Working for the man/LIFFE exchange

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tbill

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Just did my P&L. Thought I had a good day trading. I did, 109 Euribor ticks. (109 * 12.5 Euros = 1362.5 Euros) Then it was time to figure out how much in fees I paid.

Contracts trade = 2450 (Approx.)

Exchange fee = .28p / 0.68 = .41e

Clearing fee = 0.09e

Total = 0.50 * 2450 = 1225e

Net = 1362,5e - 1225e = 137.5e


Yeah, I made 137.5 euros which means I barely covered my desk fees.

But more importantly, I made 1004.5 euros for those swell people at the LIFFE exchange.

F***

:mad: :mad: :mad:

I used to complain about paying $4500 a month to lease an associate membership at the CBOT. Little did I know how good I had it.

Actually, I should get back about 200e in rebates at the end of the month. So you see, they really are generous letting me make 350e while they keep 800e. Thanks guys. :devilish:
 
GJ,

I have no problem with criticism, you SOB. :cheesy: Seriously, you are right, I have to do something different. In my defense, I learned to trade when it was common to trade a large number of contracts without any higher mariginal cost for trading those contracts. I would love it if LIFFE would allow me to pay a fixed rate to trade as many contracts as I want. Of course, they will make less money but I think a program like this will attract business. I am not privy to their data on who trades how much so I cannot say that if my idea is good for them. My hunch is that it would be.

As far as whether my method is wrong given that I am a spreader who does high volume, well I just have to find an exchange that will let me do this. I have tried to cut down on the number of trades, to be more discerning. I have gotten much better and the cost of trading at LIFFE has come down. I am working on getting set up to trade at the Merc and I will do this soon. In part thanks to twalker's help.

GJ, do you scalp spreads or do you positions trade them? I would think it would be difficult to scalp currency spreads because it would be difficult to find an edge on which you could lean. I think anyone who is position trading will have little interest or understanding of my POV.
 
GJ,

Or they are hoarding the good markets! :LOL:

Like I said, I am going to give the Eurodollar a try. I have been waiting to see how it was going but I know from enough sources that Eurodollar is a good trade and costs beat LIFFE but enough.
 
tbill,
I no longer like to consider how much I pay in costs every month, it is too gut wrenching. It used to be a better ratio when there was more volatility. These days it is tight as hell no matter what market you are looking at. This is why we are all looking for alternatives. Euribor traders looking at Eurodollar, calendar spreaders looking at cross product spreads. I have even got limits on IPE. Guess we just have to continue to evolve and try not to get nostalgic about the days when a great living could be made with a few 6-month calendar orders in Euribor.
I am noticing that proportionally more PnL comes from directional plays rather than scalps and I am trading far more outrights than spreads. My risk has actually increased substantially but reward has not increased to adequately compensate for this.
But, this is me. I know people who are still making very good returns on the spreads.Generally these guys are the volume players who think nothing of 500+ clip. My risk appetite does not allow me to be in this category unfortunately so new ideas and methods have been the only solution for me to stay in the game. What I do now is radically different from what I was doing 12 months ago.
 
A Euribor tick is worth 25 Euros, your calculations are a litle out.

tbill said:
Just did my P&L. Thought I had a good day trading. I did, 109 Euribor ticks. (109 * 12.5 Euros = 1362.5 Euros) Then it was time to figure out how much in fees I paid.

Contracts trade = 2450 (Approx.)

Exchange fee = .28p / 0.68 = .41e

Clearing fee = 0.09e

Total = 0.50 * 2450 = 1225e

Net = 1362,5e - 1225e = 137.5e


Yeah, I made 137.5 euros which means I barely covered my desk fees.

But more importantly, I made 1004.5 euros for those swell people at the LIFFE exchange.

F***

:mad: :mad: :mad:

I used to complain about paying $4500 a month to lease an associate membership at the CBOT. Little did I know how good I had it.

Actually, I should get back about 200e in rebates at the end of the month. So you see, they really are generous letting me make 350e while they keep 800e. Thanks guys. :devilish:
Click to expand...
 
A Euribor tick is worth 25 Euros, your calculations are a litle out.
Click to expand...

Euribor moves in Half Points = €12.50
if Tick is defined as the minimum price move then this is €12.50 but most people trading it talk in terms of tick=full point = €25.
tbill is correct in his calc
 
Clarity is therefore the key here, a tick is a tick and a half tick is a half tick, (that's why we use the two terms) but we are really just splitting hairs don't you think??

twalker said:
Euribor moves in Half Points = €12.50
if Tick is defined as the minimum price move then this is €12.50 but most people trading it talk in terms of tick=full point = €25.
tbill is correct in his calc
Click to expand...
 
twalker said:
tbill,
I no longer like to consider how much I pay in costs every month, it is too gut wrenching. It used to be a better ratio when there was more volatility. These days it is tight as hell no matter what market you are looking at. This is why we are all looking for alternatives. Euribor traders looking at Eurodollar, calendar spreaders looking at cross product spreads. I have even got limits on IPE. Guess we just have to continue to evolve and try not to get nostalgic about the days when a great living could be made with a few 6-month calendar orders in Euribor.
I am noticing that proportionally more PnL comes from directional plays rather than scalps and I am trading far more outrights than spreads. My risk has actually increased substantially but reward has not increased to adequately compensate for this.
But, this is me. I know people who are still making very good returns on the spreads.Generally these guys are the volume players who think nothing of 500+ clip. My risk appetite does not allow me to be in this category unfortunately so new ideas and methods have been the only solution for me to stay in the game. What I do now is radically different from what I was doing 12 months ago.
Click to expand...

Please tell me the Eurodollar is better, that is the only thing keeping me from losing all hope. I don't know how anyone can scalp spreads in the front month Euribor without being a directional trader. They do trend really well but that is about all they do now. I used to like them for the stability. That is why I moved to the red months. Of course, the volitility and volume is for sh**.

Camfehring,

This might be a difference between American and English. I was taught a tick is the minimum price movement so there is no such thing as a half tick. The Euribor does trade in half basis points.
 
tbill, Eurodollar is better in terms of calendars but it is certainly not what Euribor used to be.
Thing that bothers me is that with electronic execution these sorts of calendar arbs are going to disappear everywhere over time. Probably more milage left in spreading different maturity products such as Euribor/Bund/Bobl/Scahtz or Bund/10-yr, Eurodollar/5-yr even with this I think sup/res of one of the legs as an outright becomes the important factor with putting on the position to increase the edge.
 
Sounds like I should go back to trading Bonds vs. 10's and 5's.

I have been using the autospreader effectively and it has helped. Overall, I think it still comes down to the high cost of trading. Competition is inevitable.

Do you have any more rumors about fees coming down? I could use some good news.
 
this post is soooo important for anyone going into an arcade......this is the real p/l a lot of people can expect....and thats when you get it right!!!
 
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