Tuesday 26 April 2011
Profit!
Finally the 4 day wait is over, the fly opened marginally lower and came down a little over the first 3 hours. It was trading 53s to 57s late on Thursday and I bought this morning 47s and 44s, so pretty happy to have held on to them! That puts Thursdays net to +965 euros, making it one of my best days. Today is really quite boring, plus I think I am feeling ill, but I have about 1000 lots to do this week to get onto the eurex rebate scheme for another year.
Saturday 23 April 2011
Manipulating the order book
I just wanted to summarize on what I learnt today as I thought it was really valuable to anyone who is trading, and even if you don't learn anything from my post I am sure you will be able to from reading the thread on t2w.
Its always been my intentions to trade outrights eventually. I do struggle when it comes to reading the order book, but it is a tough thing to do! It seems so random and crazy. Although I knew the markets are massively spoofed and somewhat controlled by a few big guys, this thread really opened my eyes further into these three markets that I trade, the bund bobl and schatz.
http://www.trade2win.com/boards/money-markets/29286-bund-bobl-schatz-thread.html
It starts getting good around page 12 onwards. To summarize briefly, it talks about how the markets are maniuplated by a few big traders, which is something I already knew. Although people posted some really insightful information. Firstly they talk about two types of orders, one from locals and the other from paper.
"Since locals are liquidity providers and usually trade the opposite of paper and fade large moves they should be sitting on the bids/offers and not giving up edge. When every tick counts they don't want to give up edge so I could find it entirely possible that most locals are making the bid/offer and not taking the bid/offer. While on the other side the paper which is usually longer term does not want to mess around with giving up a tick or two and just wants to get the order filled and move on."
An interesting point was these big traders are doing everything to exergerate moves, they try to push the market further in one direction, then locals will have to cover their positions aka puke their positions and this drives the market further and the paper then takes the opposite side. The really interesting thing I read was about crossing, which from my understanding is big traders buying into themselves to create the illusion that there is buying in the market. If a trader is offered at a price and has a large proportion of the offer he doesn't just have the option to flip it across (printing a small buy on the order book) or create a spoof on the bid he can buy into himself which neither makes him long or short. Apparently crossing is more likely to take place when the markets are quieter and attempts to get other traders to push the market where they want it to be. Most traders know its smart to follow the paper, as you typically lose money going against it, so this is why the paper is trying hard to fool others and trick you into taking the other side of their trade. Fascinating thread though and worth a read!
Its always been my intentions to trade outrights eventually. I do struggle when it comes to reading the order book, but it is a tough thing to do! It seems so random and crazy. Although I knew the markets are massively spoofed and somewhat controlled by a few big guys, this thread really opened my eyes further into these three markets that I trade, the bund bobl and schatz.
http://www.trade2win.com/boards/money-markets/29286-bund-bobl-schatz-thread.html
It starts getting good around page 12 onwards. To summarize briefly, it talks about how the markets are maniuplated by a few big traders, which is something I already knew. Although people posted some really insightful information. Firstly they talk about two types of orders, one from locals and the other from paper.
"Since locals are liquidity providers and usually trade the opposite of paper and fade large moves they should be sitting on the bids/offers and not giving up edge. When every tick counts they don't want to give up edge so I could find it entirely possible that most locals are making the bid/offer and not taking the bid/offer. While on the other side the paper which is usually longer term does not want to mess around with giving up a tick or two and just wants to get the order filled and move on."
An interesting point was these big traders are doing everything to exergerate moves, they try to push the market further in one direction, then locals will have to cover their positions aka puke their positions and this drives the market further and the paper then takes the opposite side. The really interesting thing I read was about crossing, which from my understanding is big traders buying into themselves to create the illusion that there is buying in the market. If a trader is offered at a price and has a large proportion of the offer he doesn't just have the option to flip it across (printing a small buy on the order book) or create a spoof on the bid he can buy into himself which neither makes him long or short. Apparently crossing is more likely to take place when the markets are quieter and attempts to get other traders to push the market where they want it to be. Most traders know its smart to follow the paper, as you typically lose money going against it, so this is why the paper is trying hard to fool others and trick you into taking the other side of their trade. Fascinating thread though and worth a read!
Leaving a trade on for 4 days
Eurex was closed yesterday and also is closed on Monday. I knew this on Thursday but decided to leave a position on which I had averaged into once. For a scalper this is pretty scary, the size I have on is a decent size (relative to myself) for scalping as well. Although I would often leave this size on overnight, but 4 days is a little different.
I guess it could open quite far away from me as the markets are shut for 4 days but the thing is, I am short the bund/bobl/schatz FLY which is on such a high right now and I think it was likely pushed up too far on Thursday as many people would need to be flat. Also not many people are going to put new positions on so I think it drifted and if there is no major news I think it will open lower. I also had a really good day on Thursday, it's hard to know how much I made because I carried positions over from Wednesday and took a bigger loss on them by holding it. And also I still have this trade on which is about 200 to 400 euros offside from Thursdays prices, but if I include only the trades I opened and closed on Thursday I made 1025 euros! which would beat my biggest day. My daily results always include trades I opened on that day no matter when I close them so I am hoping to close the trades I still have on somewhere in profit.
I guess it could open quite far away from me as the markets are shut for 4 days but the thing is, I am short the bund/bobl/schatz FLY which is on such a high right now and I think it was likely pushed up too far on Thursday as many people would need to be flat. Also not many people are going to put new positions on so I think it drifted and if there is no major news I think it will open lower. I also had a really good day on Thursday, it's hard to know how much I made because I carried positions over from Wednesday and took a bigger loss on them by holding it. And also I still have this trade on which is about 200 to 400 euros offside from Thursdays prices, but if I include only the trades I opened and closed on Thursday I made 1025 euros! which would beat my biggest day. My daily results always include trades I opened on that day no matter when I close them so I am hoping to close the trades I still have on somewhere in profit.
Wednesday 20 April 2011
Working to scratch a bad entry
Just now I was looking to sell above 20 in the bund/bobl/schatz fly. I buy the bobl, sell the bund and everything tanks and I miss the schatz and end up selling 17s when its now 18 bid. A disaster having waited all morning for a price to trade to now find myself offside. It then went 20 bid 26 offered (it has a 6 tick spread) and then back down to 17 bid 23 offered. If you want to buy 17s and its 17 bid you will need each market to trade into you in turn without moving away from your ques so realistically you end up with 18s at best and typically around 19-21s.
During this very very small move up and back down all within 35 minutes, despite selling 17s I managed to make 5 ticks using an aggressive style holding a 3rd clip for minimal time possible. I start by selling a 2nd clip at 24 and then I go to take it off and get a quick profit using bobl and bund so remain short 2 clips, but improve my overall position. I then buy bobl looking to put a 3rd clip on but take immediate profit on it (equivalent of 3 ticks in the fly). I then sell 26s on a good leg and buy back at 25. I don't sit and wait for a better opportunity as I want to be in and out very quickly as having 3 clips on so tight together is risky. I then buy back everything at 21s, giving me 100 euros profit on a bad initial entry. Note I don't try to buy the last clip back at 17 because it already moved against me and now 20s are looking like a good buy and its seems im more likely to be able to sell above 21s, so I buy it back at 21 (aiming at 20s) and now I am looking to sell above 23. Even though I made most the money using 1 or 2 markets instead of all 3. I still would have scratched my 17s if I don't count the outright bobl trade and the bund/bobl trade. Just an insight into what im doing each day! :)
During this very very small move up and back down all within 35 minutes, despite selling 17s I managed to make 5 ticks using an aggressive style holding a 3rd clip for minimal time possible. I start by selling a 2nd clip at 24 and then I go to take it off and get a quick profit using bobl and bund so remain short 2 clips, but improve my overall position. I then buy bobl looking to put a 3rd clip on but take immediate profit on it (equivalent of 3 ticks in the fly). I then sell 26s on a good leg and buy back at 25. I don't sit and wait for a better opportunity as I want to be in and out very quickly as having 3 clips on so tight together is risky. I then buy back everything at 21s, giving me 100 euros profit on a bad initial entry. Note I don't try to buy the last clip back at 17 because it already moved against me and now 20s are looking like a good buy and its seems im more likely to be able to sell above 21s, so I buy it back at 21 (aiming at 20s) and now I am looking to sell above 23. Even though I made most the money using 1 or 2 markets instead of all 3. I still would have scratched my 17s if I don't count the outright bobl trade and the bund/bobl trade. Just an insight into what im doing each day! :)
Tuesday 19 April 2011
Bad luck, stress and huge positions
Gawd my head aches.. yesterday I was up 370 euros with minimal costs, went to the local shop came back.. saw the spread was on its high, sold the euribor, 2 seconds passed I didn't lift the schatz because there was no need, then... the US was given a negative outlook I was just short euribor outright and it climbed and climbed, I clicked buy, everything jammed and I couldn't put any orders in. 2 minutes passed and I was finally able to buy and bought it near the top of the initial move. I blew my day and was now reasonably negative, I was frustrated and sold the spread where I intended, sold it 1/2 tick higher with full size instead of half the size out of frustration. It's crazy what happens to me in these markets what more is there to say. I seem to be gifted at putting a position on seconds before unexpected news or big stops.
The spread moved up further and I went to sell another spread and bought the bobl which then instantly fell 4 ticks, the most extreme move in a couple seconds I had seen since returning over a week ago and doing 14 hours a day! I sold a price so low it was ridiculous, I sold the original spread and got 1 lot out of 10 and missed the next price too. I was printing down just under -1500 euros. I decided my stop for the day would not include the money I lost on the news as it would just mean I get stopped out too often. I brushed past my stop very slightly and held maximum size overnight.
The next day the 2nd spread I had sold was printing 20 ticks higher and I was feeling numb, but luckily it didn't open that high. But because of this I missed an opportunity to get out of my massively offside position. The opportunity lasted seconds so didn't feel so bad to have missed it. I got 1 clip of my 4 off and put it back on at the same price, the spread slowly came down throughout the day and I managed to get it all off. I was confused what my PNL really was as settlement prices make it complicated. I traded based on prices of last night knowing roughly what my PNL was, and early on my PNL spiked to -945 and now I have only 1 position on and it's showing +465 as I write. I believe I am quite close to scratching the two days now, a near 1500 euro recovery and a seriously stressful experience.
Update: Flat and done, up 40 euros over this two day period before costs. w00t ^^
The spread moved up further and I went to sell another spread and bought the bobl which then instantly fell 4 ticks, the most extreme move in a couple seconds I had seen since returning over a week ago and doing 14 hours a day! I sold a price so low it was ridiculous, I sold the original spread and got 1 lot out of 10 and missed the next price too. I was printing down just under -1500 euros. I decided my stop for the day would not include the money I lost on the news as it would just mean I get stopped out too often. I brushed past my stop very slightly and held maximum size overnight.
The next day the 2nd spread I had sold was printing 20 ticks higher and I was feeling numb, but luckily it didn't open that high. But because of this I missed an opportunity to get out of my massively offside position. The opportunity lasted seconds so didn't feel so bad to have missed it. I got 1 clip of my 4 off and put it back on at the same price, the spread slowly came down throughout the day and I managed to get it all off. I was confused what my PNL really was as settlement prices make it complicated. I traded based on prices of last night knowing roughly what my PNL was, and early on my PNL spiked to -945 and now I have only 1 position on and it's showing +465 as I write. I believe I am quite close to scratching the two days now, a near 1500 euro recovery and a seriously stressful experience.
Update: Flat and done, up 40 euros over this two day period before costs. w00t ^^
Saturday 16 April 2011
First 6 days trading remotely
The graph is net and it has indeed been a consistent week! It has been a long first week back, putting in just under 60 hours, so I guess my hourly rate after costs isn't amazing, but I watched loads of online TV, countless msn conversations and enjoyed every hour!
Wednesday 13 April 2011
Spread trading!
Nothing going on right now in the markets, so great time to show you what and how I trade.
I trade using ladders (shown below - click to enlarge) which is a very normal way to trade. the coloured numbers are the prices, on the left are buyers and on the right sellers and the numbers on far right is todays volume at each price. The green block highlights the last traded price.
The darker shades show the high and low for today which is quite narrow because I screenshot this less than one hour after the markets open. I trade the first two against each other and the last 3 which is a spread of two speads, also known as a fly. Below is the fly spread for monday, the idea would have been selling high and buying low because the spread is quite mean reverting intra day.
Although if you look at the bigger picture, the fly over the past few weeks.
You wouldn't realistically be selling this fly intra day on monday, although I remeber doing so for a quick profit. Its relatively low so you would be trying to buy the dips during the day. Right now the fly is really low, I picked up 205.94s last night which was nice. Long the schatz (2nd ladder), short the bobl (3rd) and long the bund (4th) makes you long the fly.
Today I am looking to see if it breaks down to 90s otherwise maybe buying something below 206.00. Although likely gonna miss out if it goes up.. but I bought below 00s loads of times last night and it never got past 206.05 so just watching for now as its very tight and could make a move down as its been trending down for a week. It opened up where it is now about 206.01s and as the range has been so tight I don't want to buy what could be near the high for the day because I think it's best to trade todays prices and only to keep in mind yesterdays.
I trade using ladders (shown below - click to enlarge) which is a very normal way to trade. the coloured numbers are the prices, on the left are buyers and on the right sellers and the numbers on far right is todays volume at each price. The green block highlights the last traded price.
Although if you look at the bigger picture, the fly over the past few weeks.
You wouldn't realistically be selling this fly intra day on monday, although I remeber doing so for a quick profit. Its relatively low so you would be trying to buy the dips during the day. Right now the fly is really low, I picked up 205.94s last night which was nice. Long the schatz (2nd ladder), short the bobl (3rd) and long the bund (4th) makes you long the fly.
Today I am looking to see if it breaks down to 90s otherwise maybe buying something below 206.00. Although likely gonna miss out if it goes up.. but I bought below 00s loads of times last night and it never got past 206.05 so just watching for now as its very tight and could make a move down as its been trending down for a week. It opened up where it is now about 206.01s and as the range has been so tight I don't want to buy what could be near the high for the day because I think it's best to trade todays prices and only to keep in mind yesterdays.
Tuesday 12 April 2011
Reflecting on the last 2-3 days
Well the spreads are really tight its been just over 2 days since I came back to trading. It's been tough to make money and so far I have found myself hovering around breakeven almost all day and then within half an hour I make a reasonable amount. So it's kinda of hard to leave the screen because you don't want to miss the move. I have spoken to friends who trade same thing and it seems to be how the markets are behaving. I have been doing 14 hour days, taking 3.30pm to 4.30pm off and taking a small break around mid day.
I have left a position on overnight every day so far including the weekend when markets are closed and all have worked out. It's already been quite draining but plan to stick to trading 7am to 9pm so I can give myself the best chance possible.
Today I traded pretty well I had a couple of spots where markets shot through me and I had to take an instant loss, the bund-bobl-schatz was very tight and I managed to get amazing prices by either luck or watching the markets carefully. The euribor-schatz spread trended up all day, retracing most the way but in a very tight range which was challenging to watch for hours incase something happened!
Regular updates to follow :)
I have left a position on overnight every day so far including the weekend when markets are closed and all have worked out. It's already been quite draining but plan to stick to trading 7am to 9pm so I can give myself the best chance possible.
Today I traded pretty well I had a couple of spots where markets shot through me and I had to take an instant loss, the bund-bobl-schatz was very tight and I managed to get amazing prices by either luck or watching the markets carefully. The euribor-schatz spread trended up all day, retracing most the way but in a very tight range which was challenging to watch for hours incase something happened!
Regular updates to follow :)
Friday 8 April 2011
Started trading!
Yesterday at 4.30pm I was up and running and traded that day till 8.30pm. Nothing much happened but I made a couple of profitable trades. Feels good to be back after a long 4 months.
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