RA , NE - South African Rand, New Zealand Dollar

General discussions about futures.
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AFJ Garner
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RA , NE - South African Rand, New Zealand Dollar

Post by AFJ Garner » Wed Mar 08, 2006 7:52 am

Any one out there trading these rather illiquid contracts on the CME? They seem to offer useful diversification..........hmmm, perhaps better avoided.

damian
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Post by damian » Wed Mar 08, 2006 8:08 am

Hi AFJG, I trade the CME Rand contract, currently have a position.
Last edited by damian on Wed Mar 08, 2006 9:46 am, edited 1 time in total.

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Post by AFJ Garner » Wed Mar 08, 2006 8:16 am

Hmm, that's encouraging: its even more illiquid than the NZ $. Perhaps I'm looking to be talked out of it. Mind you, speaking of someone who only recently noticed the nosedive in volume on MB and thus gave it up, I don't know quite why I'm feeling so cautious.

I note that one or two of the better known trend following CTAs trade these currencies but I suspect they trade the currency forwards rather than futures.

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Post by damian » Wed Mar 08, 2006 9:53 am

Two types of slippage:

1. Really bad fills on normal days. No worry to me as I look to hold Rand contracts for >1 year and take significant profits. If getting a buy filled at the high of the day is a problem then my strategy has a serious shortcoming. For some strategies (the one I am discussing) I seldom care where I get filled in most markets, so long as I have the position I want.
2. Slippage on stop loss orders on fast market days. I could get gapped and lose a lot more than expected, or give up a lot more open profit than expected. This is my risk, I choose to take it.

I don't trade NZD as I don't like kiwis ;)

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Post by kianti » Wed Mar 08, 2006 11:41 am

AFJ Garner wrote:I note that one or two of the better known trend following CTAs trade these currencies but I suspect they trade the currency forwards rather than futures.
I was also surprised to see some of the biggest CTA trade illiquid currencies on FINEX. Maybe the futures broker before submitting the order gives a call to the FX cash desk and make sure that the arbs can nick enough ticks to give you a price.

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Post by AFJ Garner » Wed Mar 08, 2006 12:13 pm

Damian
Don't be so mean: I love Kiwis, also Aussies. Used to have lovely antipodean nannies and au pairs when I was a kid! Dinky. Anyway, what about Lord of the Rings, at least you must admit its a glorious country. Chortle.

Yes, take your point and I am looking at 1 year plus trades for winners also but one also has roll date slippage to contend with.

Kianti - good point, maybe that's what they do.

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Post by RedRock » Wed Mar 08, 2006 1:08 pm

I’m dealing with this same “little Market” issue also. I switched from a LONG term hold till the cows march home system, to a shorter method filtered with the longer trend. Fine and good. But I’m doing some tests and am thinking the smaller (more slippage less liquid typically) will be better matched to the V LT method. While the more liquid markets can remain in the more granular system.

Another issue, beyond liquidity, is the amount of babysitting frequent entries and exits requires. When adding markets around the globe, and babysitting them personally, as I prefer to do, I’m finding I have a very unusual lifestyle developing with my sleep time synchronized to the markets. I’m considering placing some of the “other side of the globe” contracts in the more blunt V LT method also, even though liquidity is not the big issue. Market at open, after a signal is generated is so much easier to deal with than daily stops and babysitting close stop limits etc. And LME is another exchange begging to be added to the V LT zone. Without the ability to place orders online easily, and the issues with prompt date adjustments et all. I’m weighing the lifestyle effects of which markets go in which systems, as well as the liquidity concerns. We are only at this dance for a short time after all…

Cheers,
rr

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Post by Turbowagon » Sun May 13, 2007 7:02 pm

I am Long New Zealand Dollar(6NM7) @7357 for a weekly swing trade. Printed a nice hammer last week.

Cheers,
Ed

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Post by cliffg » Sun May 13, 2007 10:29 pm

A little off topic, but ...
RedRock wrote: When adding markets around the globe, and babysitting them personally, as I prefer to do, I’m finding I have a very unusual lifestyle developing with my sleep time synchronized to the markets.
Cheers,
rr
RedRock,
Be careful. There's a fellow out my way who had a similar 'unusual' lifestyle as yours. The story is told that his sleep patterns were so in tune with the regular market hours that he was out for a late supper one evening and walked right into a clear glass door.

However, he has made a lot of money trading the markets. See story link:
http://www.uleth.ca/notice/display.html?b=3&s=6950

Cliff

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Post by RedRock » Sun May 13, 2007 11:07 pm

He seems like a great guy, Cliff! And Ill keep an eye out for those glass doors... 8)
cliffg wrote:A little off topic, but ...
RedRock wrote: When adding markets around the globe, and babysitting them personally, as I prefer to do, I’m finding I have a very unusual lifestyle developing with my sleep time synchronized to the markets.
Cheers,
rr
RedRock,
Be careful. There's a fellow out my way who had a similar 'unusual' lifestyle as yours. The story is told that his sleep patterns were so in tune with the regular market hours that he was out for a late supper one evening and walked right into a clear glass door.

However, he has made a lot of money trading the markets. See story link:
http://www.uleth.ca/notice/display.html?b=3&s=6950

Cliff

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Post by Turbowagon » Fri May 18, 2007 3:52 pm

Bugger, stopped out of above swing trade.

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