Time & Sales ZF, ZN & ZB

J

jfut

Hi there,

For those of you that analyse time & sales, which particular executed trade size orders do you isolate in order to have a general idea of what the large traders are doing?

For example, in the 5 year treasury futures, do you look at all executed trade sizes above 10, 25, 50 or more perhaps? What about the 10 year and the 30 year? Furthermore, do you vary the size according to whether it's currently the day session or night session??

Your help would be most appreciated,

Thanks
 
Hey friend

Good on you for trying to investigate this!

Anyway, I'll tell you now that you don't need to. Stop with the time&sale garbage reading. Markets are saturated with algorithmic bots that take away our slow-to-respond human edge anyway.

You are on the right track though.

What you need to do is look at the chart, and look at all 3 ladders side by side of those U.S. bonds together.

Watch the order flow in each one.

I can't be super specific because I don't want to confuse you, but you can take my advice with good weight;

-The game of spreading like that, has nothing to do with seeing secret order flow numbers etc.

-And it has everything to do with, trading some sort of weekly momentum-flow idea every single day and trying to scalp in that direction.

-You execute this by just watching the ladders and picking up on little patterns. Not quantifiable patterns like specific numbers. But patterns such as "Ahhh the U.S. 10yr Note seems to be breaking every level on the day-chart now so I'll have a bias of shorting it every night until my opinion changes."

Example: If you believe the 10-year U.S. Tnote is going to keep selling now as more positive data comes out into the lead of Non-farms next Friday, then you probably want to be Selling 10yr and buying 5yr if the 5yr-10yr curve is uptrending/rallying.

How you execute day to day is up to you.

But trust me, this game is ALL about long, hard, dedicated hours, and not seeing some magical order-flow numbers.

Good luck friend ;) Read my previous posts if u want some extra info
 
Agree with the post above. If you really want to learn how to spread interest rates like a boss focus on TED spreads and Eurodollars or cash treasury basis (actually market vs futures market). When you hear swaps this is what people are talking about. A floating interest rate vs. fixed rate. You obviously have ambition to learn but focus your energy in the right direction. The CME has lots of educational material and you can find most of the answers on the Internet if you know the right questions to ask.
 
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