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30Yr. Bond Futures trading/scalping size ZB


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30Yr. Bond Futures trading/scalping size ZB

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  #1 (permalink)
Los Angeles, CA
 
 
Posts: 21 since Jan 2010
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Ok, so I couldn't find information regarding what's possible in-terms of scalping size on the 30Yr Treasury futures (ZB)

I trade (scalp) ZB for 3 to 5 ticks and was wondering if anyone else is doing something similar with size ? The average size on the bid and offer that I usually see is between 75-200. It seems to me that trading a few contracts- 10 or less would have no effect in terms of moving the market or ability to get filled at one price level, but I cant tell how big would be too big. How big would start to get slippage in-terms of getting fills at one price on stop orders and getting entirely filled on limit orders ?

Would it be possible to trade 25, 40, 50 contracts and have it fill the same way as it would with 2 or 3 ?

Anyone that currently trades the ZB and has insight would be appreciated !

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  #2 (permalink)
Legendary Market Wizard
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Jason11 View Post
Ok, so I couldn't find information regarding what's possible in-terms of scalping size on the 30Yr Treasury futures (ZB)

I trade (scalp) ZB for 3 to 5 ticks and was wondering if anyone else is doing something similar with size ? The average size on the bid and offer that I usually see is between 75-200. It seems to me that trading a few contracts- 10 or less would have no effect in terms of moving the market or ability to get filled at one price level, but I cant tell how big would be too big. How big would start to get slippage in-terms of getting fills at one price on stop orders and getting entirely filled on limit orders ?

Would it be possible to trade 25, 40, 50 contracts and have it fill the same way as it would with 2 or 3 ?

Anyone that currently trades the ZB and has insight would be appreciated !

I have 2 very obvious questions. Why do you want to "scalp" and why Bonds. Bonds have been trading sideways for almost 2 months, and liquidity has been all but absent for the same period. I traded Bonds on the floor for 30 years, and I am not trading them currently.

Then there's the issue of "scalping" Scalping implies you have the ability to get the edge on at least one side of the trade i.e, buy it on the bid, or sell it on the offer. You don't have that ability. But ignoring the misnomer, there are inherent problems (aside form the lack of liquidity) with short-term trading.

The shorter the time-frame (when trading), the more random the price action, the greater the capacity issues, and the greater the model risk. 1) You're going head-to-head w/ low-latency algos, and price action lacks path dependency 2) You're limited to how much you can make, by the very nature of the methodology i.e. it is difficult to have a high win rate and asymmetric payoffs due to slippage and commissions 3) What works today, probably won't be profitable tomorrow. Short-term strategies get gamed very rapidly.

What you are looking for when trading are departures in value that offer persistence while moving between two points, which is not as easy as it once was. So methods need to consider the constantly changing nature of a market's path dependency in terms of variability, duration and signal. A greatly reduced holding period and short-term strategies is counter-intuitive and self defeating in modern markets. Increasing your time frame eliminates these inefficiencies and allows for greater profitability.

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  #3 (permalink)
Los Angeles, CA
 
 
Posts: 21 since Jan 2010
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thanks Tigertrader for the reply. I agree with everything you said; maybe I misspoke when I said I was scalping. I trade with targets ranging from 4-7 ticks and an average hold time of 18 minutes.
Maybe thats more along the lines of Daytrading, I'm not sure what the correct name is. I'm certainly not trying to buy on the bid and sell on the offer for a tick or two, with edge.

The reason I want to trade bonds is because I'm profitable. I'm pondering the limits of what is possible using precise entries. I currently trade a 5 lot and see the execution the same as when I was trading 1.

I'd appreciate your insight as a veteran trader in terms of how sizing up would effect current electronic execution. In other words, how large of a size can be traded that would execute in a similar manner to single lots? Could you trade a 15 lot and have it execute in a similar manner to 2 or 3 ? When does the size become an issue when trying to get an entry and exit a specific price levels?

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  #4 (permalink)
Legendary Market Wizard
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Jason11 View Post
thanks Tigertrader for the reply. I agree with everything you said; maybe I misspoke when I said I was scalping. I trade with targets ranging from 4-7 ticks and an average hold time of 18 minutes.
Maybe thats more along the lines of Daytrading, I'm not sure what the correct name is. I'm certainly not trying to buy on the bid and sell on the offer for a tick or two, with edge.

The reason I want to trade bonds is because I'm profitable. I'm pondering the limits of what is possible using precise entries. I currently trade a 5 lot and see the execution the same as when I was trading 1.

I'd appreciate your insight as a veteran trader in terms of how sizing up would effect current electronic execution. In other words, how large of a size can be traded that would execute in a similar manner to single lots? Could you trade a 15 lot and have it execute in a similar manner to 2 or 3 ? When does the size become an issue when trying to get an entry and exit a specific price levels?

Iím not quite sure why youíre asking the question if you are already trading Bonds and are profitable. If you are sufficiently capitalized, then just start your increasing your size, liquidity permitting.

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  #5 (permalink)
Los Angeles, CA
 
 
Posts: 21 since Jan 2010
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I'm asking the question because I'm curious to know from other traders who currently trade large size. I'm increasing slowly as I grow the account.

Any other traders have experience going from single contract to 10 or more ? and what the effects are in this product.

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  #6 (permalink)
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Jason11 View Post
I'm asking the question because I'm curious to know from other traders who currently trade large size. I'm increasing slowly as I grow the account.

Any other traders have experience going from single contract to 10 or more ? and what the effects are in this product.

The greatest effect is psychological. 10 contracts in the Bonds is no biggy, liquidity wise...

BTW: If you're going to be trading 10 lots in the Bonds, you should have at least a hondo in you account.

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  #7 (permalink)
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Jason11 View Post
Ok, so I couldn't find information regarding what's possible in-terms of scalping size on the 30Yr Treasury futures (ZB)

I trade (scalp) ZB for 3 to 5 ticks and was wondering if anyone else is doing something similar with size ? The average size on the bid and offer that I usually see is between 75-200. It seems to me that trading a few contracts- 10 or less would have no effect in terms of moving the market or ability to get filled at one price level, but I cant tell how big would be too big. How big would start to get slippage in-terms of getting fills at one price on stop orders and getting entirely filled on limit orders ?

Would it be possible to trade 25, 40, 50 contracts and have it fill the same way as it would with 2 or 3 ?

Anyone that currently trades the ZB and has insight would be appreciated !

I "met" a fellow years ago that always traded a 16 lot on the ZB and used a 3 tick profit target.

He never complained about slippage, his biggest complaint was about the fees he paid his broker, typically > $6,500 a month
(He didn't own a "seat", he just traded for his own account).

I think it takes a special kind of mental fortitude to get comfortable looking at DOM that's flashing a $500 change on every tick.

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  #8 (permalink)
Legendary Market Wizard
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TopGunNote View Post
I "met" a fellow years ago that always traded a 16 lot on the ZB and used a 3 tick profit target.

He never complained about slippage, his biggest complaint was about the fees he paid his broker, typically > $6,500 a month
(He didn't own a "seat", he just traded for his own account).

I think it takes a special kind of mental fortitude to get comfortable looking at DOM that's flashing a $500 change on every tick.

sweet 16!

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  #9 (permalink)
Legendary Market Wizard
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The point I'm trying to make, and I enumerated the reasons above, is there are better ways to make money than "scalping". I put this spread on last night and it's only an eight lot. Imagine if I just bought the gold outright. And my main instrument is /ES/NQ! Short -term trading a "dead" market does not make sense. You should always ask yourself, what strategy will allow me to make the most money?


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  #10 (permalink)
Madison, NJ
 
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Hi @tigertrader, do you think bonds being dead has anything to do with the relentless QE?

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