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What's happening to the SPI?

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blink231

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15 January 2009
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Was just wondering whether anybody has any insights on what's happening to the SPI. It just looks as if the market structure has changed a lot recently. There is hardly any flow let alone any intraday volatility left. Either somebody big has left the field or some pricing advantage is chocking the contract.
 
Re: What's happening to the SPI

Yeah I notice that some systematic strategies I work on that were profitable in the 2nd half of 2011 now never get triggered, and other strategies that made a loss in late 2011 are now making tidy profits. Completely different behaviour.
 
Re: What's happening to the SPI

Punta said:
Really? I doubt there's been a massive increase in HF bots in 2012 c.f. the second half of 2011.

To be fair, this is the only index future that I look at, but I suspect that similar behaviour might be seen in other contracts index futs as well...
Click to expand...

Mate there has been a slow bleed of prop and larger locals away from the SPI for a few years now. There is no one left trading it.
 
This thread was accidentally closed this morning (as I was browsing ASF on my iPhone - D'oh!) and has now been re-opened.

Apologies for any inconvenience.
 
I have given up on trading the SPI and trade now mainly the european markets ... but just out of curiosity. I was just wondering whether there are still any full time SPI intraday traders left. If you happen to be one could you please reply to this thread.
 
Hi blink231, we 'Trade the SPI' and have done so for nearly 20 years.
 
Yes of course Trembling Hand,
We think markets change as they go through cycles.
History seems to always repeat itself.
Missed the first 10 years.
Nearly 30 years of SPI
16th February 2013
 
Hi All,

I'm new to this forum and I've been looking at day trading the SPI for a few months now.

Do you mind if I ask how (in broad general terms) people here trade the SPI?
Ie
1) What broker/datafeed do you use?
2) What time frame (Bar size 5min, 20 tick???)
3) Expected trade size?
4) Do you trail a stop or do you have a specific profit target?

Thanks,
Neil.
 

Hiya NW, i trade the SPI systematically with a couple of other Asian markets.

1. Interactive Brokers & eSignal
2. I use 1 minute as my time frame, but i could also use 5min.
3. I only trade 1 contract at the moment
4. I do use a trailing stop, as well as a protective stop, and a breakeven stop.

Cheers,


CanOz
 
CanOz said:
Hiya NW, i trade the SPI systematically with a couple of other Asian markets.

1. Interactive Brokers & eSignal
Click to expand...

Is there a problem with using IB data to system trade with? Or did you already have eSignal for backtesting purposes?
 
Lone Wolf said:
Is there a problem with using IB data to system trade with? Or did you already have eSignal for backtesting purposes?
Click to expand...

I got it when i started using NinjaTrader because the data is faster to load, and was supposed to be better quality data than IB. The main benefit now though are the continuous contracts on the US markets, good for BTing and Opt-ing.

CanOz
 
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