Spread Trading
- Thread starter Markus
- Start date
Markus
You had mentioned that you enter trades based on stop prices. I had tried putting in stop orders, but the floor brokers won't accept them in most markets. So I end up entering/exiting spreads based on EOD data hitting a stop price level. Is it same for you, or do you monitor the spreads intra-day and enter them when your stop price is hit?
On another note, I believe it was mentioned earlier, MRCI has a plethora of spread trading ideas for its subscribers. The Weekly Spread Commentary by MRCI for $120 annually is a great source of ideas and that too at a very economical price. Jerry Toepke's comments are very informative, and I can say that I learnt more from reading his commentaries than I learnt by spending $2000+ on books and worthless ebooks and courses.
Good luck and thanks for sharing the ideas.
You had mentioned that you enter trades based on stop prices. I had tried putting in stop orders, but the floor brokers won't accept them in most markets. So I end up entering/exiting spreads based on EOD data hitting a stop price level. Is it same for you, or do you monitor the spreads intra-day and enter them when your stop price is hit?
On another note, I believe it was mentioned earlier, MRCI has a plethora of spread trading ideas for its subscribers. The Weekly Spread Commentary by MRCI for $120 annually is a great source of ideas and that too at a very economical price. Jerry Toepke's comments are very informative, and I can say that I learnt more from reading his commentaries than I learnt by spending $2000+ on books and worthless ebooks and courses.
Good luck and thanks for sharing the ideas.
Hi,
I am wondering why you guys are discussing only seasonal spreads while there is more fun with statistical spreads !
Have a look at www.2hedge.com with a program called McSpread which is looking to a statistical approach.
Further www.fxtrel.com or www.tradetrack.com having FX and stocks spread analyses.
I am using CSI UA data which can do a lot of correlation analyses between stocks, futures and FX.
I trade T-Bonds against 10Y Notes, ES-NQ, DAX-ESX50 etc.
Regards.
I am wondering why you guys are discussing only seasonal spreads while there is more fun with statistical spreads !
Have a look at www.2hedge.com with a program called McSpread which is looking to a statistical approach.
Further www.fxtrel.com or www.tradetrack.com having FX and stocks spread analyses.
I am using CSI UA data which can do a lot of correlation analyses between stocks, futures and FX.
I trade T-Bonds against 10Y Notes, ES-NQ, DAX-ESX50 etc.
Regards.
I got confused about trading spreads. Do I need to buy one futures and sell the other as I trade outright? Or I can do it in one go? How to trade spreads through IB? Which symbol should I enter? Where can I get the info about liquidity of the spreads? It seems there are many combinations, which one is the most popular? I don't like the liquidity of some commodities, are the spreads of them better?
That is correct there are many combinations but the 1e step is to find combinations with high correlation, like T-Bonds
against 10Y Tnotes etc.
Then the contract value must be near equil, or for example, 1 DAX against 3 Euro Stoxx 50 etc.
CSI data users can view correlation daily.
Further, it is our experience that spreads based on weekly closing prices are doing better then daily or EOD action, because less trades, less slippage, so you new enough volume too.
To understand something about statistical arbitrage you for the tour on www.2hedge.com
I know Barcharts.com has US futures in a limited way and www.tradetrack.com and www.fxtrek.com doing something with US stocks and FX.
QQQ, SPY etc. are also nice, but their margin is higher.
Hope this answer your questions.
Regards,
Gann
against 10Y Tnotes etc.
Then the contract value must be near equil, or for example, 1 DAX against 3 Euro Stoxx 50 etc.
CSI data users can view correlation daily.
Further, it is our experience that spreads based on weekly closing prices are doing better then daily or EOD action, because less trades, less slippage, so you new enough volume too.
To understand something about statistical arbitrage you for the tour on www.2hedge.com
I know Barcharts.com has US futures in a limited way and www.tradetrack.com and www.fxtrek.com doing something with US stocks and FX.
QQQ, SPY etc. are also nice, but their margin is higher.
Hope this answer your questions.
Regards,
Gann
For orders, go to http://www.custombrokerage.com/tradersaids/orderguide.html
and see an example of a spread order thru' broker.
For online wiht IB or others brokers, I still looking for it myself.
Notice : your broker should give you a spread commish, not 2 x 1 order $, it's usually considered as 1 order.
Cheers!!
Just got this email replied from my broker :
"Commissions on a spread order will be the same as if you had done two separate orders. For example, buying Dec, selling Mar ; your commissions are treated as two separate orders. Margins are a different matter...
...Refco Live, nor any other software, is not a very good platform for doing spreads. Let me explain why. Assume that Dec S&P 500 is 900.00 and March is 897.00; it appears that the spread is 3.00? Wrong. The spread is really a market into itself. It trades like any other commodity with it's own bid/ask spread. Continuing, the market in the spread might be 2.50 @ 2.75 while the out-right difference in futures prices is 3.00. Ideally, the spread should have its own symbol. Presently the FCM's offer software that will let you enter a limit bid or limit offer on the spread. Thus, you're specifying the spread or difference without regard to the actual prices you receive.
If you only want to do a few spreads I recommend you just call the desk and we can enter it on your behalf.... ...Another alternative is we could set you up with a different trading front-end which does accommodate spread trading as described above."
RATZ!!! for the commish!!!
Anyone knows of the "different trading front-end" he was talking about?
Cheers!!
"Commissions on a spread order will be the same as if you had done two separate orders. For example, buying Dec, selling Mar ; your commissions are treated as two separate orders. Margins are a different matter...
...Refco Live, nor any other software, is not a very good platform for doing spreads. Let me explain why. Assume that Dec S&P 500 is 900.00 and March is 897.00; it appears that the spread is 3.00? Wrong. The spread is really a market into itself. It trades like any other commodity with it's own bid/ask spread. Continuing, the market in the spread might be 2.50 @ 2.75 while the out-right difference in futures prices is 3.00. Ideally, the spread should have its own symbol. Presently the FCM's offer software that will let you enter a limit bid or limit offer on the spread. Thus, you're specifying the spread or difference without regard to the actual prices you receive.
If you only want to do a few spreads I recommend you just call the desk and we can enter it on your behalf.... ...Another alternative is we could set you up with a different trading front-end which does accommodate spread trading as described above."
RATZ!!! for the commish!!!
Anyone knows of the "different trading front-end" he was talking about?
Cheers!!
so then the next step is you try to leg in, and before you know it, you're directional. So now you're directional with twice the cost.
when they both start moving the wrong way, you feel like your head is being squeezed in a vice.
but everyone should learn how to spread, when your funds run low that may be all you can afford to put on.
the cheapest spread is es vs prem
when they both start moving the wrong way, you feel like your head is being squeezed in a vice.
but everyone should learn how to spread, when your funds run low that may be all you can afford to put on.
the cheapest spread is es vs prem