Bobl bid/offer size

P

philiphynes

Hi guys,
New to ET, thought i'd start my posts with something i've noticed recently trading bobl outrights.

Before the beginning of February the average bid/offer size in march bobl futures was i would say about 1500 - 2000 contracts. Recently i have noticed that this size has increased massively to more like 3000 - 4000 and sometimes even up to 5 figures. Thing is, none of it seems to be real! It just seems to get (to use the old cliche) "flipped" from offer to bid or vice versa when the bund or schatz moves up/down or trades significant size. I haven't been watching it so closely but the schatz seems to be suffering the same thing.

My trading strategy involves being the aggressor in the market, lifting offers or hitting bids (mainly because getting filled on the bobl generally involves being last in the queue and only getting filled when the momentum is against you). My problem now is that i have no confidence in doing this because of the huge size that is always present on the bids and offers. I would normally only hit or lift if the bid/offer was less than 1000 except in busy times like econ releases etc. Now, say if i want to get long, i find myself waiting for the 4000 offer to get traded through or at least pulled a little but the 4000 never gets any less and then all of a sudden simply gets flipped onto the bid. I wouldn't mind but it seems to be happening at 90% of prices these days.

Has anyone else noticed this recently. Can anyone shed anymore light on this?

Cheers,

Phil H.
 
Phil, silly season is a regular phenomenon in the bobl. It will die down shortly, and then come back again a few months later.
Either get used to it or find another market to trade.
 
Watch the Bund and the tape. The Bund will usually go first, though not always. The tape will tell you if it is, in fact, trading or just being flipped.
 
Thanks forestfire & xavier cougat,

I haven't been trading for that long and not yet experienced the "silly season" i am starting to get used to it but it does seem a bit more tricky than usual.

I try to keep a close eye on the bund, schatz & t-note (during the old pit session anyway). In the last couple of weeks it has seemed more difficult to kind of "front run"(if you can call it that) the bobl when the bund moves first. I think i've been doing about a third of my usual round-trips simply because i miss so many prices. Maybe i'm just getting slow in my old age :)

Anyway, thanks for your help

Phil.
 
Quote from philiphynes:

Hi guys,
New to ET, thought i'd start my posts with something i've noticed recently trading bobl outrights.

Before the beginning of February the average bid/offer size in march bobl futures was i would say about 1500 - 2000 contracts. Recently i have noticed that this size has increased massively to more like 3000 - 4000 and sometimes even up to 5 figures. Thing is, none of it seems to be real! It just seems to get (to use the old cliche) "flipped" from offer to bid or vice versa when the bund or schatz moves up/down or trades significant size. I haven't been watching it so closely but the schatz seems to be suffering the same thing.

My trading strategy involves being the aggressor in the market, lifting offers or hitting bids (mainly because getting filled on the bobl generally involves being last in the queue and only getting filled when the momentum is against you). My problem now is that i have no confidence in doing this because of the huge size that is always present on the bids and offers. I would normally only hit or lift if the bid/offer was less than 1000 except in busy times like econ releases etc. Now, say if i want to get long, i find myself waiting for the 4000 offer to get traded through or at least pulled a little but the 4000 never gets any less and then all of a sudden simply gets flipped onto the bid. I wouldn't mind but it seems to be happening at 90% of prices these days.

Has anyone else noticed this recently. Can anyone shed anymore light on this?

Cheers,

Phil H.
More...

you're absolutely right. even if you watch bund and try and hit bobl on the way through, you're never going to beat the computers.

the size is now ridiculous. it's becoming harder and harder to work out where paper is, and what is real. i used to have a good feel for where the paper was, what flows where going through the market, where locals were positioned. this has all been eroded in the last 15 months. i now wait for levels to trade. it's the only way i can find any edge.

the thing is as well, i don't see the size ever reducing by much. it used to be that 500 bunds would send the market crazy. now, we might trade 5000 before going bid/offered. crazy!
 
True, the computer has really eroded my ability to read the market and I can't scalp the Bund like I used to. The flipping of 5,000 lots is totally nuts! Think if something crazy happened like a "dirty bomb" hit Europe or the States. I'd like the see the computers trade that and who would they trade with??? The Bund would rally 300 basis points in a matter of seconds. Possibly more - who knows.

:confused:

I agree with Squadron Leader. You have to wait for certain levels and trade them. I gave up scalping and have been trying to transition to a little longer time perspective. Tough going though, as anything more than about 30 seconds seems like 8 lifetimes to me.

Best of luck
 
They were playing these games five years ago.
Back in 2002, one day the bobl would be say 500 up, then the next 2000/3000 up. They keep this up for a few weeks then disappear. You have to learn to trade with the size present otherwise you have no chance of making consistent money in the bobl.
One point I agree with is that the size and volume is only going in one direction, and that is up. While saturation points occur from time to time, increase in volume in the long run seems inevitable.
The interesting thing is that while every trader moans about how badly his market is manipulated, the bobl market has been truely sodomized and that is why its volume relative to the bund and schatz has shrunk.
 
It has changed for the worst in the last few weeks and its not just the sole Eurex lads, the Ted traders in my shop showing Eurex legs are being hurt and the few gilt/bund/t-note spreaders etc are too.

Is it anything to do with this new price feed, i'm trying to find out more about it. Does anyone know anything?

Has anyone seen it running next to the normal feed?
My head of IT has been told to investigate.

If there are a good number of traders out there is getting updates every milli-second rather than every 250 they are going to have a real headstart I know TT version 7 has it but we cant wait for that to be roubust, is anyone on this feed on TT version 7?
EUREX is becoming 2 tier, where in London can un-netted EUREX be traded?
 
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