Seasonal spreads
- Thread starter hrokling
- Start date
Today I started an experiment. MRCI has 2 upcoming Kansas Wheat spreads: KW Dec07/ZS Nov07 and KW Dec07/ZC Dec07. Since Interactive Brokers does not have access to the Kansas City exchange I decided to substitute KW with ZW and legged into the 2 spreads just before 8:00 am. The reason, when I compare the charts of the above Kansas spreads with the ones substituted with Chicago wheat I find that they look very similar and hope that they will perform similarly in the future. Has anyone experimented with this? BTW, presently at 23:43 New York time the 2 spreads already show a profit of $910.
The reason I prefer Interactive Brokers over a floor broker is that I can keep easily control of many different spreads by opening a separate page for each commodity group, like grains, metals, etc and with one glance I can see how each spread and each group as a whole is performing in real time and also can check margins in real time. I imagine this would be a nightmare if I were to call in all my orders to a floor broker. Or is there a reasonably priced software which would let me do the same with orders sent to the floor. Any suggestions would be appreciated.
The reason I prefer Interactive Brokers over a floor broker is that I can keep easily control of many different spreads by opening a separate page for each commodity group, like grains, metals, etc and with one glance I can see how each spread and each group as a whole is performing in real time and also can check margins in real time. I imagine this would be a nightmare if I were to call in all my orders to a floor broker. Or is there a reasonably priced software which would let me do the same with orders sent to the floor. Any suggestions would be appreciated.
Kahai, keep in mind that the Chicago wheat is to a large premium over Kansas wheat this time around - which is highly unusual. I'm actually quite cautious over grains/soybeans as the wheat action in the last month or so is bringing a lot of normal market wisdom out of sync. Just some friendly advise 
Joryan,
Which broker are you using, electronic or floor? While I took the last Lean Hogs spread - Feb08/Dec07 which shows already a nice profit and moves according to the seasonal chart (I leg into those a couple of minutes before the floor closing) - I stayed sofar away from Cattle, the electronic liquidity is very poor, much worse than Hogs. Let's ask hrokling if he is brave enough to take those spreads.
hrokling,
I am doing this as an experiment without much rationality and will report how it works out compared to the MRCI spread. Wheat seems to be in a blow off stage, I wonder if it will collapse. BTW my entry yesterday was just before 14:00 New York time, not 8:00 as I mistakenly stated. Right now the 2 spreads are up about $1,400.
Does anybody have any comments regarding being able to keep electronically control of spreads entered through a floor broker?
Which broker are you using, electronic or floor? While I took the last Lean Hogs spread - Feb08/Dec07 which shows already a nice profit and moves according to the seasonal chart (I leg into those a couple of minutes before the floor closing) - I stayed sofar away from Cattle, the electronic liquidity is very poor, much worse than Hogs. Let's ask hrokling if he is brave enough to take those spreads.
hrokling,
I am doing this as an experiment without much rationality and will report how it works out compared to the MRCI spread. Wheat seems to be in a blow off stage, I wonder if it will collapse. BTW my entry yesterday was just before 14:00 New York time, not 8:00 as I mistakenly stated. Right now the 2 spreads are up about $1,400.
Does anybody have any comments regarding being able to keep electronically control of spreads entered through a floor broker?
That's great kahai, congratulations! Yes, one can wonder whether wheat is totally cornered or if it's crowd psychology. Looking at Jul 08 vs Dec 07 for instance is totally crazy. There's almost 110 in between March and May 08! I'm having a hard time imagining such a spread through winter.
I'm not doing meats in this journal, but I think Live Cattle can be done - although it's very illiquid electronically. You'd probably be better off with pit trades, although that's just a guess on my part. I still haven't signed up with MRCI so I'm not paying that much attention to hogs and cattle.
I think there are brokers like MAN which have an electronic platform to transmit orders - and then you choose whether you want to route it to the floor or to eCBOT. Then the fills are reported electronically back to you in the same platform. I haven't looked at this myself, but I would imagine you would have some sort of overview of your spreads and their value. SupremeTrader wrote about this a while back, and we had a misunderstanding about what electronic trading constituted: He referred to managing both floor orders and eCBOT/Globex orders in a platform like this, whereas I was thinking of electronic matching in electronic order books.
I'm not doing meats in this journal, but I think Live Cattle can be done - although it's very illiquid electronically. You'd probably be better off with pit trades, although that's just a guess on my part. I still haven't signed up with MRCI so I'm not paying that much attention to hogs and cattle.
I think there are brokers like MAN which have an electronic platform to transmit orders - and then you choose whether you want to route it to the floor or to eCBOT. Then the fills are reported electronically back to you in the same platform. I haven't looked at this myself, but I would imagine you would have some sort of overview of your spreads and their value. SupremeTrader wrote about this a while back, and we had a misunderstanding about what electronic trading constituted: He referred to managing both floor orders and eCBOT/Globex orders in a platform like this, whereas I was thinking of electronic matching in electronic order books.
Hrokling,
Do I understand correctly, you trade mostly the electronic markets and not the open outdry?
Also, since you do not subscribe to MRCI, have you developed your own spread trades? These are trades you have developed over your trading career. I assumed you were using a data service.
Thanks again. I enjoy your thread.
Do I understand correctly, you trade mostly the electronic markets and not the open outdry?
Also, since you do not subscribe to MRCI, have you developed your own spread trades? These are trades you have developed over your trading career. I assumed you were using a data service.
Thanks again. I enjoy your thread.