B C 18,000 Q 2,000 P -200.00 BBRY 8.90 V 9.00
B C 5,000 Q 330 P -125.40 EWM 14.77 V 15.15
B C 19,208 Q 180 P -338.40 IWM 104.75 V 106.63
B C 7,770 Q 1 P -4,450 ES12-14 1836.00 V 1925.00 SL 1771.00 @ -8%
Total P/L -5,113.80
Net Liquidity 42,678.20
ES Initial margin 5,060
ES Maintenance margin 4,600
Excess equity 37,618.20
Notional value of ES 96,250
Max loss 53,571.80
QM11-14 81.525 VIX 28.20
USDJPY 105.719 (back down from 109.963 levels)
EURUSD 1.27992 (strengthening back up from 1.25047 level while DAX at new lows)
Very unusual lack of liquidity in futures book Monday causing huge swings. Precedent only in times of distress. Reports also of data dissemination problems at brokers. VIX spike above 30. Now back down.
Idea: monitor market liquidity and volatility for distress. Use as leading indicator. Cf. Greenspan OIS usage.
Trading: use liquidity as indication of bottom cf. 1987 / when to remove hedges.
SARS vs Ebola
Air borne vector
High mutation virus hard to vaccinate against
1 November 2002 – 31 July 2003: Cases 8,273. Deaths 775. Mortality 9.6%.
Primary region affected Asia.
29 cases in US and Europe. Zero deaths. Zero Re-transmission.
Bodily fluids vector
Active vaccine development
Origin 28 December 2013 - date. Headline capture September / October 2014.
14 October 2014: 9,216 suspected cases and 4,555 deaths reported. Mortality 49.4%. Potential under reporting.
Primary region affected Africa.
17 cases in US and Europe. 4 deaths. Re-transmission in Spain and US.
Vision: US and Asia macro and company fundamentals solid. Ebola contained. Watch ECB and Europe on exit of Ukraine situation.
The following user says Thank You to Spartan for this post:
1. Copy or save .cs file to: My Documents\NinjaTrader [version_number]\bin\Custom\Indicator
2. From the Control Center: Tools > Edit > NinjaScript > Indicator
3. Click on file name in the list that is displayed
4. Press F5 to compile. F5 compile actually recompiles entire folder of .cs scripts.