Trading futures with size?

[blash]

I was just wondering how trading with real size actually happens.

I trade the Dax most days and occassionally see a very large trade executed at a specific price with no emmediate move in the market.

Now as I understand it for every buyer there has to be a seller.

In the example attached 1000 contracts were traded at 3567.

Assuming this was someone going long (I know we dont know)there would have to have been 1000 sellers at that price which I think is very unlikely, and looking at the T&S for that time there were only 11 on the bid and 10 on the Ask.

So has this trade been put through as an average of earlier buying and when the contract was filled the trade shown on the chart.


Can anyone explain how this works?

 

[oatman]

Quite often the size volumes are self-trades.

 

[blash]

self-trades ?

 

[oatman]

The company buys and sells to itself. An internal trade.

 

[Halo]

Morning Blash, chances are it could have been a 'cross-trade' where a bank or broker has a matching buy and sell order for two large institutions or against some form of derivatives/cash strategy trade.. it's quite common for these to be filled by brokers quickly - they don't want to be caught out doing it. Another explanation is that it went through on the calendar spread (Dec/Mar) and the Dec outright showed up (if there's a 1000 lot trade in Mar or Jun at the same time then it can be confirmed).

 

[Halo]

beaten to it!!!
I'm getting slow in my old age!!!!

 

[oatman]

Your reply was longer :cheesy:

 

[Halo]

sign of an ex-broker I'm afraid, why take 3 words when you can waffle on for 2 paragraphs, confuse everyone entirely and still come out looking like you know what you're talking about?

 

[oatman]

Broking? First subtly find out whether the client's bullish or bearish. Then tell 'em what they want to hear ...... Because they're gonna do what they're gonna do whatever you say :cheesy:
So you might as well get the biz.....or someone else will

 

[Halo]

you've obviously been there too.

 

[blash]

Thx for the answers guys, at least they were consistant.

BTW Halo, Ive read your comments on the Bund and had a quick look at the chart.

What is the Bund? it seems to trade the opposite direction to the Dax

 

[blash]

Scrap that.

Ive just found out its the 10yr Gov Bond.

Cheers

 

[Halo]

Cool..... it's nice to see peeps on the board asking clever questions and trying to expand into new mkts.
The inverse Equity/Bond relationship is tradable as a strategy but it looks like you're one step ahead on that one...

 

[blash]

Well its not something I've tried before.

As I see it there are 2 strategy's available.

1.
Trade in the same direction at the same time, when the market moves close the loosing position and manage the winning one. Hopefully the winner will pay back the loss, but the winning position could reverse and and not pay back the losses.

2.
Trade in opposite directions. If you get it correct then your winnings are doubled but if you get it wrong then your losses are doubled.

Not sure how they can be used together for trading decisions.

 

[Halo]

If you want to trade the 'spread' you should really look into getting the correct correlation and pricing so I'd avoid that for the time being. To kick off with I'd consider using the relationship you've spotted as either an indicator or a confirmation for your decisions. For example, if you believe the equity markets will have a down pm, maybe look to buy bonds on any dips (good if you have strong views on the US before it opens and want to trade Bunds/Bonds in the am). If you have strong negative views on equities - and the inverse relationship you feel is strong, back up your sell decisions by checking on the bond market - if it's also dropping then maybe timing/entry could be better (or you're wrong!). A word of warning though - although you've spotted the relationship (one that exists greatly due to asset allocation i.e if your pension fund is getting low returns from fixed income portfolios and equity markets are rising then they will re-allocate or switch into the most attractive instruments, a great deal of program trading also follows these trends).. it doesn't always hold true and can sometimes be completely unrelated... Good luck.

 

[DaxTrader]

Used to try to trade Dax and Bund, not at the same time, found it confusing as some times they traded in opposite directions, particulary during extreme volatility, other times the same direction.
Too confusing, gave up and just stick to one now and ignore the other.