a possibility they may change their minds on limiting it to 5. Remember though, this is not a CQG issue, but a CME/Globex decision. We provide our clients whatever the exchange provides us. If there is anything further I can do to help you, please don’t hesitate to ask. Thank you.
[...]

Are we traders going to lobby a request for a (at least) 10+10 DOM ?! :cool:
 
Quote from BondTrader50:

I use it to take advantage of stop runs, mainly during numbers. I need the larger book (resting bid or offer sizes) to determine a possible "safe" entry point attempt. If certain parameters aren't met, then the attempted entry isn't executed.

I also like the larger book visibly, to let me know how seriously an economic release is taken.

Also, I'll activate a spread program once the initial noise is over. Usually, the sooner I can fire that up the better.
When I can visually see large bids/offers start to enter the market then I know it's safe for that one. A five deep book isn't much of a view.
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I'm not an expert on automated algorithms around the DOM but I've seen posts and talked to people about "ghost" bid/ask on the DOM. They flash and take away before they're hit. This is done as a decoy (they are actually on the opposite side). Have you considered this and do you have a way of screening this out?
 
Quote from 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
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Thanks for letting us know. On non-farm or other significant events it can be helpful to see as much of the market as possible. While those situations are rare, I think anyone who trades outrights during those times would agree. Is there an e-mail address for globex we can send our concerns to that you can post here?

While the ecbot has improved, I'm looking forward to the jump in performance we'll be getting from the CME.
 
Quote from trader07:

I'm not an expert on automated algorithms around the DOM but I've seen posts and talked to people about "ghost" bid/ask on the DOM. They flash and take away before they're hit. This is done as a decoy (they are actually on the opposite side). Have you considered this and do you have a way of screening this out?
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yes I do account for the bid/ask cancellations once certain market offsets are met but any bids/offers that remain "close" to the market in the immediate moment after a major release are mostly real (meaning they're there to get hit).
I am surprised at how many hang near the market near a big number but I guess they're taking advantage of those market conditions in some way.
 
Quote from NoteBoy:

Thanks for letting us know. On non-farm or other significant events it can be helpful to see as much of the market as possible. While those situations are rare, I think anyone who trades outrights during those times would agree. Is there an e-mail address for globex we can send our concerns to that you can post here?

While the ecbot has improved, I'm looking forward to the jump in performance we'll be getting from the CME.
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No problem. I'll get a contact # and email once I hear from them. Of course, if I don't hear from them soon I'll contact them.
 
Hi.

When i started to trade a few years ago, i needed everything to trade, 5 or 10 depth levels, hi velocity quotes, very fast filling orders, charts updated at every second.

Today i remember my first days of trading and i think, how naif i was in thinking that having all those information i was going to be successful in the markets every day. I was very wrong.

Today, for position or daytrading ZN futures (for example), all i need is an hourly chart and level I quotes, nothing more. Doesn't matter if there are 10000 contracts on the bid/ask at XXX price. Big size orders are not support/resistance or turning points. Are just way points.

Abraço e BN.
 
Quote from BondTrader50:

No problem. I'll get a contact # and email once I hear from them. Of course, if I don't hear from them soon I'll contact them.
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Any news about your investigations @ CME?
 
I don't see how expanding it to 5 deep would impact performance, take for example the level 2 and ECN books in stocks...... Hundreds of orders if you're viewing MM, exchange, ECN data (ECN's probably have more 'levels' in the book)..


Doesn't make sense

Heck, even Cantor is able to do it on espeed.

-cbk
 
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