It seems like the perfect risk free trade, have equal position size long and short right before the data is released, the market is almost always spikes significantly in one direction. Example; use 1 pt stop in each direction and 3 point target, even with 1 point slippage you'd still net 1 pt profit. what am I missing?
Data report Straddle
- Thread starter pcp198
- Start date
He probably means bracketing around data releases with stop limits to enter long/short the underlying, not the options straddle we're thinking. Will work sometimes not all the time; if anything, the targets/stops should be a function of volatility. Higher vola times, your entry will be triggered, then the 1 pt stop will just be cut like water before moving 10 pts in your direction.
Sim trade it on NFP next Friday.
Sim trade it on NFP next Friday.
I was curious about the same thing, and discovered a few problems:
1. That nice solid bar going straight up/down actually has a lot of gaps in it. I took a snapshot of the tick data on Russel 2K futures on a jobs report. First tick after the announcement was 4 POINTS lower, even though there were no gaps in the 1 minute bar.
2. The brackets get swept a lot in the 30 secs prior to the report -often in the opposite direction of the break.
I think that there is a lot of opportunity to trade the news, but (like anything involving trading) it's not easy.
There are a lot of algo traders who code news reading software into co-located servers, then buy/sell based on the headline number vs. expectations. They will be first in line (and even they will get horrible fills.)
I'm interested to see what other traders think, though. My experience is limited to simulations and looking at the data.
1. That nice solid bar going straight up/down actually has a lot of gaps in it. I took a snapshot of the tick data on Russel 2K futures on a jobs report. First tick after the announcement was 4 POINTS lower, even though there were no gaps in the 1 minute bar.
2. The brackets get swept a lot in the 30 secs prior to the report -often in the opposite direction of the break.
I think that there is a lot of opportunity to trade the news, but (like anything involving trading) it's not easy.
There are a lot of algo traders who code news reading software into co-located servers, then buy/sell based on the headline number vs. expectations. They will be first in line (and even they will get horrible fills.)
I'm interested to see what other traders think, though. My experience is limited to simulations and looking at the data.
Apparently, this is relatively simple to do at a retail level, too.
See http://www.bestnewstrader.com/cms/ for algo news trading with Ninjatrader ...