Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
If you want to trade London/EU session after work (I presume as you are AU based) then you could look at Euribor/Short Sterling/Eurodollar markets for rates. Due to CB intervention and ZIRP/NIRP these markets are pretty bad for retail.
For commodities you could look at products such as Sugar, Coffee, Cocoa, Brent Crude Oil, Low sulphur Gasoil and many others. Have a look at Ice Future Europe for a complete list.
For index spreads you could look at the 5/2 FESX/FDAX ratio spread.
Can you help answer these questions from other members on NexusFi?
@brentf if you see this, you should start posting again if possible.. u gave good insight especially on bean spreads.. good reading for a newbie to spreads like me
I was curious to know what strategies underlie your spread trading. Do you look for historical price differences between two markets to spread? In an algorithmic trading system, would such price differences trigger a trade signal? Perhaps you’re looking at seasonal tendencies. In this case, would dates on the calendar trigger a trade signal?
I have tried ES-NQ, with ninjatrader the best I could come up with was the attached chart.
How are you, or are you going to trade ES-YM?
with ninjatrader?
the issue with NT was executing orders on both legs quick enough
That is an A+ video, thanks. Ninja Trader will never work for spreads. I use Sierra Charts for the spread
charting, and I use Interactive Broker for spread trades. IB quotes a single price for the spread with
competitive (good) margins. The dollar value for the spread is (ES*50 - 5*YM). This is the value you
should chart. I have seen the spread go to a large unrealized loss, and the next day revert back to no loss
or a gain.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
Not familiar with NT but you can program automated spread trading in Tradestation so would assume you can on other systems as well. As @guidoisot said though, there is the issue of executing both legs quick enough, AND you will be paying the bid-ask spread on both outright contracts, rather than on any exchange listed spread which is normally a lot tighter. You just need to have two different charts, both with 2 data series on them for the spread, but one chart trades one leg of the spread and the other chart trades the other - but both with the same but opposite logic.
For example
Chart 1 might be, if data1 > data2 then buy next bar at market
while
Chart 2 might be, if data1 < data2 then sell next bar at market
This can be a little confusing as data1 and data2 are reversed. A way to avoid this would be to have 3 data feeds on each chart, data1 is the executable symbol, data2 is spread leg X and data3 is spread leg Y. So you first chart would be X, X & Y and your second chart would be Y, X & Y. Now you only have to reverse the order signals and not the code logic. For example
Chart 1 would now be, if data2 > data3 then buy next bar at market
while
Chart 2 would be, if data2 > data3 then sell next bar at market
With regards to ES-YM even if you dollar adjust as @datahogg suggests (ES*50 - 5*YM) you still don't have a market neutral spread. The ES contract currently has a $139K notional, while YM is $127K, so if you trade them on a one-one basis you'll be net buying or selling $12K of outright market exposure. To eliminate this risk you really need to be executing the spread as 10:11. This is different to trading for example the Crude Oil - Heating Oil spread, as each contract while having a different notional USD value, are both for the same quantity - 1000 barrels.
Tradestation does a lot of things well, but spread trading is definitely not one of them.
Their platform needs to include:
1. Market data for exchange traded spreads
2. Ability to actually trade these exchange spreads
They have been telling me for YEARS this was right around the corner, but it never shows up. Legging is the alternative, but is dangerous in runaway markets, and definitely more expensive for slippage cost.
Pls forgive the noob question. I am looking on seasonalgo, and they have a good spread to enter around about now.
It's selling the GEH19-ZFU18.
I am experimenting with trying to create this in IB. But I'm struggling to see how seasonalgo get the price of 129,699
when the individual quotes are :
GEH19 - 97.1975
ZFU18 - 113.2929688
I cannot post a link or image as I do not have enough posts on here.
Can someone kindly show me where I am going wrong?
