Milking late-night slow movement (ZB)

pleckerchris · Apr 27, 2014

trade_canada said:
I'd be curious to see a fill report as well. 30yr still has some liquidity overnight so you have to be fast to get a queue position that will get you filled consistently. It's easy to get stuck in a position or have a slow bleed trading like this. Much more practical and risk conscious to try and make 1 tick a few times on a 3 tick range. Strategies like this are dominated by HFT's, tread lightly if you're a point n' click trader.

I was using stops and limits at 09. As a previous poster said, the order doesn't get filled until at least 1 tick above/below. I did it for 3 days and made $1,335. I would love to automate it but I have no idea how to get into all of that. There are times when the order is triggered but never filled. I've lost on commissions filling even. But it's still made me more money than scalping equities.

trade_canada · Apr 27, 2014

pleckerchris said:
I was using stops and limits at 09. As a previous poster said, the order doesn't get filled until at least 1 tick above/below. I did it for 3 days and made $1,335. I would love to automate it but I have no idea how to get into all of that. There are times when the order is triggered but never filled. I've lost on commissions filling even. But it's still made me more money than scalping equities.

But if you were trying to close your position in the 9's you would have made 1 tick compared to the 62.50 or 2 ticks you indicated in your pic, or maybe I'm just misreading and should get more sleep

I'm just a bit skeptical because flipping or 'pseudo market making' in products such as ZB is very competitive and it appears that you got consistent fills on every price extremity of the range.

Impossible to get more info from a candle chart (1 minute?) but it appears that the 8's were snapped up pretty quick when offered and according to your chart you would have to have been at the back of the queue 5 times at 8. I can't tell how much size was posted but I don't think the chances of getting to the front of the queue 5 times at a competitive price are good.