Which of the German bond futures (schatz/bobl/bund) are best for day trading? The two former seem to have unparalleled liquidity but seems like daily volatility is too low for scalping due to the low duration. Any thoughts/experiences?
Hi Quant, depends what kind of trading you want to do, but I would say that most here can forget about the FGBS (Schatz). It just moves a few ticks every day, and the tick value is only 5 EUR, but the exchange fees are the same like FGBM (Bobl) and FGBL (Bund), 0.20 EUR. If you want to start slow you can try FGBM, but I think for most traders the FGBL will be the best instrument. It has a good liquidity, nice volatility and very low exchange fees. A bit similar to the S&P emini, but with lower cost. You could also try to trade both, FGBL and FGBM with different spreads and hedging strategies.
Got it. I've traded S&P500 successfully for the last 3 years and more recently CSI300, so I'll definitely go straight onto FGBL! Thanks for the verification, cheers!
Btw, are there any index futures in Europe that you like? I tried to develop a strategy for Eurostoxx50 but low volatility and big tick size eroded most scalping opportunities. Has to be within CET time zone. Thanks!
Yes, for index futures I also prefer Eurex. The Eurostoxx50 (FESX) is the european equivalent to the S&P500 emini. The moves are similar, same for liquidity. I also like the DAX (FDAX), but it is a large contract. I moves almost 1:1 with the FESX, but it is just higher value. I also spread the FDAX vs the FESX, and most of the time I use a 1:7 ratio, so you can say that 1 FDAX is similar to 7 FESX. If you are well capitalized, trading large contracts like the FDAX can be very advantageous because instead of paying commissions and exchange fees for 7 FESX, you can trade only 1 FDAX and have much lower cost. Exchange fee for the FESX is 0.30 EUR, for the FDAX 0.50 EUR, so much lower than the emini, Russell, NQ...
Well, I'm using IB so transaction cost is 2 EUR. When adding the slippage due to the big tick size it just ate away my profits, so I shelved that one. I agree regarding the advantages of the DAX as comparison! When you say you spread FDAX and FESX, how important is speed in your case? Personally I try to avoid latency-sensitive strategies...
@just21: Consider a 6% 10-year Federal Bonds (Bunds) with actual/actual annual interest payment. When Yield = 4%, bond price = 116.22179 When Yield = 3.99%, bond price = 116.31102 When Yield = 4.01%, bond price = 116.13265 DV01=(0.08923 + 0.08914) / 2 = 0.089185 Therefore, 10-yr DV01 / 5-yr DV01 = 0.089185 / 0.047020 = 1.8967 Or, 100 Bunds = 189 Bobls. But for very short term trading, I go more by feel and usually trade 3 FGBM vs 1 FGBL.
Quant, I would not really scalp futures with IB's TWS. But if you do, you should change your commissions structure from the fixed pricing (=2 EUR per contract) to Cost-Plus Tiered commissions. With CostPlus you will only pay 0.90+0.20 EUR per FGBL = 1.10 EUR. So per RT, you will save 1.80 EUR ! You are almost cutting your cost half just by switching to CostPlus. But in my oppinion it would be even better to use a broker like DDT (FCM= Wedbush) or TradeFutures4Less (FCM= Dorman). You can chose Rithmic Rtrader as free platform and if you only trade Eurex, you dont have to subscribe to the CME data. You will have ZERO monthly minimum, fix cost or data or platform fees. You will pay about 2 EUR per RT for FGBL (only 1 EUR per contract, including commissions, exchange fee and the rithmic transaction fees).
In terms of platforms I use fully automated systems using Matlab and C++ so as long as these providers have good APIs I'm ok. Regarding IB Cost Plus, this only makes sense if you trade large volumes, i.e. 100+ contracts per day, correct?