closing out an exchange traded spread?
- Thread starter Elitist Trader
- Start date
So now do you stay away from anything that isnt FIFO?
I don't really get the point of pro-rata, in my mind its fair that orders should que up and the people at the front should be served first. right?
CTS may show 1 butterfly and 3 outrights but you are obviously flat for the clearing firm...If you want to leg out, just do it for the 3 legs and then double click on top of the price ladder on "price" to get "pit ", then offset your false outright legs and butterfly. It's just a simulated exec to reset your position.
There is the same problem when you are long an instrument and short the settlement. You remain long SB and short SB TAS for example.
Pro-rata allocations are like the plague.
Exchanges use them under the misguided assumption that DPM's will provide liquidity but it's bullshit for the retail trader.
Whatever you save on slippage from having a tighter market is pissed away in opportunity cost when you miss out on fills when you're working a bid/offer.
Thanks! Looks interesting. I have downloaded it and will try it out.
It seems like the TT AutoSpreader and the CQG IC tools are very good - I have clients using both, but they aren't cheap at about $2K per month. I have worked with some funds and prop groups who have developed their own spread legging/stat arb software programs. Of course, there is no free lunch as the trader has to make sure that his order-to-fill ratio messages are in compliance.
But retail traders can spread trade with great results if they open up their trade holding periods to more of a swing trading kind of strategy - the performance bond offsets makes capitalizing the overnight position very cheap, and the bigger profit targets makes execution slippage and retail commission rates somewhat of a non-factor. There's alot of juice in these spreads when we model and trade for divergence.
I have clients using IB to very good effect, and they do leg synthetic spread combinations like Gold versus Silver or the mini-Dow versus the Nikkei (two of about two hundred examples). I basically want them to bang out the spread position at the price levels that are charted - I strongly discourage 'squeezing' legs; when all is said and done it's just not worth the risk.
The great thing about the exchange traded spreads is that they support electronic stop limit orders - that way the trader can have GTC stop/loss and profit target orders working in the market at all times. With the synthetic spread orders, we pretty much have to set audible/visual chart level alerts if we don't use automated spread legging software.
But retail traders can spread trade with great results if they open up their trade holding periods to more of a swing trading kind of strategy - the performance bond offsets makes capitalizing the overnight position very cheap, and the bigger profit targets makes execution slippage and retail commission rates somewhat of a non-factor. There's alot of juice in these spreads when we model and trade for divergence.
I have clients using IB to very good effect, and they do leg synthetic spread combinations like Gold versus Silver or the mini-Dow versus the Nikkei (two of about two hundred examples). I basically want them to bang out the spread position at the price levels that are charted - I strongly discourage 'squeezing' legs; when all is said and done it's just not worth the risk.
The great thing about the exchange traded spreads is that they support electronic stop limit orders - that way the trader can have GTC stop/loss and profit target orders working in the market at all times. With the synthetic spread orders, we pretty much have to set audible/visual chart level alerts if we don't use automated spread legging software.
Boooo-hoooo-hooooo
!could anyone tell me the best platform for spreads what im after is something that is realtime margining at the moment when i want to do a same crop corn spread im margined per leg the intra day margin in this case 500 per leg a crappy platform but ive been lazy but as i want to move more into spreads it will become vital esp as grains etc become more volatile...thanks