US T-bonds

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fisu
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US T-bonds

Post by fisu » Thu Oct 06, 2011 6:37 am

Since I cannot post to newbie section, I'm posting here.

My long only LTTF system on stocks is flat now so I started studying bond markets. As a test I bought T-bonds (T 3 3/4 08/15/41) with position size only $1k. I just wanted to buy it and hold for couple of days and see how it looks on my statements with commissions and everything. I tried to liquidate the position about two weeks ago with GTC market order. The problem is that I'm still holding that position. Broker is showing bid and ask size of $10k

Is my only option to wait or would it help if I purchase more and then sell the larger position, $10k for example?

My broker is Interactive Brokers if that makes a difference. Their customer support only told me that the dealer does not have to deal...

babelproofreader
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Post by babelproofreader » Thu Oct 06, 2011 8:48 am

If you can't sell it outright, you might consider hedging it by using an account with another provider.

fab1usa1
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Post by fab1usa1 » Thu Oct 06, 2011 10:25 am

Going forward you may want to consider going long or short a bond futures contract. I am trading 2Y and 5Y notes with IB, symbols ZT and ZF respectively on ECBOT. These are mini contracts. I have not found a mini-sized 30Y but if you have the capital to trade the full-sized contracts then you can probably find a 30Y. There are no liquidity problems with these futures, at least in my experience.

M20J
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Post by M20J » Thu Oct 06, 2011 9:56 pm

I'm pretty sure ZB is the equivalent code for the ECBOT long bond futures and ZN for the ten-year.

Given the very tight bid-offer spreads, you may find the cheapest solution to buy another $9k so that you've got $10k to sell.

Aaron01
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Post by Aaron01 » Thu Oct 06, 2011 10:11 pm

fab1usa1 wrote:I am trading 2Y and 5Y notes with IB, symbols ZT and ZF respectively on ECBOT. These are mini contracts.
I do not believe there are mini Treasury futures. ZT, ZF, ZN (10y) and ZB (30y) are the Globex (electronic) codes for the Treasury futures, this is how they're represented on the CME's website.

Additionally, the CME makes no mention of mini Treasuries, nor have I been able to find a mention of their existance through secondary and tertiary sources; brokers and data providers respectively.
The Globex Treasury futures would appear to have a different (lower) margin requirement through many brokers. But the contract size and thus the BPV remains the same.

fisu
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Post by fisu » Fri Oct 07, 2011 4:16 am

M20J wrote:I'm pretty sure ZB is the equivalent code for the ECBOT long bond futures and ZN for the ten-year.

Given the very tight bid-offer spreads, you may find the cheapest solution to buy another $9k so that you've got $10k to sell.
The position finally got liquidated yesterday.

Do you think that it should be lot easier to get fills if I buy and sell $10k at a time? It does not even make sense to buy just $1k because the commission for $10k is the same.

fab1usa1
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Post by fab1usa1 » Fri Oct 07, 2011 7:12 am

fisu, excuse my ignorance but I believe that you are limiting yourself to long-only positions by purchasing bonds. What about the short side? You can get that with bond futures.

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