SpreadProfessor Clients - Thanks !
- Thread starter bone
- Start date
im going to check with an attorney about your continuous re-printing of my emails, and your previous extortion attempt. you're crossing lines.
Unless you had a disclaimer on the bottom of that email saying bone was not authorized to share, duplicate, etc. the email message; I think you're gonna have a bad time / be very disappointed
I agree completely with you about an extortion attempt - but the posts you made here on ET and the way in which you underhandedly used complicit third party ET Members in my opinion would make you the extortionist.
Make sure you show to the attorney all of your posts related to me here on Elite Trader, show your attorney your historical emails to me, and you absolutely must show your attorney our written and executed contract - specifically, the Terms and Conditions you authorized by dated signature and agreed to in that contract under Sections 2.D. and 3 with respect to refunds and communications.
BTW, I was never contacted by the NFA or the CFTC or the SEC or any other regulator/law enforcement agency in terms of whatever complaints you and Convexx and the other trolls allegedly filed. In fact, that's been true throughout my career in terms of regulatory actions.
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I've gotten some correspondence about OTC financially cleared energy products supported by TT and a request for some pointers.
Actually, the first thing you need to do is to find out what OTC financially-cleared contracts your particular FCM supports with ICE and Nymex, and of course there is the issue of margin capital required for you or the firm you are trading for. From there, start the list and then pare it down. You can run some correlation analyses and you can also look at the exchange-published SPAN margin credits for OTC financially-cleared intramarket spreads. Personally, I would consult the exchange SPAN spread margins first, because by design those spreads and the ratios are highly correlated and well modeled. Also, by following the exchange SPAN guidance you will get the margin credit because in all likelihood you will be carrying positions overnight due to liquidity gaps. If you have some unique sort of spread there is the distinct likelihood that the exchange(s) will margin you for two ( or more ) outright positions. Also, while there are some cross-exchange margining credit agreements in place, this is not universally true. You will want to consult the exchange product manager about that.
TT will enable any product key you desire provided that your FCM and your firm's risk manager and in the case of OTC products the exchange approves of it in advance. And that always comes down to money and what kind of capital you or your firm wants to commit to the trade. And the OTC financially cleared products usually have very chunky capital requirements as compared to the well known futures names. Additionally, for OTC contracts the exchange product manager will likely have to approve you and your firm as well.
My BIG word of warning: you MUST execute the most illiquid contract FIRST - both getting into and getting out of the trade. Deviate from my advice with this particular detail and you will get sodomized.
In terms of quality third party intraday OTC data to model, Bloomberg T&S is absolutely hands-down the best but CQG is doable. I personally haven't traded this stuff for a few years, but as I recall when I had my TT screens up for OTC energy I also had a WebICE screen and the Bloomberg energy pages up. I also had a brokerage relationship with ICAP and Amerex, and had a voice line and IM's up so I could also trade through them depending on what they were showing but maybe more importantly I could follow along with what they were shopping around. Most other data providers are sketchy in terms of intraday OTC data. Please be advised that there will be voice or IM brokered trades in OTC financially cleared products that will have latency built into the price prints because the reporting requirements by the brokers are not immediate for practicality purposes. In other words, for example PJM-W monthly power forwards trade on TT but what you don't see on TT in a real-time sense are the PJM-W monthly forwards being brokered away from the screen by ICAP, TFS, Amerex, etc. etc.. It is what it is.
Actually, the first thing you need to do is to find out what OTC financially-cleared contracts your particular FCM supports with ICE and Nymex, and of course there is the issue of margin capital required for you or the firm you are trading for. From there, start the list and then pare it down. You can run some correlation analyses and you can also look at the exchange-published SPAN margin credits for OTC financially-cleared intramarket spreads. Personally, I would consult the exchange SPAN spread margins first, because by design those spreads and the ratios are highly correlated and well modeled. Also, by following the exchange SPAN guidance you will get the margin credit because in all likelihood you will be carrying positions overnight due to liquidity gaps. If you have some unique sort of spread there is the distinct likelihood that the exchange(s) will margin you for two ( or more ) outright positions. Also, while there are some cross-exchange margining credit agreements in place, this is not universally true. You will want to consult the exchange product manager about that.
TT will enable any product key you desire provided that your FCM and your firm's risk manager and in the case of OTC products the exchange approves of it in advance. And that always comes down to money and what kind of capital you or your firm wants to commit to the trade. And the OTC financially cleared products usually have very chunky capital requirements as compared to the well known futures names. Additionally, for OTC contracts the exchange product manager will likely have to approve you and your firm as well.
My BIG word of warning: you MUST execute the most illiquid contract FIRST - both getting into and getting out of the trade. Deviate from my advice with this particular detail and you will get sodomized.
In terms of quality third party intraday OTC data to model, Bloomberg T&S is absolutely hands-down the best but CQG is doable. I personally haven't traded this stuff for a few years, but as I recall when I had my TT screens up for OTC energy I also had a WebICE screen and the Bloomberg energy pages up. I also had a brokerage relationship with ICAP and Amerex, and had a voice line and IM's up so I could also trade through them depending on what they were showing but maybe more importantly I could follow along with what they were shopping around. Most other data providers are sketchy in terms of intraday OTC data. Please be advised that there will be voice or IM brokered trades in OTC financially cleared products that will have latency built into the price prints because the reporting requirements by the brokers are not immediate for practicality purposes. In other words, for example PJM-W monthly power forwards trade on TT but what you don't see on TT in a real-time sense are the PJM-W monthly forwards being brokered away from the screen by ICAP, TFS, Amerex, etc. etc.. It is what it is.
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no one cares.
I get many questions and some recent PM's about how to go about finding and then trading synthetic intermarket ( and inter-exchange ) spread combinations. I cover this topic extensively with my clients, and have several recorded webinars just on this particular topic.
Personally, I start out looking at 2 years in terms of correlation timeframes and mining possible pairs. And I use common sense to further pare down the non-sensical stuff ( like rubber vs gold ).
If you do not have access to a Bloomberg terminal, I would highly recommend CSI over MRCI. Also, really check these results using chart overlays - don't trust anyone's data at face value. Finally, use some short charting timeframe intervals with your overlays to check for viability, wandering, and cointegration-like tendencies. If the charts seem promising, I would then spend at least a few weeks looking at the product order books (market ladders are best) placed side-by-side on your execution platform.
You should also expect to ferret through MANY of these possible combinations before you find something that inspires enough confidence to trade it live. Two of the most prominent strategies for these combinations are lead-lag and synthetic intramarket spreads.
IMHO, you would be better served looking at a good solid synthetic spread relationship that just makes good, solid fundamental sense like the JY versus the JGB - instead of combinations that are already heavily spread traded and arbitraged like Energy Crack Spreads. Also, please make sure that you are only analyzing the trading session time frames where both products are trading simultaneously. If at all possible, try to get Bloomberg T&S data, because everyone else's data just sucks in comparison.
Yes, this is a really worthwhile endeavor. But you can also get your ass handed to you in a big way if you haven't correctly modeled and tested these combinations and if you haven't had extensive real world experience trading them. In terms of execution, you simply MUST trade the most illiquid product FIRST getting both into then out of the trade. Deviate from my advice in this regard and you are asking for huge trouble.
Personally, I start out looking at 2 years in terms of correlation timeframes and mining possible pairs. And I use common sense to further pare down the non-sensical stuff ( like rubber vs gold ).
If you do not have access to a Bloomberg terminal, I would highly recommend CSI over MRCI. Also, really check these results using chart overlays - don't trust anyone's data at face value. Finally, use some short charting timeframe intervals with your overlays to check for viability, wandering, and cointegration-like tendencies. If the charts seem promising, I would then spend at least a few weeks looking at the product order books (market ladders are best) placed side-by-side on your execution platform.
You should also expect to ferret through MANY of these possible combinations before you find something that inspires enough confidence to trade it live. Two of the most prominent strategies for these combinations are lead-lag and synthetic intramarket spreads.
IMHO, you would be better served looking at a good solid synthetic spread relationship that just makes good, solid fundamental sense like the JY versus the JGB - instead of combinations that are already heavily spread traded and arbitraged like Energy Crack Spreads. Also, please make sure that you are only analyzing the trading session time frames where both products are trading simultaneously. If at all possible, try to get Bloomberg T&S data, because everyone else's data just sucks in comparison.
Yes, this is a really worthwhile endeavor. But you can also get your ass handed to you in a big way if you haven't correctly modeled and tested these combinations and if you haven't had extensive real world experience trading them. In terms of execution, you simply MUST trade the most illiquid product FIRST getting both into then out of the trade. Deviate from my advice in this regard and you are asking for huge trouble.
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