Daytrading FTSE index - order size and instant fill

[esiotrot]

Great thread guys!!

I must be really dense but:

"If you trade with IB you will be trading the FTSE Future. Which is exactly the same as D4F’s FTSE Future (UK100 Index Mar 03 Q Bet). There is no equivalent to a SpreadBet companies ‘Cash’ price. " from mmillar post

Then what chart symbol should I be using to get Mytrack feed to Sierra to agree with the CMC chart and prices?

This whole business of Bias - does it exist or not? would fall into place if i am trying to trade one instrument ie Cash and using a cash chart if the SB companies are using a different datafeed.

I should add that I've tried SB several times and can usually "see" where the price is going but nearly always get beaten up by the bias or SB spread if you want to call it that. Which is why I have been considering going to futures via IB just so i can get instant fill at the price I see.

My style is much longer term; EOD and Options!! but always looking....

 

[Henry]

Kevin,

The only downside I have from the Sierra charts are that it does not provide a grid-line from the time axis and that during the current tick period on the chart the CCI line or bar does not update until the period is concluded.

Not sure what you mean about the grid line (there is a crosshairs tool which may answer that requirement), but certainly all the indicators including CCI are updated real time tick for tick along with the price in Sierra.

Trendspotter,

Is it possible to configure Sierra to produce an audible alarm say when two ema's cross..or are about to cross?

Is it easy to set up SC to trade ema crossovers automatically through IB.

Do I need a degree in computing to set all this up?

Yes, yes (using something like TSim+, or directly from the Excel link), and no, although a decent working knowledge of Excel will help

H.

 

[kevin546]

Peter

I have just started using Sierra charts through Mytrack I am not getting the LIFFE exchange as yet because I am still trading through CMC but I can assure you the price is different.

The ticker you require for the FTSE is UKZ.X

For starters the Futures price is different to CMC because the CMC spread is fixed at 4 or 5 points the rolling cash is 3 and 4 out of hours. But with futures while I am told the spread can go to 3 points generally and each time I have enquired I have found it to be anything from .5 to 1.5 spread.

If you are a longer term trader then spreadbetting is fine for you but if you are intending to daytrade then I believe you can still make money from daytrading with CMC but you need to take a positional daytrade rather than a scalp. I have been following the Sierra charts of the FTSE for the last 3 days and the CMC price is always changing when the FTSE (real price) has not, this makes following the very short term picture harder to manage through spreadbetting. I have found it easier in the last few days to manage an open position with CMC much better by working in association with the data from Sierra rather than just from CMC charts. They will place the spread either side of the real price rather than place the real price within their own. Sometimes they will hold the price up even though the real price is falling or vice-versa. Sometimes they will be 5 points off from the true price and at slower times they will be 1 point off. Regardless of what the price is doing when you approach either 1.30pm (US market data time) and the US open the distance and the turn in the price following the US open (within 45 mins) the CMC spread is moved further from the real price but as things settle down they gradually move it back to the 1 point. Fine if you are in a trend but if there is little movement in your direction and they hold the price and it turns you don't get the profit, thats why a direct access trader is better.

Regards Kevin

 

[kevin546]

Henry

Thank you I went looking again and while I did not find the facility to set a grid-line to the time axis I think I found the 'cross-hairs' tool you mentioned. Its located in tools when you have the chart displayed and select chart values. Then when you place the cursor on the chart it creates a line to link the price with any indicator you are using that is an excellent tool.

I take it this is what you meant. As for grid-lines from the price and time axis I have only been able to find the 'grid' tool under the chart 'drop down menu' to insert horizontal lines from the price axis.

As for the real time position on the CCI you do get readings at the top of the screen but unless I am mistaken this only relates to the very last position plotted. What I was referring to earlier is the following:

Imagine you are working from a 3 minute chart and with the CCI set to line ( I normally use the setting of 14) the last tick lets say was 9am the CCI will be plotted, you now have a new 3 minute tick period. The price (I set to bars) will increase in length as the price increases and decreases during this 3 minute period. What I have observed is that during this time the CCI line does not move to show any change during this period, it is only when the 3 minutes have expired that the indicator and price is plotted with the new position which represents the last 3 minutes. That is why I have had to make use of the 1 and 2 minute charts to see what is happening with the indicator during this time as they obviously update before the 3 minute chart.

I hope that makes it clearer and if you can point me in the right direction I would be grateful, as for the time axis grid-lines that is no longer a problem with the chart values tool.

Regards Kevin

 

[Henry]

Kevin,

The price (I set to bars) will increase in length as the price increases and decreases during this 3 minute period. What I have observed is that during this time the CCI line does not move to show any change during this period, it is only when the 3 minutes have expired that the indicator and price is plotted with the new position which represents the last 3 minutes.

Maybe you are running a different version to me (I'm using 35), but my CCI definately moves with the price throughout the duration of the 3 minute bar, in the way you would expect. This is irrespective of data feed; I have two copies of Sierra running on different machines using IB and MyTrack. Hope this helps.

H.

 

[kevin546]

Henry

I also have version 35 so something must be wrong I will have another look on Monday afternoon and see how it performs.

regards Kevin

 

[mmillar]

esiotrot/Kevin,

I don't have the exact symbol but the FTSE March Future will be something like LFH03.Z (I'm sure someone else can provide this). That's the way Futures symbols are constructed.

UKX.Z is the symbol for the FTSE 100 Index. It is not tradeable. D4F (and other SBs) have a 'cash' instrument but this is not the same as the Index.

cheers

 

[ianp]

Hi,

The symbol for liffe ftse futures is LZ`H if using the mytrack feed
the ftse index is UKZ-L,

I use easy2trade direct access , you can normally get inside the spread with a limit order, I use there standard platform but the pro version has a fast scalp option just click the mouse button to place a limit order .5 away from the bid or offer price.

I have found that in a fast moving market a "market order" can
be filled a couple of points away from what you expected..

ian

 

[kevin546]

mmillar

Last week I was using UKZ.X to trade the D4Free rolling cash and had no problem, the prices maybe a little different but the direction is the same. I assumed this was just the difference between the spreadbet position and the index price.

Are you suggesting I need to trade from UKZ-L for the rolling cash figure I thought this chart is what I will eventually need for IB when I trade futures.

regards Kevin

 

[mmillar]

Hi Kevin,

UKZ.X (UKZ-L) and the D4F Rolling Cash are two different things - they are not supposed to be the same. Of course they are similar, but as you can see when the market is moving they move at different rates and go to different levels. When people complain about spreadbet bias they are complaining about this difference - and in fact some people believe the difference is a deliberate plot to screw us.

Depending on your trading system, you need to be extremely careful about using UKZ.X to trade the D4F cash. If, for instance, you trade on Support/Resistance levels you will find that the D4F Cash price will move through the level (triggering a trade) whilst UKZ.X may bounce off it. Or vice versa. Whilst most of the time they move in the same direction it is possible, expecially around S/R levels, for them to move in opposite directions. Again, they are different things so there is no reason why they should behave in exactly the same way.

UKZ.X is not tradeable, with anyone (and if anyone finds that it is then please PM me and we will make millions together). If you trade with IB you will be trading the FTSE near Future (the MyTrack symbol LZ`H for March, as IanP says - but it is a different symbol with IB) which is the same as the D4F March Qtrly.

cheers

 

[kevin546]

mmillar

I was using the Mytrack/sierra facility in readiness for when I go over to IB. Because I currently trade through D4F I use there 5 minute chart and when I see that a possible deal is on I then view the Sierra charts because unlike D4F they have CCI and I can make a better decision from this indicator. They may have slightly different prices but the price patterns are the same the only difference is that the D4F price appears to hop either side of the others but does not pull away. The CMC price is changing virtually all the time but often not going in any direction and when this has happened the Sierra chart price has not moved from it price apart from decimal places.

As for the D4F quarter I cannot see how this can be exactly the same as the Futures price because D4F have a fixed spread of either 4 or 5 points yet the IB price spread tends to be .5 - 1.5 points therefore the chart price must be different as wall.

As for the charts you only have to log in to the free charting sites such as Bigcharts.com or advfn.co.uk and compare the FTSE chart to that of the D4F and the chart price pattern is exactly the same from the 5 minute charts from the other sites to that of D4F, the only difference is that sometimes the D4F price bars are a few points longer than the others. Such as one day last week when the FTSE showed a rise back to 3602 the D4F bid price only went to 3597, that would be because the price tends to be 1 point off what Sierra show so at that time they were one point light.

I have been trading the FTSE since June on D4F and have yet to see the D4F rolling cash price move in the opposite direction from the FTSE index prices. I have of course seen the price flip the other way but this tends to be for very short periods such as a minute or less before it turns and matches the other price. So you can see why some people think it is a bit dodgy. I dot think that I know or have been told that the rolling cash is a made up instrument for the D4F clients to trade and the figures are worked out from the FTSE prices and therefore it would match the overall pattern. I know you keep appearing t come to the defence of the spreadbetters (do you work for them etc) but while I doubt they are doing anything wrong FSA regs and all when they present a figure based on the price movement/value of the current position with the FTSE they have an opportunity to place the price one side or the other of the FTSE price.

Often when one goes up the other plots down by 1 point the very next second the reverse takes place and the D4F price has moved back up and regardless if the overall price pattern is up during the current tick period all the way through this process the D4F price will hop by a point or 2 on the wrong side of the price movement presented from the OTHER FTSE each time appearing to present a less favourable position.

Personally I believe the spreadbetting companies like anyone else are in this to make money and if there is the slightest chance of having the smallest edge within the regs and trading practises allowed by the FSA then you cannot believe that the spreadbetting companies would not employ such a strategy, there must be at some stage a slight opportunity to hedge like the way they go to market to secure the price before offering the client the deal, it gives them the chance to get at least a point on the deal and 2 from a round trip so they are quids in compared to the direct access broker who would provide immediate access and get his money through a commission charge. Yet how often do you see spreadbetting companies CLAIM they do not charge a commision and present themselves as a better deal than conventional trading methods.

Certainly this is what D4F do in respect of the rolling cash prices but are up front about how they charge Futures trades.

Anyway thanks for the advice the only thing I can say from 3 days of using Sierra in association with the D4F chart each time the D4F chart began to present a reversal the Sierra charts were backing this signal. Fortunately I do not trade from support and resistence but from the current price cycles through the day using Bollinger bands FROM D4F (and they are good) moving averages price line chart and price pivots, backed up now by CCI from Sierra.

 

[kevin546]

mmillar

I wonder from your knowledge if you could clarify what all the different FTSE charts (instruments/indexes) are. I understand that in the case of D4F the rolling cash (other SP companies may refer to this as daily cash price) or the monthly FTSE are instruments they make up on the basis of 'cash and carry'. I do not understand the intricacies of this method.

Then there is the quarter which with D4F has a fixed spread of 4/5 points this price is reflective of the LIFFE futures quarter and the appropriate chart to trade this would be from LIFFE prices; the same applies to the far quarter again price provided by LIFFE.

If you wanted to trade the D4F rolling cash which is the most appropriate FTSE index chart to follow. Until you posted yesterday I was not aware that the Mytrack ticker was not the same, it is claimed to be a FTSE index cash price and others did say it could be used to trade the SB instruments.

regards Kevin

 

[JonnyT]

Hi Kevin,

If you are not looking to scalp then you can get away with using a the FTSE Value ala UKX. If you are looking for several trades a day then you need to trade the chart of the same instrument IMHO.

JonnyT

 

[mmillar]

Hi Kevin,

There is no equivalent to the SB companies 'cash' prices. So you can't chart them accurately anywhere else. As JonnyT says it depends how much you trade whether this is important to you or not. The most important thing, IMO, is that you are aware of it.

Last year D4F were talking about putting their prices into other charting packages (like Sierra). However, with the release of MarketMaker 5 they are obviously going for a proprietary solution. They told me earlier in the year that they now have a dedicated developer for their charts so hopefully things will improve. I know that they have a copy of Sierra and I have told them that is the kind of quality that people are looking for. I have asked them to include CCI - maybe if enough of us request this they will do this quickly. Either use the feedback form in the software, or call Amanda Giles (IT Director) or Mark Sparrow (IT Development Manager).

cheers

p.s. did you get my PM?

 

[kevin546]

Hi JonnyT

define scalping, I did'nt think I was but a few people have mentioned this term to my responses here. I look for intraday price cycles and prefer to trade in line with the trending sequences as the price moves from one band range to another. I tend to work from the 5 minute chart and use the likes of 1 min just for entry, as for exit that depends on what profit I have reached but most deals range from between 10 and 30 points if with the trend and down to 5 -15 if against.

I thought scalping was very quick deals for normally less than 5 points profit. Some of my deals work out in minutes but then there are others where I hold for an hour or so depending of the strength of the trend. I suppose now that I am using CCI it is likely that one of my deals could be at a reversal following the sequence from one CCI extreme to the other. Would that be classed as scalping.

regards Kevin

 

[ianp]

Hi,
I have now got my ib account up and running, can any one
advise me on the symbol for ftse futures to enable sierra charts
to run via ib ?

thanks ian

 

[Henry]

Z-200306-LIFFE


H.

 

[ianp]

thanks Henry,

seems a bit of a mouthfull compared to my track ..

is there somewhere on the ib site to find the symbols ?

ian

 

[Henry]

You can get to the symbol search from the front page of the website, or directly from here :
http://www.interactivebrokers.com/cgi-pub/contractSearch/symbolsearch.pl

H.

 

[ianp]

Thanks Henry,

your a star..

ian