Futures trading

[superfrank]

Tom Baldwin (http://en.wikipedia.org/wiki/Tom_Baldwin_%28trader%29) made tens of millions market making (intra-day scalping) on 30 year bonds (ZB) described in his Market Wizards interview (http://www.amazon.co.uk/Market-Wizards-Interviews-Top-Traders/dp/1592802974/ref=sr_1_1?ie=UTF8&qid=1312051211&sr=8-1).

[superfrank]

I've been doing quite well on futures recently so I decided to invest in the full version of NinjaTrader (http://www.ninjatrader.com/) - Lifetime License $995. The standard version (which I've been using up until now) is free.

The full version allows you to automate stops/profit targets and also gives you access to NinjaScript so that you can create your own indicators/strategies (and download existing ones and share with others).

This is a video of automated trade management from the previous version of NinjaTrader (the girl's voice is fab!)...
http://www.youtube.com/watch?v=xrEc_sk6mOA

[RafterP]

Aaargggh its the return of the chipmunks!

[Euler]

Is breating in helium a requirement of using Ninjatrader?

[superfrank]

A simple indicator example for those interested.

'Spread' simply tracks the difference between 2 prices.

You apply a multiplier to one of the prices first (so they roughly tally up in terms of dollars) then the difference is plotted automatically.

In this example the Spread shown (at the bottom) is comparing the oil price (main chart) to the dollar index (the oil price and dollar strength are obviously related).

http://img841.imageshack.us/img841/8536/cldxspread.jpg

Probably works nicely with correlated stock market indices.

All indicators are lagging by their very nature, which is why I don't go mad on them, but they can provide some useful info.

[Ferru123]

'Spread' simply tracks the difference between 2 prices.

If a horse is 2.98 to back on Betfair and 3.0 to lay, the spread is 0.02. Same principle. Might help clarify it (unless I've misunderstood the term!).

All indicators are lagging by their very nature, which is why I don't go mad on them, but they can provide some useful info.

True, but unless you have a crystal ball, they're the only show in town!

Jeff

[superfrank]

You're getting mixed up by the name Spread.

Think of it as Difference (not sure why they called it Spread).

In horse racing terms it would be the relative price difference between 2 runners.

[Ferru123]

A book I purchased on High Frequency Trading defines the spread as:

'Typically refers to the difference between a bid and offer price. Also refers to an option trade consisting of multiple options combined to achieve a special payoff pattern.'

I've no idea what the second sentence means, but the first sentence sounds a lot like the definition I gave.

Jeff

You're getting mixed up by the name Spread.

[superfrank]

It's not a spread!, just simply the difference between 2 prices.

[xitian]

Well they're both called "spread".

eg. the "spread" of Betfair share price (or any other product), is the difference between its buy and sell.

eg. the "spread" between oil and the Dow Jones, is the difference between those two prices (perhaps after some adjusting).

The second can be used as an indicator if there's no reason for them to be completely out of whack.