Since the NYMEX has all but annihilated the fun in QM, I'm now considering scalping Globex Euro FX futures. I just did about a dozen roundtrips, and I just about break even after commissions. Here's what I plan to do (and have been doing, except for one little SNAFU when I was fiddling around with the interface and accidentally set my stop 2 ticks too low; cost me about a hundred bucks... made me look at the cost of Button Trader in a new light hehe). I look at a 5 min bar chart to determine at which levels (+/-a few ticks) I am interested in going long and at which levels i am interested in going short. I tend to trade ranges rather than breakouts. When I see a breakout on high volume I usually take it as a signal to stay out for the moment. Whenever the market approaches one of the aforementioned levels of interest, I watch for (mini-)capitulation and submit a limit order if I see an opportunity. If I don't get an immediate execution, I give the order some time to work, depending on general market conditions, usually between 30 seconds and 15 minutes. Initially my "worst case" stop is sitting at the exchange as a stop limit with trigger at 8 ticks and limit 4 ticks from the trigger. This is supposed to be hit only rarely; it happened once today. I usually take a profit of about 4 or 5 ticks if everything goes well. If the position starts moving against me, I lower my mental profit target; if, on the other hand, it moves very strongly in my direction, I shoot for more (this has not happened yet). In any case (except the worst case stop, obviously), I enter my limit order to exit in a similar fashion as the entry, except I am naturally a little more aggressive than with the entry. As some of you may have guessed, I only do one lot for now. Eventually I would like to scale out (and possibly also in) in two steps. So what do you guys think? 1. Any input is appreciated. I realize the description of my strategy is vague. That's due to my articulatory ineptitude; it's not an attempt to keep you in the dark. Feel free to ask questions. 2. Should I even bother posting here, in other words, is anyone interested in this kind of journal? 3. Would you like to see a daily list containing every single trade, or will the bottom line do?
Yes, 6EZ5 until the March contract becomes the most actively traded one. By the way, I have no idea when that will happen. Does anyone know?
The last day of trading ECZ05 is 12/19, so we will roll over the prior week. I would guess Thursday 12/15 will be the day to roll to March. http://www.cme.com/clearing/clr/cal...ange&product=EC&year=2005&view=table&x=13&y=8
Gas on the ipe is the fun market at the momemt. Went up 40% yesterday. NGF on IB. Sign up for UK futures and no exchange fee for data.
what are you paying r/t? may find that 10 or 15min may help setting your levels. less opportunity, but more accuracy
IB unbundeled commissions, currently $5.34 including all taxes and fees, if I am not mistaken. Thanks for the suggestion! I just checked, and indeed, on a 15 min bar chart, the one big loser I had today doesn't look like a good entry at all. I think I'll start looking at 15 min for confirmation.