Fully automated futures trading

[newbunch]

Actually my first thought was this must be in error so I wrote this afternoon to the CFTC asking for more information and got a prompt response. If you want to know what is required to become a major player with the CFTC go trade micro-ether futures, the trigger for being classified as a "large trader" is 25 contracts (= 2.5 regular ether futures contracts). I recall a previous discussion about why we shouldn't trade illiquid micro-contracts if we can avoid them. Here seems to be another one.

I am currently short 33 Micro Ether contracts (a nominal value of a whopping $5,104) but haven't gotten anything from the CFTC.
I did however get one of these requests from the CFTC in the past because I had a position in a futures contract that had been on the CFTC's approved list but was subsequently removed and I hadn't closed it out yet. I filed the report and that was that. (Funny thing though is that I had to call IB to close out the position because US customers weren't allowed to trade it.)
Perhaps because I already filed that first report I don't have to do so again since IB just sends my reportable position to the CFTC for me, who already has that earlier report with my information.

 

[Elder]

I clicked a couple of links on the IB web-site and it lead me to this list: https://www.ecfr.gov/current/title-17/chapter-I/part-15/section-15.03
so I guess your case went under "All Other Commodities - 25"., and 25 seems to be the highest number in the whole table., and if I understand this logic correctly, e.g. 3 full Eth contracts wouldn't be considered "above threshold" even thought their combined notional will be above 25 micro ones., so it's really the count that matters.. therefore, probably if the max position in the trading system is set to below 25 on all contracts (for me currently with DO the max is 7) it should go under the threshold..?

The CFTC have their own site here. Presumably they both contain the same info. You are right the contract quantity not notional is the thing that CFTC seems to watch based on their estimate of market size. I guess I'll switch to regular Ether futures, not sure why I even bothered with the micros. You live and learn....

 

[Elder]

I am currently short 33 Micro Ether contracts (a nominal value of a whopping $5,104) but haven't gotten anything from the CFTC.
I did however get one of these requests from the CFTC in the past because I had a position in a futures contract that had been on the CFTC's approved list but was subsequently removed and I hadn't closed it out yet. I filed the report and that was that. (Funny thing though is that I had to call IB to close out the position because US customers weren't allowed to trade it.)
Perhaps because I already filed that first report I don't have to do so again since IB just sends my reportable position to the CFTC for me, who already has that earlier report with my information.

I got to -37 before they contacted me. I haven't registered on the portal yet (the first step). Was the form filling relatively painless?

 

[Kernfusion]

The CFTC have their own site here

if I order by reporting level desc in this list, the lowest is also 25, so I guess below 25 is the safe level on all contracts..

 

[newbunch]

The CFTC have their own site here. Presumably they both contain the same info. You are right the contract quantity not notional is the thing that CFTC seems to watch based on their estimate of market size. I guess I'll switch to regular Ether futures, not sure why I even bothered with the micros. You live and learn....

A regular Ether contract is pretty big: CME has a maintenance requirement of $22,272. https://www.cmegroup.com/markets/cryptocurrencies/ether/ether.margins.html
They really should have made the micros 5 or 10 times larger than they did.

 

[newbunch]

I got to -37 before they contacted me. I haven't registered on the portal yet (the first step). Was the form filling relatively painless?

It wasn't that hard and didn't take too long. Did I fill out everything correctly? I sure hope so.

 

[Elder]

A regular Ether contract is pretty big: CME has a maintenance requirement of $22,272. https://www.cmegroup.com/markets/cryptocurrencies/ether/ether.margins.html
They really should have made the micros 5 or 10 times larger than they did.

You are right KevinBB, I just remembered why I chose the micro - the ether futures size is 500 times the micro contract. This has been a useful discussion I think I will add a config setting of reportable sizes to my instrument config parameters and write some code to alert me if I am about to cross the threshold in case I want to take action.

 

[Elder]

You are right KevinBB, I just remembered why I chose the micro - the ether futures size is 500 times the micro contract. This has been a useful discussion I think I will add a config setting of reportable sizes to my instrument config parameters and write some code to alert me if I am about to cross the threshold in case I want to take action.

Oops, very sorry. I of course meant Newbunch.

 

[newbunch]

You are right KevinBB, I just remembered why I chose the micro - the ether futures size is 500 times the micro contract. This has been a useful discussion I think I will add a config setting of reportable sizes to my instrument config parameters and write some code to alert me if I am about to cross the threshold in case I want to take action.

I would wait to see if you ever get a second notice about reaching reportable limits. Perhaps it's just a one time thing and you will never have to report it again. Or perhaps they'll require a new report annually. We'll see.

 

[newbunch]

Hey Rob or anyone else who uses Rob's execution algo (or something similar):

Have you noticed a change in executions the last month or so? Historically, I paid about 60% of the bid-ask spread (I know Rob has paid about 50% historically), but over the last month it's been more like 80%. I did make some changes to my trade system whereby it now chooses at the outset to trade contracts with tighter spreads and that very well could be the cause of the change I've seen (tighter spreads could mean less opportunity for price improvement). Indeed, even though my executions in terms of bid-ask spread has been worse, my overall costs have gone down (big caveat, one month is not enough of a sample to draw any definitive conclusions).

Anyway, has anyone else noticed a change in executions related to the percentage of the bid-ask spread paid?

Thanks. (I may need to make changes to my execution algo.)