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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)
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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)
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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)
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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)
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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)
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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)
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Hi @tigertrader, do you think bonds being dead has anything to do with the relentless QE?

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  #11 (permalink)
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shzhning View Post
Hi @tigertrader, do you think bonds being dead has anything to do with the relentless QE?



Before the COVID crisis hit the Fed's plan was to pay down $56 BB in debt next quarter. Instead they will borrow close to $3TT, so yes that's a lot of supply. And, the demand for bonds has been more in corporates than governments, so treasuries have been quite stagnant. Also, the magnitude of long-end issuance was greater then anticipated, and is the reason why you are seeing a bear steepening in the 5/30.

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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).

Thanks for the info


TopGunNote View Post
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.

this is why I never have $ P&L on my screen. Only Ticks.


Nice job on the spread trade @tigertrader. I had a profitable day as well.
I want to start looking at spread trading, I may do so over the next few months. It's a different type of trade that I may add to my overall strategy.

My testing and live results on 30Yr directional trades have been doing very well, so I dont see a reason to eliminate it. ... and yup, there's always a better way. agree with you there !

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  #13 (permalink)
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Jason11 View Post
Thanks for the info



this is why I never have $ P&L on my screen. Only Ticks.


Nice job on the spread trade @tigertrader. I had a profitable day as well.
I want to start looking at spread trading, I may do so over the next few months. It's a different type of trade that I may add to my overall strategy.

My testing and live results on 30Yr directional trades have been doing very well, so I dont see a reason to eliminate it. ... and yup, there's always a better way. agree with you there !

Just start trading treasury(ZB) in the jigsaw, do you mind give some advice? Are you looking at the tape or only focus on DOM? thanks

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  #14 (permalink)
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I was always told to keep your max size at about a tenth of the average size on the DOM so that you can get in and out fairly quickly. So If the average is 200 then the max would be a 20 lot.

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  #15 (permalink)
Montreal, QC, Canada
 
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tigertrader View Post
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?


Hey @tigertrader, I was going to PM you about this but then thought everyone might benefit from the answer if you have time.

Total rookie questions, but after spending a few hours searching around for spread info related to commodities, I'm not finding much. Hopefully you can help.

1. Since you are long GC and short ZB, I assume at a high level these 2 typically move inversely, and not necessarily on a 1:1 ratio, otherwise there wouldn't be much opportunity. Is that assumption correct at a high level?

2. Did you have an opinion on one or the other, GC or ZB, and the other basically acts as the insurance. ie. You maybe thought GC was going up, so you went long, and the ZB short was insurance incase it didn't? Or is it more of a "I know these are going to move, Im not sure which way, but if I do this spread I know one will be a bigger winner than the other is a loser"?

3. What sort of time frame, in general, are you looking at for something like this? A day, a week, a month, more, etc?

Again these are newbie questions, if you have any other resources to point towards, greatly appreciated from someone who likes to learn.

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  #16 (permalink)
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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.

Hello,

Do you know his approach to trading/which school he follows? I'm looking for an experienced trader in the Bonds to learn the craft, but it's not always easy to find someone credible trading the treasuries who's willing to teach the craft.

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  #17 (permalink)
Montreal, QC, Canada
 
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RubenPA View Post
Hello,

Do you know his approach to trading/which school he follows? I'm looking for an experienced trader in the Bonds to learn the craft, but it's not always easy to find someone credible trading the treasuries who's willing to teach the craft.

Look up John Grady of No BS Day Trading, not saying he's the answer to every and all bond trading question, but that is what he specializes in, scalping bonds. I like his teaching style as well, just calm and collected. He's not all salesman-ish like most people just trying to huck a system or course. There's plenty of free content of his both on his channel as well as the Futures.io channels on YouTube.

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