Let's make the rolls pro rata!

[arabianights]

I just sent out the following email:

[quote="me]Howdy,

I write this primarily thinking of govvy and index rolls - but my arguments can be extended to calendar spreads in any FIFO markets!

FIFO is great is for the outrights, for sure. No worries there

The rolls, on the other hands, are more like STIRs, really. (both indexes and bonds). It's completely possible to upgrade your algorithms to be pro rata (or time priority pro rata or whatever) in the rolls while still FIFO in outrights - for example if there's 20 on the offer implied from the roll, and someone lifts it, then that is a 20 lot trade for the calendar spread handling algo.

No expert on commodities but one imagines similar applies.

This is win win for absolutely everyone. Locals like me will do the rolls more as we can compete. Rolls will have greater ranges and greater liquidity, benefiting paper. And there'll almost certainly be more volume, benefiting yourselves!

Finally, I sent this to LIFFE CME and Eurex (and I'll chuck in ICE even though they're irrelevant to me - but I did play on ECX for a bit and possibly still have an ITM - and everyone else loves the GSCI roll right?) so you won't even have to worry about patent infringement!

Not expecting this to be implemented tomorrow, but please do give it some thought

Kind Regards,

Dave[/quote]

If you agree with me, please get in touch with them too. If you don't, argue here

 

[megamuel]

I'm sat here now with some bacon ROLLS, sipping on a martini for liquidity - shaken not STIR'ed. Loads of ICE. Just need a hot Brazilian lady to make me CME now. Ahhh this is the LIFFE!!!

 

[arabianights]

bump

come on, someone else must give a ****, surely!

 

[Splitlink]

I'm sat here now with some bacon ROLLS, sipping on a martini for liquidity - shaken not STIR'ed. Loads of ICE. Just need a hot Brazilian lady to make me CME now. Ahhh this is the LIFFE!!!

I think that you are the type who likes a roll in bed with honey.

 

[Pazienza]

bump

come on, someone else must give a ****, surely!

I like it.

 

[Liquid validity]

I might give a sh1t if I had even the remotest inkling of anything in this thread.
Don't even have the first clue about STIRS, index rolls or fifo (isn't fifo a dogs name?) :cheesy:

 

[megamuel]

I don't think many people have the remotest inkling and the ones that do have an inkling clearly don't give a sh1t either!

 

[kimo'sabby]

bump

come on, someone else must give a ****, surely!

I'm trying to get my head around it all, i'm just so heavily sedated at the moment (10 mins to type this)

 

[Liquid validity]

I'm trying to get my head around it all, i'm just so heavily sedated at the moment (10 mins to type this)

Me too, arab clearly knows his sh1t, but this stuff would give an aspirin a headache :cheesy:
I cant' make head nor tail of it

 

[j b]

bump

come on, someone else must give a ****, surely!

I think it's a good idea, might send a similar email. I'd certainly be more inclined to trade them if they were pro rata (or time-pro-rata ala liffe stirs).

 

[arabianights]

I think it's a good idea, might send a similar email. I'd certainly be more inclined to trade them if they were pro rata (or time-pro-rata ala liffe stirs).

Cheers! Need more like ya

 

[sighthound]

My Stir Liffe's gone all limp whilst trying to un roll my Eurex

 

[DashRiprock]

frankly, my dear, I just don't give a damn.

(walks off into fog)