Eurex - Fixed Income Futures Volume Down 10%

T

THE-BEAKER

Well they say the proof is in the pudding.

I think that my case for algo based systems decreasing long term volume is correct.

Year on year change in fixed income futures volume is:

Bobl - down 10.01%.
Bund - down 10.35%.
Shatz - down 6.97%.

2007 as a whole compared to 2006 will be on target to be down on fixed income futures for the first time ever.

This is in a market where eurex changed the bobl to a 1/2 tick.

The spring sell off in the 10 year causing large volatility.

The summer subprime and credit crunch hitting fixed income and causing huge volatility.

Their volumes are down on these set of events.

The only conclusion I can draw from this is a lot of people/bank /players are being squeezed out and as eurex is algo dominated the volumes will drop as less people play.

The shatz volume month on month is down 17 % alone.

Based on October volume so far they are trading 30% to 40%below their normal daily average volume.

In the long term as the volume plummets and this will work through all of their stock related contracts as well, algo based systems will have their exchange fees increased to cover the shortfall in exchange revenue.

Also due to algo based systems being largely successful in quieter/normal trading ranges they will find it harder to find the counterparty on the other side of the trade.

Wake up exchange the numbers dont lie.

Algo based systems decrease volume in the long run.

I REST MY CASE.






http://www.eurexchange.com/about/press/press_532_en.html



http://www.eurexchange.com/download/statistics/monthly/monthlystat_200709.xls
 
THE-BEAKER,


Question : what does the author want to tell you ? =>

Electrical resistance is a measure of the degree to which an object opposes an electric current through it. The SI unit of electrical resistance is the ohm. Its reciprocal quantity is electrical conductance measured in siemens. Electrical resistance shares some conceptual parallels with the mechanical notion of friction.

The resistance of an object determines the amount of current through the object for a given voltage across the object.

R = \frac{V}{I}

where

R is the resistance of the object, measured in ohms, equivalent to J·s/C2
V is the voltage across the object, measured in volts
I is the current through the object, measured in amperes
 
Answer :

The path of least resistance describes the physical or metaphorical pathway that provides the least resistance to forward motion by a given object or entity, among a set of alternative paths. The concept is often used to describe why an object or entity takes a given path.
 
Quote from ASusilovic:

THE-BEAKER,


Question : what does the author want to tell you ? =>

Electrical resistance is a measure of the degree to which an object opposes an electric current through it. The SI unit of electrical resistance is the ohm. Its reciprocal quantity is electrical conductance measured in siemens. Electrical resistance shares some conceptual parallels with the mechanical notion of friction.

The resistance of an object determines the amount of current through the object for a given voltage across the object.

R = \frac{V}{I}

where

R is the resistance of the object, measured in ohms, equivalent to J·s/C2
V is the voltage across the object, measured in volts
I is the current through the object, measured in amperes
More...

the website and forum for retired traders who do not make money anymore and are now self employed electricians can be found at the following:

http://www.electricalforum.co.uk/?gclid=CIW1tJqchI8CFSc3Xgod_H38wA

hope this helps.
 
Beaker, why do you have to trade fixed-income on Eurex? We all know that mostly it isn't better than a casino.
Move on...
 
Quote from KS96:

Beaker, why do you have to trade fixed-income on Eurex? We all know that mostly it isn't better than a casino.
Move on...
More...

Beaker was just making a point. The Bund and Bobl used to be a great trade until the exchange allowed the machines to take over.
 
Quote from BondTrader50:

Beaker was just making a point. The Bund and Bobl used to be a great trade until the exchange allowed the machines to take over.
More...

I agree with that. But do you really think the battle of the bots will end just because some people complain in this forum?
Write to Eurex or to the financial press.
 
Quote from KS96:

I agree with that. But do you really think the battle of the bots will end just because some people complain in this forum?
Write to Eurex or to the financial press.
More...

i have spoken to the exchanges and they are well aware of the benefits algos bring and the downsides.

they were very disappointed that the majority of them pulled out over the august and september volatile period recently.

what they are paying attention to is volume.

hence a drop in volume over a long period of time will allow them to implement a different strategy that increases volume.

i.e. a plan b to increase volume by making it harder for algos to trade and allow much more natural business back in.

decreasing volume in a busy market is an exchange no-no.

re your other remark about moving on to something else, the reason i remain trading eurex bonds is because it is still profitable.

again my main point here is that record exchange volume worldwide has been as a result of electronic markets and also mainly increase of algo based systems.

if exchange volumes fall and the majority of accounts are algo based then they have to accept that it is due to such an efficient pricing tool that all algos work on there will no other counterparty to take the other side.

paper and natural business only accounts for a small percentage.

therefore i maintain my conclusion that this will all come full circle.

hope this clarifies my point.

im not moaning about an old trading method that does not work anymore.
 
Quote from THE-BEAKER:

the website and forum for retired traders who do not make money anymore and are now self employed electricians can be found at the following:

http://www.electricalforum.co.uk/?gclid=CIW1tJqchI8CFSc3Xgod_H38wA

hope this helps.
More...

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