S&P Big 500 and Emini S&P 500

[moksha99]

Has anybody tried a synthetic spread involving
1x SPM11 ( BIg S&P 500 future) / 5 x ESM11 ( E mini S&P 500 Future)
Last few days I tried it on TT_Pro Autospreader Simulaton server
Looks profitable even after paying 0.45 per side commission + 2.32 round trip EME fees for E mini and $4.64 round trip for Big S&P

However biggest problem is

- Legging specially in the Big S&P
- What you see even on a good tool like TT Simulation may not be real in actual life?

Any thoughts

 

[Rhody Trader]

Are your figures based on the active bid/offer at the time, or on the last executed prices?

 

[moksha99]

Are your figures based on the active bid/offer at the time, or on the last executed prices?

Since the P/L recorded is after closing the spread it is ACTUAL $
Have a look at spreadsheet
Although I must say I get on TT Autospreader Position widow I get confused between Display Last traded and Bid/Ask
What I do is in teh depth of market ( ladder window) with Autospreader the first window shoes the spread on a ladder like _20/-15/-10/-5/0/+5/+10/+15/+20 etc
II just put on X qty To by @ say -10 and also has a Sell @=+ 10
Once one spread is filled I hoe to get filled on the other one

 

[Rhody Trader]

Here's what I'm talking about. Looking at the Level II for TTSIM SP JUN11 I see a high bid of 1338.50 and a low ask of 1338.70 (based on where, while for the ES the bid is 1338.50 and ask 1338.75. That means if you are buying the former and selling the latter (or vice versa) your are losing .20 on the spread. That assumes you're a "price taker" reacting to the price differentials between the two instruments. If you attempt to be a "price maker" actually buying at the bid and selling at the offer then its obviously a different story, but as with all marketing making types of approaches you run the risk of getting caught exposed on one side of the leg if the market doesn't cooperate.

 

[moksha99]

IS that where tools like TT autospreader or CQG spreader come in to picture
have you used any of them

 

[Rhody Trader]

I'm not familiar with either product, though my first thought is that a "spreader" will look to execute both(all) legs of a spread at the market when triggered for near instantaneous execution of all parts. That means being a price taker.