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whats your definition of trading spreads?
TWI
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I have automated STIR spreads. Have to now avoid LIFFE unfortunately as they charge for mesages from automated systems but for eurex and cme this works. Getting to the final code was however a long and drawn out process so many contingencies to think about.
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twalker
how do they know the order is from an automated system?
or are you using an api and the platform provider (TT?) charges you as they have an agreement with LIFFE for api orders?
how do they know the order is from an automated system?
or are you using an api and the platform provider (TT?) charges you as they have an agreement with LIFFE for api orders?
TWI
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No, Liffe actually recognise the order as automated as TT in their wisdom decided to flag all automated orders at the request of the Liffe Exchange. Some other ISP's have not complied with this and as such TT realise they are losing business so in the next release they are allowing the tagging to be disabled but only from the server side i.e. the clearer. I will campaign for this but doubt the clearer will give a toss for a few locals and will not untick the box. Best bet is to avoid Liffe altogether which is, considering what a dog Euribor is becoming, probably the best plan of all. Silly thing is that it is impossible to place an order manually and then handle the execution/pulling automatically, if this was the case things would be a lot easier.
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i guess this is using some sort of inbuilt TT automation as opposed to your own proprietary automation program running through TT's api?
did liffe
a)figure they could make a bit more money out of auto trades
b) want to reduce their liquidity ( good move!!!!)
c) reduce the sitting orders on their system
d) someone with power at liffe has a friend who trades with liffe and wanted a clear shot at the goal!
did liffe
a)figure they could make a bit more money out of auto trades
b) want to reduce their liquidity ( good move!!!!)
c) reduce the sitting orders on their system
d) someone with power at liffe has a friend who trades with liffe and wanted a clear shot at the goal!
TWI
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I use my own proprietary automation but it uses the TT API.
With the ratio of messages to orders they allow before charging I am sure it is seen as another revenue stream. I know some of the bills going out to the unsuspecting have topped £17k/month. I was unaware they were imposing this message to lottage rule until the clearer rang me to tell me I was being charged a few grand one month last year for my system message "abuse". Liffe were as ever very arrogant about it when I tried reason.
I think of your points, all are relevant. They are having issues with Euribor and are trying to encourage new entrants into other contracts like Sterling, they also want to reduce the off market orders from autotraders stacking in the depth and using up bandwidth for nothing and finally there is no doubt that the new small trainees are a pain as they take some cream away from bigger players due to the pro-rata and as such there are some powerful names trying to squeeze them out.
With the ratio of messages to orders they allow before charging I am sure it is seen as another revenue stream. I know some of the bills going out to the unsuspecting have topped £17k/month. I was unaware they were imposing this message to lottage rule until the clearer rang me to tell me I was being charged a few grand one month last year for my system message "abuse". Liffe were as ever very arrogant about it when I tried reason.
I think of your points, all are relevant. They are having issues with Euribor and are trying to encourage new entrants into other contracts like Sterling, they also want to reduce the off market orders from autotraders stacking in the depth and using up bandwidth for nothing and finally there is no doubt that the new small trainees are a pain as they take some cream away from bigger players due to the pro-rata and as such there are some powerful names trying to squeeze them out.
twlker is your automation system through tradestation? im trying to write code i have the plan! but cannot seem to get a strategy into coded form on tradestatino to play the spread of 2 instruments in only works on one contract at a time...... or is your system manual code input into tt as a formula?
i see alot of people looking at other markets short sterling is one example but a few locals play this very well only a few months back liffe eanted to make half ticks in it but these locals put up a big fight and said they would stop trading it if they did this... also i hear through the grapvine that liffe are considering opening euribor into the us mkt hours.................
i see alot of people looking at other markets short sterling is one example but a few locals play this very well only a few months back liffe eanted to make half ticks in it but these locals put up a big fight and said they would stop trading it if they did this... also i hear through the grapvine that liffe are considering opening euribor into the us mkt hours.................
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twalker
i am going to assume that when you say 'proprietary' - that you mean it is your own analytical system that somehow you can program into TT and TT sends the signal - and you DON'T mean that you have written a program in Visual Basic or C and that program is using the TT API
if my assumption is right - you are not really using the API of TT -it must be be the automation part of TT that is flagged?
you could write a manual key stroke VB or C program that did use the TT API and that should not have an added charge as that would be nuts! - but of course..........
so if you write your own VB or C program that uses the API - there would be no way for someone to know if it is an automated program or manual keystroke for initiating the trades and it should avoid those added charges - 17K extra charges in a month - no wonder its been quieter in Bibendum
i am going to assume that when you say 'proprietary' - that you mean it is your own analytical system that somehow you can program into TT and TT sends the signal - and you DON'T mean that you have written a program in Visual Basic or C and that program is using the TT API
if my assumption is right - you are not really using the API of TT -it must be be the automation part of TT that is flagged?
you could write a manual key stroke VB or C program that did use the TT API and that should not have an added charge as that would be nuts! - but of course..........
so if you write your own VB or C program that uses the API - there would be no way for someone to know if it is an automated program or manual keystroke for initiating the trades and it should avoid those added charges - 17K extra charges in a month - no wonder its been quieter in Bibendum
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TWI
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jimmy1 - I do run systems on TS but these are directional in US markets and not scalpers. Easylanguage is a pain at times but most things can be done all be it in a roundabout way. Sometimes I have sat with my head in my hands trying to figure out how to code something on TS. All in all however I think it works well.
ST - You are correct I am not strictly using the API I have a VB app that cranks out exactly what I need to do and the bid/ask and volumes are then sent to TT autotrader which itself interfaces with TT API. When I enquired however about tagging, they assured me that even if I wrote direct to the API interfaces every trade would be tagged as automated by the server.
ST - You are correct I am not strictly using the API I have a VB app that cranks out exactly what I need to do and the bid/ask and volumes are then sent to TT autotrader which itself interfaces with TT API. When I enquired however about tagging, they assured me that even if I wrote direct to the API interfaces every trade would be tagged as automated by the server.
TWI
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I use TT Pro but it is considerably more expensive ~£1000/month
I am sure there are others and naturally it depends which spreads you trade and whether you are scalping or trading trends. TT is only necessary for very precise execution and only worth it if you are looking for that all the time. For other things including spreads on TS I would just suggest the use of limit rather than market orders.
I am sure there are others and naturally it depends which spreads you trade and whether you are scalping or trading trends. TT is only necessary for very precise execution and only worth it if you are looking for that all the time. For other things including spreads on TS I would just suggest the use of limit rather than market orders.
i think i will have to use a work around 1k a month for tt pro is a bit topy for me at the moment, im do spreads all day at work and im trying to put my work thoughts behind a strategy at home thus i will be shlling out for it... for my company to profit or not
TWI
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I think you should think about longer term spreads. There are some great examples in commodity markets. It is especially interesting with markets that exhibit a large carry cost as by trading the spread rather than the outright you are able to roll forward without having to worry about the forward curve as much. Not sure if that makes sense the way i have written it but it is worthwhile knowing. I like commodity spreads between related articles such as the grains, pull some up and have a look. Forget spreading for a tick unless you have the tools.
I just signed up for TT Pro. I trade Euribor spreads and I got tired of missing chances to get out of spreads. I am experimenting with it and have to say I like it a lot. I have gotten legged a few times but I have been able to scratch those. You can't leave orders in the autospreader and walk away or not pay attention. So far I would have to say I am impressed.
I talked to someone from LIFFE and they said they will give new people using the system a break. I think the key to it is call them and tell them you are just starting to use it. Also, if there is a very minimal chance of getting filled don't enter an order into the autospreader. You are wasting transactions that will be counted against you. I was told that you get 2 transactions for every contract traded before they start charging you.
Also, a little bird told me that LIFFE was going to expand trading hours before the end of the year.
I have always dealt with the LIFFE people out of New York and they have been pretty good about listening. Of course, they have usually told me to eff off when it comes to my suggestions. Specifically lower your damn fees. I am happy that fees are so much lower than they used to be but they are still to high.
twalker, I don't know if paper is getting scarce but I have had a lot of trouble with the volatility of the spreads in the front months. I stopped trading them and am concentrating on the second year out. So far so good but I, like you, look at US and German notes for clues about the movement of the spreads and that relationship is not as clearcut as before.
My biggest gripe with LIFFE is there fees. I can't believe how much I have paid them since I started trading Euribor in Sept. 2000. It makes me sick.
I talked to someone from LIFFE and they said they will give new people using the system a break. I think the key to it is call them and tell them you are just starting to use it. Also, if there is a very minimal chance of getting filled don't enter an order into the autospreader. You are wasting transactions that will be counted against you. I was told that you get 2 transactions for every contract traded before they start charging you.
Also, a little bird told me that LIFFE was going to expand trading hours before the end of the year.
I have always dealt with the LIFFE people out of New York and they have been pretty good about listening. Of course, they have usually told me to eff off when it comes to my suggestions. Specifically lower your damn fees. I am happy that fees are so much lower than they used to be but they are still to high.
twalker, I don't know if paper is getting scarce but I have had a lot of trouble with the volatility of the spreads in the front months. I stopped trading them and am concentrating on the second year out. So far so good but I, like you, look at US and German notes for clues about the movement of the spreads and that relationship is not as clearcut as before.
My biggest gripe with LIFFE is there fees. I can't believe how much I have paid them since I started trading Euribor in Sept. 2000. It makes me sick.
TWI
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tbill,
concur with all that. Be careful with the message to trade ratio. By giving you a break they will mean a maximum 1-month after which they will it you with bills if you do not make the ratio. It is fine once happy with what you are doing and using 100-200clip but when testing a system in autotrader with 10-20clip it can really rack up the costs.
I would look at autotrader over autospreader, it allows you to be better on execution re: second leg as you can set it up to sit on bid or ask rather than blindly lift ask or hit bid. Allows you to give some discretion for legging.
Jimmy
Commodity spreads are very unlike STIR spreads and are better traded directionally. I prefer them to the outright in many instances. I have only really followed the grain and Precious spreads and a few more obscure ones like Gold/Crude.
concur with all that. Be careful with the message to trade ratio. By giving you a break they will mean a maximum 1-month after which they will it you with bills if you do not make the ratio. It is fine once happy with what you are doing and using 100-200clip but when testing a system in autotrader with 10-20clip it can really rack up the costs.
I would look at autotrader over autospreader, it allows you to be better on execution re: second leg as you can set it up to sit on bid or ask rather than blindly lift ask or hit bid. Allows you to give some discretion for legging.
Jimmy
Commodity spreads are very unlike STIR spreads and are better traded directionally. I prefer them to the outright in many instances. I have only really followed the grain and Precious spreads and a few more obscure ones like Gold/Crude.