Another day trading Euroswiss


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On a_gnome's request, I did a diary of my day today. Posted unedited, as written:

7:21 General prediction for today: Sell off first as people digest ECB / finance comments, and better stocks. Then

buying on slightest bit of panic (caused by what, I don't know - ZEW is likely to be quite good news compared to

what is feared by the market, but who knows?). A good range trading day, in other words - I don't like these much as

I prefer a bit of movement.If GB CPI is low (fat chance!) I may trade short sterling on it. If it's high then people

will probably sell having forgotten the high PPI yesterday. So either wya there might be a good buy there. On Swiss

I currently have 10 30 lot buy orders in, 8 30 lot sell orders - some of these are at silly levels to catch "stupid"

orders, some of them are so I have better priority, I'll pull the ones I don't want as we come to the opening.

Certianly I wouldn't feel comfortable with a 300 lot position!

7:30 no trade on opening (wasn't bold enough with my shorts). Probably a big move down coming!

7:35 Buying pressure coming in. Will be interesting to see where the repo is at 8.00 - it may be lower now, they've

been raising it for a while to stabilize libor

7:36 big buys taken out...

7:42 - tempted to hit 32s (going long) on March. Have bids in below too.

7:43 - hit them, with a 30 lot iceberg with 2 lot tranche size (out of boredom - in other words 15 2 lot orders).

While I've said I don't go for one tick much any more, going long on this front month I'm likely to have to if I

want out of the position by breakfast. I've put in an invisible order at 33 for that reason, so I need to remember I

have that in, chances are I'll be putting in a proper limit order anyway. But we'll see where the repo goes.

7:45 Buying coming in back months.

7:47 Nice big bid at 31. More buying at 32.

7:48 Pulled invisible order, put proper one in @ 33 . 32s about to go. And they're gone.

7:50 bit of a rally in Euribor, bund, etc. (My definition of "rally" may be known to others as "noise")

7:56 If I'm not out before the repo then I'll go for two ticks on this, I think. The only thing irritating me is the

dax furues.

7:57 some selling into 32...

7:58 someone stuck in 100 at 28, 100 at 27, 100 at 26. Something to think about maybe, not sure how to interpret it.

8:00 Repo up, one basis point. Shame I missed trading the gilt opening!

8:01 Associated markets coming off a bit. Again, the rational thing is to call this noise, because it mostly is...

But it does move us, as I am a noise trader more or less! Unlikely much will happen soon. With respect to UK

CPI/RPI, m current plan is to buy short sterling at some level or other, will interpret the figure as it happens

and probably end up staying clear. If I didn't have a swiss position I'd be trading the gilt, I can trade one or the

other but when I try both I fail miserably.

8:07 going for two ticks now on 32s, will have to be very patient though. There is some risk here. But if the 33s

trade the 34s will. Or so it looks.

8:11 I smell a rally coming

8:12 Someone hit 100 lots at 33. I'd be out by now (given the priority algorithm) if I'd been selling there. This is

the risk of going for two ticks...

8:16 Rally petering out for the moment. I'm still confident of getting out at 34, but if 32 goes offered then of

course I could have taken one tick twice instead. Although I think it's unlikely 32 will trade again in size

8:19 33 bid, jolly good.

8:22 nice rally in euribor and bund, new highs in latter at 8:23

8:23 not much there at 34 now... 73 lots offered of which I am 30.

8:26 oh dear, 33s were sold into. More offered at 34. Incidentally if 65s trade on June then the 34s on March will

trade due to a spread at 31.

8:27 good bid at 33 again. Had previously gone implied only.

8:30 not much happening really, stocks coming off a bit (new low on YM just then), FI going up, which is helpful.

Just a waiting game atm.

8:32 damn, 580 offered at 34. Looks like a real order too! May have to consider hitting 33s.
At least hte market is

going up (new atm

8:35 Most 33s have been pulled. Never mind, I'd be happy to be long at 33, and so am definitely happy to be long at


8:37 Has to be going up now, surely... new highs on bund. Treasuries and Euribor looking good.

8:41 all the 33s are gone, keep being sold into.

8:44 380 bid at 33 (although 385 of them are implied from December)

8:47 good news from Euribor... and from back months swiss... and from new low on dax, and us sotkcs.

8:50 bugger, a ****** in at 34. Id' assumed these guys had got out of their shorts on Friday (in fact open interest

on March tends to support this view). On teh bright side have sold 4 lots at 34 so far. Buying another 4 at 33. I

think the 34s will be plled soon anyway.

8:53 on second thoughts probably isn't a ******, just quite a few big orders (maybe from ******s?.)

9:00 selling coming into the Dax, probably because of some company news of some kind.

9:15 705 offered at 33 now (probably fraudulently), so I'm 30 long again. Cery irritaitng, going out to get


9:30 not much happened when I was away, a bit more buying came in.

9:30 as I typed that I thought... 9:30! cpi! Made 20 ticks on short sterling (buying it as predicted), it's got a

lot more momentum in it but I don't trade sterling that much, happy to make £250 for ten seconds work. Could have

been a lot more very easily if I'd been prepared / competent.

9:42 still eating breakfast (pronounced diabetes). Trend still seems up. ZEW at 10, my main worry is that it may be

positive, although I judget this as fairly unlikely.
33 gone bid, some selling there though. Lots of 50 lot sells on

March today, might start to think about that.

9:54 bit of a rally, may be fear before zew. Nothing vrey exciting to report.

9:58 bit of tension now, speaking clock about to go on, will have to be prepared for tragedy with March position

(very unlikely though). Often you can tell if it's unexpectedly good or bad by watching the bund rather than the

announcement itself.

10:00 index came out first better than expected. Luckily the current figure is completely **** - not too easy to

interepret apparently but I see the current figure as more important. Other markets seem to be thinking differently,


10:03 more bid at 32.

10:07 a bit more common sense coming back into the other markets

10:11 or maybe not. I suppose current conditions is a bit too... current... for futures

10:13 292 bid at 33 (it had just gone offered before!) Hooray. Plenty o nice buying in June. Bund coming off quite a

bit though.

10:15 and somoen hits the 33... Euribor coming off too. Notice I haven't made any more trades yet? Bit rubbish!

There's been a lot of action in June but I don't like it at these levels. Last time I traded it I made quite a lot

going 60 lots long on Trichet's speech.

10:18 Capitulating... getting a 30 lot order in at 33, which will be the priority order. Rather irritating.

10:23 also offering at 65 on June (maybe). If the market wants to go down then so be it.

10:29 possible I may pull the 65s (although have a bitmore company there now). 64 is probzbl going to be reluctant

to trade and really on June I'd like to be taking 2 ticks at least.

10:40 out of 25 at 33 now. 7 short at 65, in to get out at 63 at present.

10:44 it's going to come off....

10:45 out of all 33s, got a bigger short at 65 (someone bought 65 in fact, but because of aspread with March 33s

traded as well)

10:50 not looking so compelling a sell now.

10:54 looking more attractive again

11:02 stupidly dipped into Euribor based on what someone else in the office saying a big sell just happened without

even thinking. Will probably make money but shouldn't have done it without thinking!

11:04 Actually scratched it as I had no business having it in the first place. I am trading swiss, not Euribor!

11:10 stocks up nicely, this short is looking better and better (not that 64 is offered yet, in fact the bid is

building up, but never mind)

11:15 There's me saying that, and 65 goes bid (at least meaning I'm now a full 30 lots short). 11-12 very little

happens usually so will be sitting on this a bit. Am keeping track of FRAs as well. Main problem, as mentioned

above, is it takes a lot more to send this down than up. And amusingly 33 is bid again!

11:18 Yet more highs on US index futures.

11:24 nice selling going on. 33s hit on March, some sold on June I believe through the spread. Bund coming off and

stocks up. Good time to be short on Euroswiss. Although another 100 bid has come in at 33. And it's sold. Less there

at 34 now, I think they hit 33s but not certain. needs monitoring.

11:27 And again with the 100s being bought/sold. Fairly hard to interpret.

11:32 ****ing trade you ****, jesus

11:32 yay! 1154 offered at 65. Sometimes (actually, to give them their due, usually) the ******s are on your side :D

Just got to be careful they're not trying to get filled at 64 and go long. I doubt that that is the case.

11:34 pulled, not very surpirsing...

11:39 also not surprisingly, swiss libor is up.

11:45 arguing with a stupid woman from morningstar who seems to think track record is a good way of assessing mutual

fund managers. Unfortunately she's on the TV.

12.04 64 offered now... ti's going dooooooooooown (thanks GM)

12:19 too impatient, got out at 64. Back in to sell at 65.

12:21. Maybe right thing to do... 440 bought at 33.

12:27 awww, 63s trading (came from 64s - was spread trading caused by sep)

12:34 coming off very nicely now. Offering 33 and 64. Other months a bit too dangerous at these levels for a

convincing short.

12:38 63 is offered, feel a right **** for getting out at 64.

12:51 64 bid again, some size to it.

12:52 sold 30 lots at 33, this is a one lot thing; I'll buy double at 32 at present, sell double, etc etc. There is

*nothing* aboe the market on March at present so I've put in some orders to collect panic if the market goes up.

12:56 486 offered at 33, that's what I like to see.

13:01 US stocks coming off a bit, probably some companyy news

13:01 and then going back up. As I've said, I like noise :)

13:03 out of 1 lot on a 48 lot... when I'm 60 lots of a 400 odd lot buy... Shows the importance of understanding

order priority. Anyway watching stocks climb now. Still buying double though.

13:04 out of everything, 30 long now at 32, let's see where this goes.

13:06 worked out it's almost certainly the buffett bond insurer thing causing stock rally. As I don't understand the

details of this well enough I'm trying to scratch at the moment.

13:19 looks like i've really ****ed this one up, sold double at 31 as it looked to be shooting down.

13:28 and just missed a chance to scratch. Now I have more understanding I think this move will probably be

sustained over the next couple of days in other markets, but I'm a day trader. ****.

13:33 Even more stupidly, just bought double at 32.

13:35 and got rid of what I bought double. Time to take a 2 minute think.

13:38 right, looks like March is a bid 31, offer 33 for the time being. I'm still around five hundred quid up after

commission on the day but this sort of stupidity will lose you money very quickly.

Main problems:

1. Not working out reason for quick movement in market.
2. Trying to join flow at stupid level. In general my reaction was stupid, turning a 30 or nill tick loss into a 60

tick (and potentially worse) one. I could have traded a more volatile market and made qutie well from it.

13:57 changed my mind about this being a significant event from a medium term perspective.

14:09 offers building up at 32. Even worse there's some holes in the soles of my shoes so will have to buy some

more. And of course 63 will be offered.

14:21 worked out my actual profit, and I'm barely four hundred up after costs. Would be well over a grand if I

hadn't been a retard on March. AGGggggggggggggggggghhhhhhhh

14:23 just noticed where the CHF is on Reuters... On the bright side I've made £50 on a spread bet. I keep going

long CHF against Euro or USD (in pracitce going short) as I'm convinced the SNB is less likely to cut than ECB/FED.

Which reminds me: Anyone want a capital spreads invite? £70 bonus, then you invite another t2w member and get

another £70 bonus. I get £70 out of that..

14:27 and US market is about to open. I reconfigure reuters a bit to show cash market.

14:35 not much going on, which is a shame. Offering 64 is my closest to market trade.

14:54 forgot to mention I was bidding 31. 1 lot long there. Have pulled 64s, persuading other members of the 30 lot

brigade to do the same.

15:01 and now it's 1004 offered at 64. Never mind, it's a bit dangerous at this time. 5 long at 31, pulled the rest

of my buys as I can't really call march

15:11 had to scratch that, 1000 got sold, luckily quickish reactions saved me...

15:12 and now the bids come in. I've no interest in getting into a position after this time in tehse circumstances;

got to be stupid order catching. I'll put this on t2w now though.

So in conclusion, this was an example of crap entries, crap exits, and everything in between. But it would have been intellectually dishonest to cherry-pick a good day, so up it goes! Net profit was £423 in the end (excluding the spread betting), although as mentioned I'm only on a 50/50 profit split.

Final word: The worst aspect of my trading today has been a lack of patience. This is usually the case.
Very interesting again. As a non STIR trader could you explain how the order priority works? I know that it pays to put in many small orders rather than one big one but I'd be interested to know the details.
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Yeah, there's three parts to it.

First you get a priority order, which is the first person to put a bid or offer at a price, so long as it's between 25 and 500 lots (on Euroswiss and Short Sterling - it's twice that on Euribor). This assumes that it is the best bid or offer, you can't just stick GTCs in at every level and get priority that way.

Then you get a time-based pro rata algorithm, where effectively your proportion of a fill is your time position in entering the order multiplied by the size of your order. So bigger orders get bigger fills, older orders too. So stick in a few 1 lot orders and you'll reduce the priority of other orders after you, rather than getting better fills yourself as such. But you'll get warned by LIFFE quite quickly.

Other markets use different order allocation. For example, the gilt is strictly FIFO as I understand it (certainly seems to be in operation). Others are pro-rata (some of them with priority; obviously a FIFO algorithm has priority by definition).

There are other subtleties when you modify your order size and with implied orders, but they aren't very exciting!

More info on the order fill allocations:
For what it's worth, on further reflection, another stupid thing I did was getting involved in a perceived market move when I didn't fully understand the move. There was also some panic in how I approached things.

Essentially, I needlessly lost £700 today from what should have been a fairly healthy P & L (and lost at least double that in opportunity cost, of course, but that doesn't irritate me anything like as much). Others learn from these mistakes, I certainly aim to!
I really enjoyed reading this thread, and your older one on Euroswiss. Very interesting to "watch" an outrights scalper at work (y)

thanks for posting this