Futures trading system details

V

Vortexed

Hello all!

I am new here, new at futures but have been an active and full-time fund manager in spot FX for more than 13 years.

I use a systematic approach for FX which I like to test and use on a basket of highly liquid futures. I have put toghther a basket comprising 13 different futures but representing two STIR's, two energy futures, two stock indext futures, and so on. They will be both US and European futures. If it will help, I can list them all.

My problem and lack of knowledge pertains to three main issues. I hope my questions make sense :


1) When trading or testing in the FX market we use daily data which is defined as simply 00:00-00:00 GMT.
What exactly is meant by a "daily" bar in the different futures? What is "end of day"? Does that mean 00:00? But what time-zone?
If you have to use daily data in a system, from when to when would this "day" be? It is especially confusing as I see some futures trade 23 hours or 23.5 hours. Would that "break" represent end-of-day? When would you enter new orders or update stops if you are trading a daily system?

2) Would this "daily" bar include only electronic trading, day session or combined? Which is best to use? I would guess "combined" is the most robust. More confusion.

3) Near the end of the contract-date, at what point to you roll your position to the next contract? What are the mechanics involved if you are using a system?
One has to be able to immediately update stops and potential entries based on a certain data-set. Do you manually adjust your own data to represent a continious set that would "work" for the next contract spread?
I see that historic data is represented as a continious set, but how do you manage that in real-time when switching over to the new contract?

I am thankful and appreciate expert input. :D
 
Quote from Etienne Botes:

Hello all!

I am new here, new at futures but have been an active and full-time fund manager in spot FX for more than 13 years.

I use a systematic approach for FX which I like to test and use on a basket of highly liquid futures. I have put toghther a basket comprising 13 different futures but representing two STIR's, two energy futures, two stock indext futures, and so on. They will be both US and European futures. If it will help, I can list them all.

My problem and lack of knowledge pertains to three main issues. I hope my questions make sense :

1) When trading or testing in the FX market we use daily data which is defined as simply 00:00-00:00 GMT.
What exactly is meant by a "daily" bar in the different futures? What is "end of day"? Does that mean 00:00? But what time-zone?
If you have to use daily data in a system, from when to when would this "day" be? It is especially confusing as I see some futures trade 23 hours or 23.5 hours. Would that "break" represent end-of-day? When would you enter new orders or update stops if you are trading a daily system?

2) Would this "daily" bar include only electronic trading, day session or combined? Which is best to use? I would guess "combined" is the most robust. More confusion.

3) Near the end of the contract-date, at what point to you roll your position to the next contract? What are the mechanics involved if you are using a system?
One has to be able to immediately update stops and potential entries based on a certain data-set. Do you manually adjust your own data to represent a continious set that would "work" for the next contract spread?
I see that historic data is represented as a continious set, but how do you manage that in real-time when switching over to the new contract?

I am thankful and appreciate expert input. :D
More...

It may depends on the system.
For istance i have implemented it <a href="http://www.datatime.eu/public/gbot/Rollover.htm" target="blank" > this way</a> which is quite simple and effective.

Practically you simply "transfer" the entire trading logic on the new contract, while closing and reopening the net position.

Tom
 
Hire a consultant to teach you these things. It will take about 5 hours for her to answer your questions, work through some examples on a chalkboard, and demonstrate a few software packages. Expect to be charged 50-100 Euros per hour for the lessons.

When choosing a consultant, check references, scrutinize resumes, and ask a lot of questions. Be certain you are hiring someone with a huge amount of actual, relevant experience. Ideally, a fund manager or former fund manager, like yourself.
 
Hello Tom - thank you for your info. I will work it through carefully as it seems we are on the same wave-length there.

Thanks MGJ, you may be correct. I have a few friends who do managed futures. The problem is that it is rare to find ones that trade it as systematically as we do. They just look at the chart and work from there. For us it is important what a bar means, what it contains, and exact opening and closing times. (I mean a price-bar, of course! :D )

It is a real pity all futures markets are not standardised. I am interested in two agriculturals for example, Corn and Soybeans (CBT). Here is their weird trading times:

6:00 pm - 7:15 am and 9:30 am - 1:15 pm central time, Sunday - Friday Central Time

So...does this mean they have the facility for overnight trading, but nothing in the afternoon? (1:15pm-6pm)? Am I reading it right? The resultant gaps will disqualify it for our trading system as it may gap beyond our entry or exit points. I frankly don't know how anybody can trade this systematically.
 
Quote from Etienne Botes:

Thanks MGJ, you may be correct. I have a few friends who do managed futures. The problem is that it is rare to find ones that trade it as systematically as we do.
More...

I agree with MGJ and I think he spotted your problem. He was too polite. I am not known to be too polite with some people. What do you mean "it is rare to find ones that trade it as systematically as we do"?

How do you trade things systematically when you have no idea what the closing price stands for? You remind me of a loser I know, a huge loser, who bought a system based on MA crosses and did not adjust the data on rollover. He got because of that a long signal in a bear market. He took the trade and he end up with 1 Million (a big one) loss in forex.

MGJ told you what to do.
 
Quote from Etienne Botes:

Hello Tom - thank you for your info. I will work it through carefully as it seems we are on the same wave-length there.

Thanks MGJ, you may be correct. I have a few friends who do managed futures. The problem is that it is rare to find ones that trade it as systematically as we do. They just look at the chart and work from there. For us it is important what a bar means, what it contains, and exact opening and closing times. (I mean a price-bar, of course! :D )

It is a real pity all futures markets are not standardised. I am interested in two agriculturals for example, Corn and Soybeans (CBT). Here is their weird trading times:

6:00 pm - 7:15 am and 9:30 am - 1:15 pm central time, Sunday - Friday Central Time

So...does this mean they have the facility for overnight trading, but nothing in the afternoon? (1:15pm-6pm)? Am I reading it right? The resultant gaps will disqualify it for our trading system as it may gap beyond our entry or exit points. I frankly don't know how anybody can trade this systematically.
More...

Hi Etienne

thanks.

I am lately running agricultural futures too. But compared to other stuff, many of them the are not much suitable for autotrading. Once one load them up on the bot and actually watches them, compared to other instruments (energy, metals, currency, equity i.), it's readily seen that they all another world. Probably CT is among the most workable ones. Spread is incomparable with other stuff. While YM (tickvalue=5) goes about with a spread of 1 tick, CT (tickvalue=5) will have a 40 tick spread. Not that really matters for autotrading, but just to say that they are very different beasts. (Gaps also dont really matter with some strategies.)

Tom
 
Quote from Etienne Botes:

I frankly don't know how anybody can trade {CBT Corn and CBT Soybeans} systematically.
More...
Actually you do know. You are aware that a large number of your managed futures colleagues / competitors are trading them systematically, right now, today. You are aware that "Winton Capital" trades them systematically. You are aware that "BlueCrest Capital" trades them systematically. You are aware that "Eckhardt Trading" trades them systematically. You are aware that "Chesapeake Capital" and "Transtrend BV" trade them systematically.

You are also aware that a huge fraction of the daily trading volume in CBT Wheat and CBT Soybeans is "algorithmic trading," on a time-scale of milliseconds. You are aware that this is systematic trading.

What you don't know is how you can trade them systematically. A consultant may be able to teach you this, but only after you become willing to learn.
 
Apologies for the delayed response, I was in Venice of all places for a few days!
I am very impressed, you know I am a trend-follower. I am a huge fan of David Harding and William Eckhardt; probably the only two professional managers I really have a professional respect for.

However, I was not aware of the stuff you were referring to. But I take your point. Rather than re-inventing the wheel (as it took me more than 14 years to develop our current system) I think it is best that I find markets which suit our system better, rather than trying to find a system which will suit certain markets better. It also seems that agriculturals are the only ones with these peculiar trading times.

What I meant was, we rely on leaving very specific stop-loss (and entry points) in the market, and the chance of a market like this gapping through these points will be dangerous for any trader, regardless of approach. So the ability to have liquidity at all times (or nearly all times) is a minimum requirement. So, just to be clear - is there no way to trade corn and soybeans in the afternoon? It just seems strange. It will be a pity, leaving them out.

Thanks for the help!
 
You must log in or register to reply here.
Back
Top