Traders' Roundtable

Hi, the "standard" position management is to adjust the size of a new trade for the current risk (atr, volatility, etc). What do you do on a roll date when the underlying of the new contract is "quite" different from the underlying of the old contract??? It is sometimes (not very...

Thanks Sluggo.
I was hoping for a better solution, but I see that I will have to do without it.

Does anybody trade Australian bond futures? The price of the 10y future is quoted as 100-yield. But it is not what you pay. The SFE gives a formula on its internet site to translate the yield in the value of a contract: http://www.sfe.com.au/content/sfe/products/pricing.pdf Another problem is that t...

Hi, this is a question for forex experts! I have not a lot of experience with forex. I have understood that it is possible to include the carry effect in the P&L calculation in TB. Another great thing, I must say! My question is: is it also possible to include the carry in the calculation of the...

CMEgroup changes the tick size for the 30 Year T-Bond (csi 44 and 144) and for the 5 Year T-Note (csi 251 and 293).
For the ones using CSI data, check if you have the correct data.
See http://csisupportblog.blogspot.com/

Alexandre

The reply of CSI:

"At one time we had rolls prior to 11 months. Unfortunately it didn't
work well. We decided not to spend any more resources on this."

Thanks Sluggo.
It's a pity. Will be more work.

Hi,

is there a way in CSI to roll the STIRS more than 11 months before the end? The Eurodollar is quite liquid until 2 years maturity, and I would like to test different maturities.

Alex

Coming back to an old subject, but it is perhaps not so out of date... I read c.f.'s book. And I was wondering, what they did in 1987 just after being in their worst drawdown (being short ED and T-Bills, long gold, etc). Did they trade as usual without changing anything or did they reduce their size...

Thank you guys! It helps.

Hi, does someone have an explanation for the big increase in total open interest for the Sydney SPI 200 index future in october 1993 (csi # 232)? Same question for the Sao Paulo Ibovespa index future in april 2006 (csi # 391)? Moreover for this future, the high low data of csi for dec 2000 - jan 200...

My idea was to use the stdev of the price changes for a risk purpose (instead of the atr) and not the stdev of the prices. In this case you have to use the proportional adjusted serie I believe. See the attachment.

Hi Tim, thanks for your answer. Just one more question on the StDev vs ATR. For the ATR to be right, we use the back adjusted serie (from CSI or whatever). For the StDev to be right, we would have to use the proportional adjusted serie (or ratio adjusted which is the same) to be able to calculate % ...

Hi oem,

can you explain a bit more. What is the definition of the narrowest point?

Alex

Thanks Sluggo,

I am referring to Blox Builder.

I cannot access the link about commission flexibility. Perhaps it is on a customer only forum.

Alex

Hi, after having used the trial version this week, I have some questions: 1. is it possible to define different commissions for each different contract? I saw that in the Global Parameters that we can define the same commission for all contracts. 2. concerning the reporting, we can change it in the ...

Hi,

my message on this topic yesterday was "moved". Where and why?
I am on a trial version of TB since yesterday, and have no access to any customer only forum.

Alex

Hi Sluggo, thanks for your answer. So if the size is not a problem and you are happy with USD denominated futures, there is no reason not to trade the cme futures instead of forwards, or? Seems to me that a backtest is much easier with futures as long as we can have the prices with csi for example. ...

Hi, I have nearly no experience in forex trading, but I am trying to see if it is possible to apply to it what works on other products (EOD trading). The first thing that I don t understand is why so many people here in Europe use forex forwards rather than the cme futures. What is the reason for it...

Hi, the SFE 10y treasury bond future is quoted as (100-yield). I think that it is what you get in CSI #381 or #616. The SFE gives the formula on its internet site to convert the yield in price. Do CSI or Tradingblox make the conversion for this SFE contract or do you have to convert yourself before ...