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anyone scalping the NOB futures spread
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anyone scalping the NOB futures spread

  #31 (permalink)
Elite Member
Berlin, Europe
 
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alejo View Post
my question is regarding why is easier the high volatility instrument of both.
thanks for your help

alejo

A trade is like going to cinema. You pay your ticket fee and want to get something in return. If you visit the cinema, it is entertainment, if you enter a trade it is opportunity to achieve a profit - although many traders seem to pay the fee just for being entertained. Opportunity to achieve returns is linked to volatility. A volatile instrument helps you to achieve higher returns - positive or negative.

The idea is to keep trading costs low. Therefore you want to pay little in terms of commissions and slippage and benefit from higher volatility. There is a separate thread on that subject here:

https://futures.io/elite-circle/4861-comparing-index-futures.html

When comparing ZB and ZN, the higher volatility speaks in favor of ZB, while the lower trading cost (lower spread and slippage) speaks for ZN. So I do not see much of a difference between the two instruments, also see attachement to the post as per link below:

https://futures.io/elite-circle/4861-comparing-index-futures-7.html#post69033

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  #32 (permalink)
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madrid spain
 
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Fat Tails View Post
A trade is like going to cinema. You pay your ticket fee and want to get something in return. If you visit the cinema, it is entertainment, if you enter a trade it is opportunity to achieve a profit - although many traders seem to pay the fee just for being entertained. Opportunity to achieve returns is linked to volatility. A volatile instrument helps you to achieve higher returns - positive or negative.

The idea is to keep trading costs low. Therefore you want to pay little in terms of commissions and slippage and benefit from higher volatility. There is a separate thread on that subject here:

https://futures.io/elite-circle/4861-comparing-index-futures.html

When comparing ZB and ZN, the higher volatility speaks in favor of ZB, while the lower trading cost (lower spread and slippage) speaks for ZN. So I do not see much of a difference between the two instruments, also see attachement to the post as per link below:

https://futures.io/elite-circle/4861-comparing-index-futures-7.html#post69033

thank you Harry

alejo

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
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  #33 (permalink)
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PK 1 View Post
Regarding the math: In the last weeks on Multicharts I was developing my indicators regarding spreading, mainly ES-YM but due to the prob of legging into I toke notice of the native spreads. The risk/reward is part of my indicators but I still need to check useful ideas which really help when investigating my spread-charts and while trading it. At the moment it looks like I should move my dev to to MC.Net or directly develping my indicators and likely a GUI for my spreading on NT7. Autospreader would be great but to expensive on a monthly base and AMP + Autospreader on a transactional base ... I'm not sure about it

Regarding TT Autospreader... x_trader pro will certainly cut down you development time but scalping intraday may be out of the question. In high liquidity spreads markets like STIRs and bonds, it will be difficult for a small trader to get fills because of lack of volatility and time pro rata matching algorithm that favors large orders. In more volatile spread markets (grains, energies) you can, and likely will get hung on your hedge order because HF Traders know exactly where autospreaders are working and will take advantage of that because they are just faster. Co-location won't be much help here if they know what you are doing.

Exchange-based spreads are good where available but you may need to pull out to a longer timeframe.

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  #34 (permalink)
Trading Apprentice
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If there are times where the NOB seems directional, don't fade it. In fact, go with it because the order flows are like a freight train.

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  #35 (permalink)
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Fat Tails View Post
The spread seems to follow the price moves of ZB or ZN, as ZB is more volatilite than ZN. It should be simpler to trade ZB. Or is there anything that I did not get?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

I know this post is abit old, how do you get the spread differential indicator?

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  #36 (permalink)
Seth
Salt Lake City, Utah
 
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I have a Spread indicator I wrote for NT8. I didn't post because I wasn't confident that I did it correctly because I can't see the exchange traded spreads to compare with. However, the indicator seemed to help today when we saw a big run in the NOB spread. I'll try to put it up this weekend.

To Fat Tails question about why not just trade ZB, I think that misses the point of trading a spread. A spread trade has a higher probability. It's hard to say what the day to day movement will be, but we do know that we are at the start of the Fed raising rates. So we know that the yield curve should start to flatten, and we should buy the NOB. That means buy the 5/10 year and sell the 30 year.

And sure enough we saw that today. The 5 and 10 year notes made big runs to the upside, and the 30 year barely moved at all. You could have bought the NOB spread for a high probability small profit. You can also use the information to determine what product to trade.

Also while I'm at it... Dear CME, please publish the exchange traded spread ratios in an xml file instead of a PDF document...

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  #37 (permalink)
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TWDsje View Post
I have a Spread indicator I wrote for NT8. I didn't post because I wasn't confident that I did it correctly because I can't see the exchange traded spreads to compare with. However, the indicator seemed to help today when we saw a big run in the NOB spread. I'll try to put it up this weekend.

To Fat Tails question about why not just trade ZB, I think that misses the point of trading a spread. A spread trade has a higher probability. It's hard to say what the day to day movement will be, but we do know that we are at the start of the Fed raising rates. So we know that the yield curve should start to flatten, and we should buy the NOB. That means buy the 5/10 year and sell the 30 year.

And sure enough we saw that today. The 5 and 10 year notes made big runs to the upside, and the 30 year barely moved at all. You could have bought the NOB spread for a high probability small profit. You can also use the information to determine what product to trade.

Also while I'm at it... Dear CME, please publish the exchange traded spread ratios in an xml file instead of a PDF document...


Also with spreads, there's an exploit there. There's NOB Spread; and there's 2 outright ZB & ZN. Thus i have 2 ways to get into and out of the trade, through the NOB Spread or both outright. This helps alot when you can see a big offer on let's say ZN; but at the same time, you are able to get the ZN sell at that price through the NOB Spread, and you can scratch the ZB pretty easily. Compare to trying to get the ZN fills. Or you might scratch the ZN as the offer is thick and make a tick or 2 on the ZB outright.

However NinjaTrader doesn't show the spreadbook. Thus I can only execute through TWS (CQG & TT only links to a few Brokers that pretty much either for HNW or the commission is too much to scalp in Australia)

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  #38 (permalink)
Seth
Salt Lake City, Utah
 
Futures Experience: Beginner
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Spread for NT8: https://futures.io/local_links.php?catid=27&linkid=1870

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