FTSE 100 index futures and direct access trading

[reactor]

hi people!

i've written this post to try and settle an argument that i had with my friend about FTSE 100 index futures and direct access trading through a broker like interactivebrokers.

my friend is a spreadbetter on the FTSE 100 cash index with deal4free and bets throughout the day. he is a day trader is in the broadest sense. his problem is overcoming the manipulated spread. we both recognise this. he uses technical analysis to work out his entry and exit points. we recognise that we will need a data feed for FTSE 100 index futures prices to get a mid price if we want to trade FTSE 100 index futures instead of the FTSE 100 cash index.

here's the dilemma. if we were to use interactivebrokers to trade FTSE 100 index futures and their data feed, how close are the bid and ask prices, typically and in volatile conditions, in respect to the mid price shown by the technical analysis chart if it was a tick chart, and if it was a minute chart? next question is, if we are happy with the bid or ask and then execute how much slippage would we get? and if your order can't be filled by the exchange, what happens to it, does it time out, or do they match it with the next best trade, even though it could be putting you out of pocket by a small fortune?

i hope that others will reply and help sort out this dilemma. thanks for your time!

 

[RogerM]

Reactor - spread for the ftse is typically 0.5 to 1.5, but generally 0.5 to 1. Occasionally up to 2, but this quickly narrows. With increments of 0.5 slippage is often zero, although may be more in a fast moving market. I generally enter a trade with a 2 point limit just to ensure that I don't pay for someones spike, but usually close with a market order. Have never found slippage to be a significant problem with IB.

 

[TBS]

The typical spread on FTSE futures is c1 point. As far as I understand the bid/offer prices quoted by IB - and any real time direct platform are real - as opposed to synthetic prices quoted by SB companies.

Futures charts tend to be driven by the last price traded rather than a mid price.

If you trade at the bid or offer price then that is what you will get. You may get some slippage if you are using stops, but generally no more than 0.5/1 point - on occasion you may get positive slippage.

All orders are traded at market unless you specify otherwise with such methods as stop limits, these will remain in the market until they are filled, or you pull them.

You can get slippage when things go mad, but then that applies to any market.

Do not trade any futures markets until you understand what type of orders you are placing and how they will be treated by the market place.

 

[reactor]

thanks rogerm and tbs for your replies!

can someone just confirm that when people are talking about the spread that it is in respect to the last trade, in that the last trade is contained in the present spread, but more importantly, the last trade is the price which comes up on your chart?

 

[JonnyT]

Hi reactor,

Charting packages do reflect the last trade. For instance if the last trade was a buy at 3900 then the Ask will also be 3900. The offer would probably be 3899.5 or 3899 (representing a spread of 0.5 or 1)

Regarding slippage, my autotrading system has averaged less than 1 per trade over 100+ trades. The worst has been 1.5, sometimes it goes in your favour. 70%+ of the time I have experienced slippage unlike the eminis.

Compared to SBs the spread is still much less and is real and not subject to bias on top.

HTH JonnyT

 

[TBS]

thanks rogerm and tbs for your replies!

can someone just confirm that when people are talking about the spread that it is in respect to the last trade, in that the last trade is contained in the present spread, but more importantly, the last trade is the price which comes up on your chart?

No, the spread is the difference between the Bid and Offer, it has nothing to do with the last trade.

The last trade could have been 3890, but the bid offer could be 3892/3893, depending on how fast the market is moving.

If you have orders in the market at a specific level the chances are that you will get filled at that level +/- 0.5 pt in 'normal' market conditions.

Where you get slippage tends to be after 17:00 and over figures if the market decides to take a volatile view (or if there is some particular market moving other news e.g Saddam captured, Aeroplane drives into tall building etc - in which case the market goes into 'fast trade' and everyones price reporting becomes worthless for a short period of time - thankfully such events are few and far between.

 

[TopIQ]

give it room to breath

The spread doesn't really matter in a fast moving market,
what matters is a tight stop, steady nerve and quick thinking!

Give at least 15 ticks when trading an index like ftse.

Never trade at lunchtime , GO TO LUNCH!

 

[yourf16]

Need some information

Hi

I would like to know about ftse 100 index trading and the brokers
that offer it. I've found out that some brokers sell the ftse100
in the market when you buy ftse over £ 200,000 on margin.

how can we ensure the broker will actually sell when
you sell in the underlying market ? are there
any good brokers in your view ?

Tim

 

[henry766]

you want to just make sure you get a good fill in what your trading , i don't know what your on about with the rest ? futures arn't deals made with your broker at all but in a seperate mkt , but cfd's spread bets are ???

 

[sall]

Interesting topic, I use d4free and daytrade the ftse using their charts only. I would never use any other parties charting package when trading via SB, the only way I 've found myself gettting somewhere is to use their charts.I 'm interested to know if anyone has used http://www.twowayfutures.co.uk to trade the ftse as they offer 1 point spread like IB.

 

[osho67]

I am selling index puts on us indices, mostly oex with ib. I would like to sell puts as well on FTSE with ib. How do I go about it. ? I will need to subscribe to liffe prices on ib platform. More info how to proceed after that would be much appreciated. Thanks

 

[jonboy]

during 2004 Index King traded the difference b/tween the FTSE & DOW. When IK disapeared another member put up another site doing the same thing, can anybody point me to that site, please.
Thank you kindly.