which software did you use to show the spread in the chart?
Index Spread Traders
- Thread starter Real Money
- Start date
I used ThinkorSwim to chart the spread.
I want to point out something to the guys that will inevitably say trading these instruments using relative value techniques is inferior to outright futures trades.
The legs can be scalped because they are outright futures trades. You can take profit on one leg at a market high or low, and then let the other contract be an outright trade.
It's called 'legging out'. What I mean to say is that the index spread can be thought of as a hedged position ready to scalp either direction! Go long, then get spread. Get spread and then go short. You can scalp against one of the legs with your favorite outright as well!
Almost every market participant has a position and is managing their exposure one way or another.
I want to point out something to the guys that will inevitably say trading these instruments using relative value techniques is inferior to outright futures trades.
The legs can be scalped because they are outright futures trades. You can take profit on one leg at a market high or low, and then let the other contract be an outright trade.
It's called 'legging out'. What I mean to say is that the index spread can be thought of as a hedged position ready to scalp either direction! Go long, then get spread. Get spread and then go short. You can scalp against one of the legs with your favorite outright as well!
Almost every market participant has a position and is managing their exposure one way or another.
i think the strategy makes sense.
u obviously have no clue about trading this. 1000 dollar loss in 20 minutes also and you said nothing about understanding the relarionships. u look at a chart n think u can get filled at the low if the bar when buying or the high of the bar when selling. slippage and fees are enormous doing this intraday. you have never actually traded it have you!!! otherwise your mkt fills would be es 2 ticks...25 bucks. nq 2 ticks..10 bucks maybe. now you said 2x3 so
2x25= 50 dollars.. and 3x 10 = 30 dollars.
plus 5 fees n commission 2x5= 10
total buy would be 90 dollars in and then you pay 90 dollars out..so that is 180 dollars minimum slippage. oh yes very small. lmfao. now do this and be wrong 2 or 3 times..ur down 600 bucks in slippage after 3 trades with relative value. if u game it with limit orders. hft will fill and activate before your other leg is filled making u pay more. they own the book. great strategy 15 years ago. imagine trying this with more lots. nope. lastly..just because hindsight charts look all nifty n easy means u dont understand hindsight. watch the dom. u will understand now why the qty at 1st n 2nd are lower now than years ago..used to be 900 in es now 150..this is so hft can eat up spreaders. u dont get it. they feed off you. they know u gotta fill so they HANG YOU.
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omg. its the holy grail...lmao. in the end u will see that i was right and after trying to tackle this strategy u will move back into outright trading if you have anymore money left. but what do i know?
do you really think people dont know what legging into and out of a trade is? are you on Bones pay roll. should be illegal for people to act like spread trading is the end all with no risk. brokerages n fcm love spreaders cuz they pay so much more in fees. yes they last a lil longer until they close their account also. its not easy and it is a very expensive trade with risk. ur taking a spread. which is directional and trying to scalp it with 180 dollars in slippage n fees. thats genius.. hft pays this for the same spread...no slippage..zero. then 10 trades total or 5 roundturns..so roughly less than 5 dollars to you 180 or 90 if extremely lucky!! so 5 bucks vs 90 or 5 bucks vs 180! great strat. outright they can beat u by a tick but you only have to worry about 1 side and u fill based on an actual value not a relative one!!
Have you given a thought who you will execute through? I assume TOS is just for research and you are going to want to automate this.
I have done this. It's very easy to automate through Interactive Brokers Excel API. You keep monitoring the spread -> when you like the spread price -> join the bid / offer (depending on if you are trying to go long / short), moving it as necessary on the leg with widest bid/ask spread. As soon as filled, you hit the market on the other leg. On average, all you eat is the bid/ask spread on the tighter leg.
It's doable. Some basic automation required (quite easy), but that's all. Not something that will kill your strategy
It's doable. Some basic automation required (quite easy), but that's all. Not something that will kill your strategy
lol. ok. keep thinking u can beat it. but hft will always keep u out n your mkt order always pays the price
Is this an exchange-traded spread, or a manual legging-type deal? I have experience with the latter.