Directional
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do you mean arbitrage between the front month, back month and exchange quoted spread markets for the index futures, or did you have a specific arbitrage method in mind?
please elaborate on how you intend to arb, as you can only arbitrage between fungible markets
please elaborate on how you intend to arb, as you can only arbitrage between fungible markets
Directional
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buy the dax and selling the stoxx on a 3:1 ratio is not really arbitrage... more correlation based intermarket spread trading. and the Dax is not a very good market to spread unless you can take a lot of heat. The professional local traders do spreading for a tick or two typically against the bund/bobl/shatz in london, but they arent using IB, they will be getting pro clearing rates and using an autospreader like TT X_trader Pro.
Its possible to arb 1 big pit S&P against 5 x emini's for single ticks.. but you rely on having someone in the pit... there are guys who do this full time if you ever get to go the CME floor, they have Playstation game controllers in their hands and use them to buy the electronic markets against the paper on the floor. Or you could look at the after session big contract which is traded on globex vs the emini, but the emini is usuall too thin & bid/ask spread too wide in after hours for there ever to be any significant bid/ask overlap between the two markets. Besides, you'd never see more than a tick overlap and you'd have to do 1 x big contract vs 5 x mini's to get your tick so you'd better be on a very low commission to make anything, and you'd need a faster connection than the guys with TT who are sat in the exchange with a LAN connection to globex.
You can arb between the front & back months & the exchange spread market, but again you're talking single ticks - the calendar spread markets in the stock indices are quoted in smaller ticks, ie: the S&P emini spread is a 0.05 ticks or $2.50 value... bearing in mind you need to buy the front, sell the back and sell the spread = 4 trades in total for a $2.50 tick... you see where the uber-low commissions become a factor to make anything, assuming you actually manage to hit an arb opportunity and dont get legged up.
I've seen it done, but it was being done by pro's in a very slick setup using proprietary software and in house exchange gateways. impossible to do via a retail broker for cost, data speed & execution speed reasons.
By all means look into spread trading, but I think you'll find it very difficult to automate effectively in excel.
Its possible to arb 1 big pit S&P against 5 x emini's for single ticks.. but you rely on having someone in the pit... there are guys who do this full time if you ever get to go the CME floor, they have Playstation game controllers in their hands and use them to buy the electronic markets against the paper on the floor. Or you could look at the after session big contract which is traded on globex vs the emini, but the emini is usuall too thin & bid/ask spread too wide in after hours for there ever to be any significant bid/ask overlap between the two markets. Besides, you'd never see more than a tick overlap and you'd have to do 1 x big contract vs 5 x mini's to get your tick so you'd better be on a very low commission to make anything, and you'd need a faster connection than the guys with TT who are sat in the exchange with a LAN connection to globex.
You can arb between the front & back months & the exchange spread market, but again you're talking single ticks - the calendar spread markets in the stock indices are quoted in smaller ticks, ie: the S&P emini spread is a 0.05 ticks or $2.50 value... bearing in mind you need to buy the front, sell the back and sell the spread = 4 trades in total for a $2.50 tick... you see where the uber-low commissions become a factor to make anything, assuming you actually manage to hit an arb opportunity and dont get legged up.
I've seen it done, but it was being done by pro's in a very slick setup using proprietary software and in house exchange gateways. impossible to do via a retail broker for cost, data speed & execution speed reasons.
By all means look into spread trading, but I think you'll find it very difficult to automate effectively in excel.
hi
many thanks for your help, im just trying to look at ways to take a tick out the market i currently trade euribor and other spreads but it is not an arb just really outright direction on bund ..
i was thinking maybe arb the eminis vs the proper contract if i can leg it and get a tick out and use the e mini as a hedge etc
do you know of any good spreads on the indexs to trade?
i used to trade the ftse and dax outright but that just did me in the dancin dax jesus not sun at all.......
i now trade euribor / short sterling and eurodollar spreads but am trying to get an automated arb system up
many thanks for your help, im just trying to look at ways to take a tick out the market i currently trade euribor and other spreads but it is not an arb just really outright direction on bund ..
i was thinking maybe arb the eminis vs the proper contract if i can leg it and get a tick out and use the e mini as a hedge etc
do you know of any good spreads on the indexs to trade?
i used to trade the ftse and dax outright but that just did me in the dancin dax jesus not sun at all.......
i now trade euribor / short sterling and eurodollar spreads but am trying to get an automated arb system up
Directional
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I hear the ICE markets are worth looking at - if you're a good spreader in the 'Bor and ED calendars then maybe take a look at crude spreads or fly's - they have some mad ranges on them, trade like an outright almost
A Dashing Blade
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IB into Excel via COM or DDE, back into IB via Ninja at guess
mauzj
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But we could usually have a bit of fun sniping the dollar moves on the back of some of the bigger moves in the pit. Didn't last though, but at least had the added value that the rest of the guys and girls on the floor absolutely hated us..... Jobs a good 'un
Lol. You know you're good if everyone hates you!
Have you got round to writing that Day in a Life of an FX Market Maker article yet?
tech_trader
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Great post. I completely agree!
stir-trader
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I use TT X_Trader Pro. I use the API in TT to execute and manage my orders. I have played around with Excel and to put it simply, using excel to arb is a total waste of time. The data is meaningless. By time your spreadsheet has identified that there is a trade that you can do something with, it has gone. You might as well use a roulette wheel as your trade selection method.
