Bund Bobl and Schatz Thread

This is a discussion on Bund Bobl and Schatz Thread within the Commodities & Money Markets forums, part of the Markets category; Eurex - Fixed Income Derivatives contract specs at the exchange...

Reply
 
LinkBack Thread Tools Search this Thread
Old Feb 29, 2008, 7:41pm   #57
 
Directional's Avatar
Joined Feb 2005
Eurex - Fixed Income Derivatives

contract specs at the exchange
__________________
Directory of Prop Trading Firms here.

Interesting articles about proprietary trading, including whether you should pay a prop firm for training (don't).
Directional is offline   Reply With Quote
Old Mar 2, 2008, 12:04am   #58
Joined Nov 2007
out of interest whats classed as big size in the schatz
crude_lover is offline   Reply With Quote
Old Mar 2, 2008, 1:44am   #59
Joined Jan 2008
buy 'em started this thread 3000-5000 lots bid/offered
buy 'em is offline   Reply With Quote
Old Mar 2, 2008, 9:21am   #60
Joined Jun 2006
Buy 'em,

How do the US 2, 5, 10 and 30-year treasuries compare to Eurex's in terms of ease/difficulty of trading - good opportunities, better or worse?

Grant.
grantx is offline   Reply With Quote
Old Mar 2, 2008, 12:27pm   #61
Joined May 2005
Could anyone please go over the principle of scalping with the book again.

Did I get it right: Big orders on the bid or the ask are seen as a kind of wall (micro support and resistance). You see that it holds and then step in front?

What about time & sales? Could this be helpful as well or is it useless, because the information is already too old.

I know that a lot of expirience is involved, but I would like to know about the general framework.

Thanks....
mckaldey is offline   Reply With Quote
Old Mar 2, 2008, 1:01pm   #62
Joined Jun 2006
http:[IMG]//www.trade2win.com/boards/attachment.php?attachmentid=33896&stc=1&d=12044592 70[/IMG]
Attached Thumbnails
dom.bmp  
grantx is offline   Reply With Quote
Old Mar 2, 2008, 1:29pm   #63
Joined Jun 2006
Mckaldey,

Please click on the attachment above.

Here are a few of my ideas. If you are looking to buy (or sell), wait until Time and Sales (left column on each ladder without the Time) starts to show buy (sell) orders going through, ie don’t buy when sell (buy) orders are going through.

In the middle ladder for the Schatz let’s assume you are looking to sell. First, I would wait until the offer size of 242 is taken out. It’s the smallest size on the whole ladder and could go in 1 or 2 trades, regardless of current market direction. Unless more sellers replace this, the price will tick up and you will get a higher bid/selling price. We will then have .550 bid, .555 offered. If the bid size is reasonable, ie similar to the majority, it’s not a bad place to sell.

But assume the sizes on both sides are roughly equal (large) with around 1500 on the bid and again, you are looking to sell. I would wait until the bid size has been reduced to around the 250 level. The key here is to watch the sizes, and speed at which trades are going through. If fast you know you will have to be pretty quick, possibly selling immediately without waiting for a reduction in the bid size. If there is less urgency you have the luxury of possible better timing. This is important because the larger the size, the greater the time it takes to reduce/eliminate. In the interim, predominant sentiment could have switched from bearish to bullish. Further, this potential “wall” will either remain or knocked down, reinforcing or contradicting your expectation.

This also relates to stops. If the trigger is at price X but the size is massive, then it may be premature as the likelihood of a breach is relatively small and you would have been stopped-out prematurely – watch the rate of attrition before deciding to close .

That’s it as a start.

Grant.
grantx is offline   Reply With Quote
Thanks! The following members like this post: fcmisc , joselopezde
Old Mar 2, 2008, 2:49pm   #64
Joined May 2005
Quote:
Originally Posted by grantx View Post
Mckaldey,

Please click on the attachment above.

Here are a few of my ideas. If you are looking to buy (or sell), wait until Time and Sales (left column on each ladder without the Time) starts to show buy (sell) orders going through, ie don’t buy when sell (buy) orders are going through.

In the middle ladder for the Schatz let’s assume you are looking to sell. First, I would wait until the offer size of 242 is taken out. It’s the smallest size on the whole ladder and could go in 1 or 2 trades, regardless of current market direction. Unless more sellers replace this, the price will tick up and you will get a higher bid/selling price. We will then have .550 bid, .555 offered. If the bid size is reasonable, ie similar to the majority, it’s not a bad place to sell.

But assume the sizes on both sides are roughly equal (large) with around 1500 on the bid and again, you are looking to sell. I would wait until the bid size has been reduced to around the 250 level. The key here is to watch the sizes, and speed at which trades are going through. If fast you know you will have to be pretty quick, possibly selling immediately without waiting for a reduction in the bid size. If there is less urgency you have the luxury of possible better timing. This is important because the larger the size, the greater the time it takes to reduce/eliminate. In the interim, predominant sentiment could have switched from bearish to bullish. Further, this potential “wall” will either remain or knocked down, reinforcing or contradicting your expectation.

This also relates to stops. If the trigger is at price X but the size is massive, then it may be premature as the likelihood of a breach is relatively small and you would have been stopped-out prematurely – watch the rate of attrition before deciding to close .

That’s it as a start.

Grant.
Great, thanks a lot Grant.

I'm familiar with time & sales and plan to apply it to filter trades and in regards of timing entries and exits. The DOM is absolutely new for me. From what you wrote I could imagine that it should be even better for timing entries.

You talked about the speed of orders getting filled or running trough. Do you use this as a confirmation that it's time to pull the trigger?
mckaldey is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
Bund, Bobl, Schatz? barryb First Steps 2 Jun 12, 2015 12:39am
Bund Bobl Schatz Fly novish Futures & Options 25 Oct 26, 2009 12:37am
bund/bobl/schatz mauzj General Trading Chat 1 Sep 10, 2009 7:38pm
Bund, Bobl, Schatz futures grantx Futures & Options 23 Aug 9, 2009 12:18am
bund/bobl/schatz LawnWranglers First Steps 2 May 5, 2008 6:36pm

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)