What could go wrong with Treasury scalping? Or other types of scalping?

Quote from mgzheng:

, because when it goes the other way, I only lose 3 or 4 ticks. But when it goes my way, I win some where between 6 to 12 ticks, about 3 times as many as the losses.
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Loss of only 3-4 ticks during NEWS? On news, very often ZB (you didn't specify, but I assume you trade ZB, not ZN) will spike and whipsaw hard.

Since you're trading via IB, remember that eCBOT has no native stops and those are simulated by IB. I've often experienced 1tick slippage during dull times (not news), if lots of stops get triggered at the same time. And I trade very small (under 10c).

In January 2005 I remember a 2pt (64 tick or so) move both up and down within seconds, on a relatively insignificant (per Econoday) report and you can bet those moves are anything but "smooth".
 
Not good, I thought with worse than expected consumer confidence and worse than expected new home sales, it would finally go back up a little. It did all early morning. But as soon as I went long, everyone sold to wait for the Greenspan speech (which at the end didn't say a whole lot). Could've cut my loss a little earlier. But hang on to it a little too long, took a bigger loss than I should've. I guess since the next hike is such a sure thing, from now on till 11/1/05 it's either staying out or short. Hopefully economic reports come into play again in early November when it's not clear if we are going to 4.25% rate. Bad day.

By the way, I created another post about this, is there such thing as the "fair value" of a treasury futures contract under which prices do not usually go below too much? If yes, how would I go about estimating it? Anyone? Thanks!
 
Better luck tommorow!
I bought too early as well, but got lucky with the little surprise rally after the pit closed.

There is no such animal as "fair value", the rules change every time Greenspan or the Fed decides to babble.

I use pure TA and bid way down/ offer way up on Econ announcements.
 
Quote from mgzheng:

By the way, I created another post about this, is there such thing as the "fair value" of a treasury futures contract under which prices do not usually go below too much? If yes, how would I go about estimating it? Anyone? Thanks!
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I hope I didn't plant a bad seed when I used the term "value" earlier in this thread. I meant value in the intuitive sense not as a literal price barrier. The short end does have relative value to overnight rates and will tend to trend in the direction of expected Fed policy. The long end is much choppier and of course more volatile on a price basis though often LESS volatile on a yield basis. I'll share some thoughts with you in a PM later tonight. No need to bore all of ET with my ramblings.
:)
 
whoa ... mr mgzheng

you have only been trading ZF, ZN , ZB for 3 weeks ?

-But of course I've been observing for only 3 weeks.-
 
Quote from Pabst:

I hope I didn't plant a bad seed when I used the term "value" earlier in this thread. I meant value in the intuitive sense not as a literal price barrier. The short end does have relative value to overnight rates and will tend to trend in the direction of expected Fed policy. The long end is much choppier and of course more volatile on a price basis though often LESS volatile on a yield basis. I'll share some thoughts with you in a PM later tonight. No need to bore all of ET with my ramblings.
:)
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I am reading this thread with interset and like to know better about treasuries, so please continue with your ramblings! :)
 
Quote from mgzheng:

Not good, I thought with worse than expected consumer confidence and worse than expected new home sales, it would finally go back up a little. It did all early morning. But as soon as I went long, everyone sold to wait for the Greenspan speech (which at the end didn't say a whole lot). Could've cut my loss a little earlier. But hang on to it a little too long, took a bigger loss than I should've. I guess since the next hike is such a sure thing, from now on till 11/1/05 it's either staying out or short. Hopefully economic reports come into play again in early November when it's not clear if we are going to 4.25% rate. Bad day.

By the way, I created another post about this, is there such thing as the "fair value" of a treasury futures contract under which prices do not usually go below too much? If yes, how would I go about estimating it? Anyone? Thanks!
More...

Those results confirm Pabst experience and gives an answer to your own question. Still lots to learn for you!

You remind me of the wise poor man and the rich man. When they met it did not take long for the wise man to be rich and the rich man to be poor.

Sherlock
 
Dear Pabst,

Thanks for your reply. Please feel free to PM me. But if you would like to email, the email functionality would not work because the email address I have on file is no longer valid and I don't have any other email address than a yahoo one (which ET does not allow). My yahoo email ID is the same as my ET user id.

I do see a treasury futures pricing formula in a textbook by Moorad Choudhry, just couldn't figure out where to find some of the parameters in his formula, such as the arb-free "repo" rate. Not a whole lot of practical value in those sort of books. I understand that there is no obsolute price barrier with treasury futures, it can free fall at the rate of 3 points a day. But maybe I'll look at EOD prices of historical contracts when rates were approaching 4%. Looking forward to hear from you soon.
 
Interesting the OP keeps ignoring my questions. I am not trying to discredit you, but it would seem like you are simply experimenting right now. I know a lot of treasury pit traders who swing about the same size lots many times a day. They certainly wouldn't ask the kind of questions the OP does.

I think it would really clarify some things if you can just answer some of the questions others are asking here. Please let us know if this is a demo account or if you are live. If you are live, then I would take interest and provide some pointers (the main one of which would be to cut your size to 2 lots until your risk is better defined and your knowledge is better integrated).

Good luck.
 
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