Search found 5 matches

by Uncle Fester
Wed Jan 28, 2015 4:28 pm
Forum: Data Providers and other non testing software
Topic: Systematic Trading of CME Globex Contracts
Replies: 2
Views: 1719

Re: Systematic Trading of CME Globex Contracts

This is one of the many decisions one has to make when systematic trading. I have struggled and still do wonder whether it's best to trade at the open or at some later time during the session. That the data isn't updated until after the open kind of makes that a moot point. Trading Globex from the U...
by Uncle Fester
Wed Jan 28, 2015 8:07 am
Forum: Trend Indicators and Signals
Topic: How to set stop loss for USDCHF?
Replies: 3
Views: 2068

Re: How to set stop loss for USDCHF?

Regarding stops in the market, bear in mind that in this particular instance there was no liquidity in USD/CHF futures for at least 45 minutes. This meant that all those well-intentioned stoploss orders were filled with a little more slippage than expected! Suffice to say, and to echo the comments a...
by Uncle Fester
Mon Sep 15, 2014 5:39 am
Forum: Futures Markets
Topic: Mexico IPC Index futures
Replies: 2
Views: 1749

This market opens an hour before the US index futures (0730 vs. 0830 Central) but there appears to be no trading until the US opens. The bid-ask spread in that period is terrible. Consequently, if you submit an on-open order it will fill at (quite possibly) the worst price of the day. During the ses...
by Uncle Fester
Fri Sep 12, 2014 11:24 am
Forum: Futures Markets
Topic: SGX Rubber TSR20
Replies: 3
Views: 1922

My system triggered an entry in Singapore Rubber a few weeks ago... Pros: There's plenty of OI, so the bid-ask spread stays pretty constant, and doesn't generally fish around intraday to take out stops. It adds great diversity. In my correlation studies it stands out as being very loosely correlated...