i don't really care how 'inappropriate' it is..let me repeat this one more time-i've made good money on it and still holding some of positions even today and receiving my interest on them. if you have problem what that-that's your problem,keep it to yourself. i care less,how it's done on YOUR level. but i do know,how it's works in IB's retail level via API. so do me a favor,STFU and go back to your institutional desk..thank you,have a nice day.
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IB Bonds
- Thread starter ssrrkk
- Start date
Typical 'elite' nonsense. So you held long corporate bonds on a yield basis during one of the biggest rally in interest rates in history - and you think it's because you are good at picking corp bonds.
I see I'm talking to a real buffoon here. Carry on.
I see I'm talking to a real buffoon here. Carry on.
Quote from Bob111:
i don't really care how 'inappropriate' it is..let me repeat this one more time-i've made good money on it and still holding some of positions even today and receiving my interest on them. if you have problem what that-that's your problem,keep it to yourself. i care less,how it's done on YOUR level. but i do know,how it's works in IB's retail level via API. so do me a favor,STFU and go back to your institutional desk..thank you,have a nice day.
Quote from DontMissTheBus:
What a load of nonsense....
I was trading corp bonds on an institutional level in circa 2005; The idea that an automated system can trade off of completely stale and useless IB retail corp bond prices is completely nonsensical.
Corp bond was (and remain to a large extent, still is) very much OTC. It's not possible to do algorithmic trading on it. There's no real electronic market place (marketaxxess is request-for-quote driven, not an order book)
DMTB,
why do you say it's not possible to do algorithmic trading of bonds? If IB will let me quote bids / asks and if I get executions, then I should be able to come up with a program to do it for me. Am I missing something?
Quote from DontMissTheBus:
Typical 'elite' nonsense. So you held long corporate bonds on a yield basis during one of the biggest rally in interest rates in history - and you think it's because you are good at picking corp bonds.
I see I'm talking to a real buffoon here. Carry on.
s***t..man..can't you just go away in direction,provided to you in my post above? have you noticed, that your comments have nothing to do with OP's initial question and your reply's are even more far away?
i'm telling you one thing, sharing my experience,on MY level,without pretending to be an expert in it...and you, my institutional friend, trying to enlighten me with your wisdom,advise or whatever,while i stated very clear-i don't fucking need it. it's fucking pointless to tell me about biggest rally,cause you don't know my goals,time frame,my objectives at that time and many other things. let me repeat this one more time-if you have nothing to say about OP's question-STFU,go back to your 'institutional' trading desk. i don't need your opinions or point of view,judgments or whatever. keep it to yourself.
I'm not saying that it's not possible by using the API. I have no clue what their API can and cannot do.
I'm saying that's foolish to try to do any sort of quantitative analysis (be it screening, program trading, or algorithmic) using IB corp bond prices. Here's why:
I'm looking at the market centers for IB's corp bond trading (http://www.interactivebrokers.com/en/p.php?f=products). Here's what I know:
--Bond desk is fairly irrelevant for all but the most liquid corp bonds; When I worked on a corp bond desk, I don't know anyone using bonddesk; and we used all the major electronic venues.
--Tradeweb is a request-for-quote system. That is, all levels you see on it are INDICATIVE; You have to request for a firm level that you may accept or reject within some time frame. Also, it sucks for corporates.
--Knight is a single counterparty, not considered to be exactly a top tier bond trading counterparty; so the levels they offer for small retail guys are probably pretty crappy (and they can't do better for institutional levels either).
So, your data feed is either, stale, or non-executable, or from a single counterparty; Doesn't sound like a good idea to rely on those feed points for anything.
I'm saying that's foolish to try to do any sort of quantitative analysis (be it screening, program trading, or algorithmic) using IB corp bond prices. Here's why:
I'm looking at the market centers for IB's corp bond trading (http://www.interactivebrokers.com/en/p.php?f=products). Here's what I know:
--Bond desk is fairly irrelevant for all but the most liquid corp bonds; When I worked on a corp bond desk, I don't know anyone using bonddesk; and we used all the major electronic venues.
--Tradeweb is a request-for-quote system. That is, all levels you see on it are INDICATIVE; You have to request for a firm level that you may accept or reject within some time frame. Also, it sucks for corporates.
--Knight is a single counterparty, not considered to be exactly a top tier bond trading counterparty; so the levels they offer for small retail guys are probably pretty crappy (and they can't do better for institutional levels either).
So, your data feed is either, stale, or non-executable, or from a single counterparty; Doesn't sound like a good idea to rely on those feed points for anything.
Quote from ssrrkk:
DMTB,
why do you say it's not possible to do algorithmic trading of bonds? If IB will let me quote bids / asks and if I get executions, then I should be able to come up with a program to do it for me. Am I missing something?
I told him on the first page to give me a bond quote from IB and I'll check the accrual value on this.
You should chill. This is the internet.
You should chill. This is the internet.
Quote from Bob111:
s***t..man..can't you just go away in direction,provided to you in my post above? have you noticed, that your comments have nothing to do with OP's initial question and your reply's are even more far away?
i'm telling you one thing, sharing my experience,on MY level,without pretending to be an expert in it...and you, my institutional friend, trying to enlighten me with your wisdom,advise or whatever,while i stated very clear-i don't fucking need it. it's fucking pointless to tell me about biggest rally,cause you don't know my goals,time frame,my objectives at that time and many other things. let me repeat this one more time-if you have nothing to say about OP's question-STFU,go back to your 'institutional' trading desk. i don't need your opinions or point of view,judgments or whatever. keep it to yourself.
Quote from DontMissTheBus:
I'm not saying that it's not possible by using the API. I have no clue what their API can and cannot do.
I'm saying that's foolish to try to do any sort of quantitative analysis (be it screening, program trading, or algorithmic) using IB corp bond prices. Here's why:
I'm looking at the market centers for IB's corp bond trading (http://www.interactivebrokers.com/en/p.php?f=products). Here's what I know:
--Bond desk is fairly irrelevant for all but the most liquid corp bonds; When I worked on a corp bond desk, I don't know anyone using bonddesk; and we used all the major electronic venues.
--Tradeweb is a request-for-quote system. That is, all levels you see on it are INDICATIVE; You have to request for a firm level that you may accept or reject within some time frame. Also, it sucks for corporates.
--Knight is a single counterparty, not considered to be exactly a top tier bond trading counterparty; so the levels they offer for small retail guys are probably pretty crappy (and they can't do better for institutional levels either).
So, your data feed is either, stale, or non-executable, or from a single counterparty; Doesn't sound like a good idea to rely on those feed points for anything.
Thanks for your input. So the bottom line is those quotes could be meaningless. But if they are indeed showing me recent trades and their prices, and if I am willing to sit on a quote for days or weeks at a time and adjust them based on past sales, then is it really that unreasonable? Or are you saying that the reported trades on that system is so off the mark and the majority of the trades are occurring at a completely different price??
By the way, I can compute the accrual myself, just was wondering if I could sort by dirty price in their corp bond scanner -- if they don't have that column, then I can just do it myself in a spreadsheet. Thanks.
accrual value will be on his statement for day,when he bought the bond. if for whatever reason he is super paranoid about it-he can calculated himself. IB does not provide any 'utilities' or any special quotes. bid\ask,size,YTM-that's all you get. here:
http://www.investinginbonds.com//ca...s=104.375&frequency=2§ype=USCorporateBond
http://www.investinginbonds.com//ca...s=104.375&frequency=2§ype=USCorporateBond
For corp bonds, generally quotes are meaningless.
You are not sitting on a bid or offer; That's not possible: there's no order book system for corporate bonds; Everything is done in a request-for-quote format. So there's no place for your order to sit.
Further, your orders are likely to be so small that no desk will work it for you; They will probably either fill it as a tiny little odd lot if it fits them, or just forget that it exists. And this probably only applies to Knight; I don't know what bonddesk would do, but I know for sure tradeweb doesn't have facility for this kind of thing;
I would absolutely place zero trust in the reported trades and bid/offer levels; Corp bond trading is like how things were done back in the 80s: den of thieves;
At least there's TRACE reporting for some of the more liquid bonds now (TRACE reports the transaction prices of eligible bonds with some lag). BUT, those are institutional trades - you won't get execution anywhere near those levels <- mainly because those trades are done as pair trades with matched maturity treasuries. The bonds are first traded on spread (hence, YTM is irrelevant), and then priced against the treasury bond being swapped.
You are not sitting on a bid or offer; That's not possible: there's no order book system for corporate bonds; Everything is done in a request-for-quote format. So there's no place for your order to sit.
Further, your orders are likely to be so small that no desk will work it for you; They will probably either fill it as a tiny little odd lot if it fits them, or just forget that it exists. And this probably only applies to Knight; I don't know what bonddesk would do, but I know for sure tradeweb doesn't have facility for this kind of thing;
I would absolutely place zero trust in the reported trades and bid/offer levels; Corp bond trading is like how things were done back in the 80s: den of thieves;
At least there's TRACE reporting for some of the more liquid bonds now (TRACE reports the transaction prices of eligible bonds with some lag). BUT, those are institutional trades - you won't get execution anywhere near those levels <- mainly because those trades are done as pair trades with matched maturity treasuries. The bonds are first traded on spread (hence, YTM is irrelevant), and then priced against the treasury bond being swapped.
Quote from ssrrkk:
Thanks for your input. So the bottom line is those quotes could be meaningless. But if they are indeed showing me recent trades and their prices, and if I am willing to sit on a quote for days or weeks at a time and adjust them based on past sales, then is it really that unreasonable? Or are you saying that the reported trades on that system is so off the mark and the majority of the trades are occurring at a completely different price??
By the way, I can compute the accrual myself, just was wondering if I could sort by dirty price in their corp bond scanner -- if they don't have that column, then I can just do it myself in a spreadsheet. Thanks.
------For corp bonds, generally quotes are meaningless. ---
here is an example of IB quotes(it's old screen shoot,but i'm pretty sure it's looks same,if you pull quotes(assuming customer have subscription for a bond data(which i don't))
if you are you saying that if one want to buy at ask or close existing position at bid and this trade will not be excuted at prices ,quoted on screen shoot- i have a news for you-you wrong
here is an example of IB quotes(it's old screen shoot,but i'm pretty sure it's looks same,if you pull quotes(assuming customer have subscription for a bond data(which i don't))
if you are you saying that if one want to buy at ask or close existing position at bid and this trade will not be excuted at prices ,quoted on screen shoot- i have a news for you-you wrong