STIRS Please Help!

Y

youngtrader

Other than the eurodollar thread started on ET I have not been able to find much info on stirs futures. I currently am trading eurex treasuries but would like to move to stirs. I do most of my trading off of the orderbook and the problem is with bund bobl schatz there tends to be so much noise sometimes that its hard to tell what paper is doing. I have heard that stirs tend to move a little more purely on the orderbook. So I thought they might be a good fit for me. I have a few questions for anybody that trades stirs of any kind (euroswiss, euribor, short sterling, eurodollar).

What other markets do you have up on your screen (eurex treasuries, us treasuries, currencies, stock index, calanders, etc) and do you actually have the orderbooks up or just quotes on your platform? The reason I ask this is because I only have 1 screen. So is it possible to just have the bare essentials or must you have multiple markets because they drastically effect the price of stirs? I find when trading eurex treasuries all I need are just bund bobl and schatz but that might be different with stirs.

Do any one of the stirs tend to lead the others? Or is there a market that tends to lead the stirs? I have heard the bund will lead the euribor and the 10yr will lead the eurodollar. I have also heard that the euribor will lead the euroswiss.

Is it more profitable to scalp them outright or to spread them on the calanders? Which provides more opportunity?

Is it necassary to know what the calanders are doing at all times if you are just scalping for a few ticks?

Do you trade just the front month or just the back months or all of them? I know that as we get closer to the expiration month the range gets smaller and smaller as everyone is starting to get a good idea of what the fair value price will be. What is the best for scalping purposes?

I am not capitalized enough to trade more than 5-10 lots at a time and will probably be starting out trading 1 lots. Will this be a huge disadvantage because of the pro rata algorithm liffe and cme have in place for the stirs?

Thanks in advance!

PS. I didn't put this in the eurex part of et because it is pretty dead over there and I figured I would probably get more replies here.

YT
 
I'm learning about STIR markets and trading too...

as yet I can't answer any of your Q's; I've been through the Aiken book that the link above points to, and it's OK, but it wont tell you what you need to know to trade them.

*note; I will be concentrating primarily on EuroDollar, not EURIBOR or Short sterling*

Another source I'd point you too is "the Eurodollar futures and options handbook"by Burghardt on McGraw Hill.

It reads much more like a textbook which suits me. Trading TED-Term spreads is something that interests me, and the book is very good in this department.

Anyway, from the little i have learned so far, most of the trading seems to be done from the orderbook, but I'm not sure you'll need the whole book to trade. I rather think opportunities exist by "jumping in front of" size through engineering combinations of spreads using the implied bids/offers. This and trading the news.

This does of course raise issues when it comes to the algo's used; I have tried to find documentation from cmegroup.com on what exactly the process is, but i can't find it.
 
Quote from morreo:

Wish I could help... Unfortunately I signed a contract where I can pretty much answer none of those questions.
More...

morreo

I understand there are certain things that you can not talk about but any info what so ever that you can provide me with is greatly appreciated.

Feel free to pm me
 
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