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Cross Market Analysis

  • #121
  • Jul 14, 2014 7:15am Jul 14, 2014 7:15am
Quoting Aws1962
{quote} imagine it like a microsecond auction process. remember a market maker takes both sides with a spread. So they will fill both sides of anyone that wants a trade. It will also eat up orders, and the slower price feeds will have to fill orders at mkt (slippage). Tho the exact details are for the PhD quant guys, but just think microsecond auction process.
figured something like this yes. auction process.
Cus, after seeing different MM platforms during news, we have similar patterns going on with several moments inside few seconds and then established equilibrium on all of them to the exact spot (lets say 77/79)

Lets say..we have market 17/19 and there is 35s to the results...results come out - in a row with expectation, nothing special really. Market still runs strong towards 77/79. Why?
So the results interferes in the next quote of the market, and all MM have the same algo to read this shjit?

Or, why the other way around..if we have splendid news and we have a stable quote thru the news, with no impact.

Why market makers agree on that particular price? Because they matched eachother out in this micro-micro second trades?
  • #122
  • Jul 14, 2014 7:28am Jul 14, 2014 7:28am
Quoting 21vs7
{quote} figured something like this yes. auction process. Cus, after seeing different MM platforms during news, we have similar patterns going on with several moments inside few seconds and then established equilibrium on all of them to the exact spot (lets say 77/79) Lets say..we have market 17/19 and there is 35s to the results...results come out - in a row with expectation, nothing special really. Market still runs strong towards 77/79. Why? So the results interferes in the next quote of the market, and all MM have the same algo to read this...

The banks don't have the same algos, no. But they are quite similar, and all really fast.

But like I said, they dont "agree" on a price... its an auction. that is where it settles, that is where the market clears at.
  • #123
  • Jul 14, 2014 7:40am Jul 14, 2014 7:40am
Quoting Aws1962
{quote} The banks don't have the same algos, no. But they are quite similar, and all really fast. But like I said, they dont "agree" on a price... its an auction. that is where it settles, that is where the market clears at.
OK, they matched and cleared.
thanks
  • #124
  • Jul 14, 2014 1:04pm Jul 14, 2014 1:04pm
Awfully quiet in here must be in weekend mood

AWS, you have something like this for AUDUSD?

http://www.forexfactory.com/attachme...1&d=1405100270
  • #125
  • Jul 14, 2014 5:12pm Jul 14, 2014 5:12pm
Quoting Ken A
Awfully quiet in here must be in weekend mood AWS, you have something like this for AUDUSD? {image}
Here. I modelled it to a AUDUSD value. so 0.91.
Attached Image (click to enlarge)
Click to Enlarge Name: AUD 2Y.png Size: 44 KB
  • #126
  • Jul 14, 2014 9:10pm Jul 14, 2014 9:10pm
Okay, I have some questions. This week we have unemployment claims on Thursday for the USA. According to FF the expectation is 310. Now how do we know what to do when the numbers come out. I don't care about the immediate play, that's just too fast and too much like gambling.

So here we go:

How do we know what numbers will make a fundamental change, even if just a few days? And how should I know that?

How do we know if an over/under is already priced into the market?

There is so much fundamental information out there to look at and review, how can a retail guy keep it all straight and not have a degree in it.

If you were a retail trader trading your own personal money what 3 things would you key in on to make the most money?

If we use supply demand/turning points in our trading how do we know if order flow is still there or all pending orders have been pulled?

Thanks in advance,

Simple
A woman drove me to drink, and I forgot to thank her
  • #127
  • Jul 15, 2014 2:53am Jul 15, 2014 2:53am
Quoting simpleguy
Okay, I have some questions. This week we have unemployment claims on Thursday for the USA. According to FF the expectation is 310. Now how do we know what to do when the numbers come out. I don't care about the immediate play, that's just too fast and too much like gambling. So here we go: How do we know what numbers will make a fundamental change, even if just a few days? And how should I know that? How do we know if an over/under is already priced into the market? There is so much fundamental information out there to look at and review, how can...
Firstly, Unemployment claims isn't an important enough indicator to have a sizeable reaction, its a tier 2 / tier 3 data piece.

but lets pretend it is important for the purposes of this...

I've attached a picture of the estimate and the high/low.

How do we know what numbers will make a fundamental change, even if just a few days? And how should I know that?

you need to think bigger picture, one print doesn't change everything, you need all the numbers to start to improve before you consider a fundamental change in an economy.

How do we know if an over/under is already priced into the market?

High - Low estimates (as per pic) is a good way of doing this. OR some people look at std devs and see how far from the estimate a number was in terms of std deviations.

there is so much fundamental information out there to look at and review, how can a retail guy keep it all straight and not have a degree in it.

There is no way you'd need a degree. And I would disagree, there isn't much... a few labor numbers, some pmis, some gdp... not that much.

If you were a retail trader trading your own personal money what 3 things would you key in on to make the most money?

Optimal portfolio theories suggest if you have a net exposure >500% of AUM then you're fucked basically. Therefore, given retailers are probably going to take on more risk than a proffesional, limit your leverage to 10x

If we use supply demand/turning points in our trading how do we know if order flow is still there or all pending orders have been pulled?

I'm confused, if you're using supply/demand, you can only do so if you know the flow. In which case you'd know where orders are at. I don't believe a retailer could ever posses enough information to be a flow trader, so I don't know how you can use supply/demand..
Attached Image (click to enlarge)
Click to Enlarge Name: claims.png Size: 10 KB
  • #128
  • Jul 15, 2014 4:25am Jul 15, 2014 4:25am
Big beat on UK CPI, however a one-off thing. Will reverse lower next month... GBP obviously legs higher, and people I'm seeing are unwilling to fade given data tomorrow.. (may of course be some USD buying affecting cable, but no fade broadly in GBP)

Even though its 1 month, at 1.91% CPI print puts pressure on the BOE to act, especially in the 2014 timeframe... Short end UK rates legged higher with GBP 1y1y going back towards local highs.

Yellen up later, chance for her to be more hawkish, as she is speaking on behalf of the Fed, not herself.

Either way, mkts livening up a little!

Oh and volatility dropped in GBP. !?!
  • #129
  • Jul 15, 2014 6:23am Jul 15, 2014 6:23am
is it worth it?
Attached Image (click to enlarge)
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  • #130
  • Jul 15, 2014 6:35am Jul 15, 2014 6:35am
no.
  • #131
  • Jul 15, 2014 1:33pm Jul 15, 2014 1:33pm
EUR has large stops under 1.3550 and huge ones (RM + leveraged) under 1.35.

selling pressure could push us under a 2yr trendline.

*however* there is currently no reason I see as to why today/tomorrow is the day we break.

when we look at DTCC, there is still enormous pin risk at 1.36 and above. With no catalyst to break lower, do we really think we will?

As such my desks current reco, buy 2W 1.36 call, sell 2x 1.35 put (as shown below)

right now, receives 2.5 points as a structured long trade. Basically, this trade needs spot >1.36 in 2W times
Attached Image(s) (click to enlarge)
Click to Enlarge Name: EUR techs.png Size: 59 KB
Click to Enlarge Name: EURUSD DTCC.png Size: 30 KB
Click to Enlarge Name: eurusd options.png Size: 18 KB
  • #132
  • Jul 15, 2014 2:03pm Jul 15, 2014 2:03pm
Quoting Aws1962
EUR has large stops under 1.3550 and huge ones (RM + leveraged) under 1.35. selling pressure could push us under a 2yr trendline. *however* there is currently no reason I see as to why today/tomorrow is the day we break. when we look at DTCC, there is still enormous pin risk at 1.36 and above. With no catalyst to break lower, do we really think we will? As such my desks current reco, buy 2W 1.36 call, sell 2x 1.35 put (as shown below) right now, receives 2.5 points as a structured long trade. Basically, this trade needs spot >1.36 in 2W times {image}...
EU movement looks unnatural lol
  • #133
  • Jul 15, 2014 2:08pm Jul 15, 2014 2:08pm
Quoting Ken A
{quote} EU movement looks unnatural lol
what do you mean? mkt is seriously short gamma, maybe that explains why you think its unnatural?
  • #134
  • Jul 15, 2014 2:13pm Jul 15, 2014 2:13pm
Quoting Aws1962
{quote} what do you mean? mkt is seriously short gamma, maybe that explains why you think its unnatural?
Is there strike at 1.3550 in coming days?
  • #135
  • Jul 15, 2014 2:17pm Jul 15, 2014 2:17pm
Quoting Ken A
{quote} Is there strike at 1.3550 in coming days?
There are strikes at nearly every level, every day... but the chart of upcoming big strikes is the bubble one above.

but why would that matter now?
  • #136
  • Jul 15, 2014 2:22pm Jul 15, 2014 2:22pm
Quoting Ken A
{quote} EU movement looks unnatural lol
just look. it was on cards.
http://www.forexfactory.com/showthre...35#post7583935
don't predict direction, but dance with flow of water
  • #137
  • Jul 15, 2014 2:22pm Jul 15, 2014 2:22pm
Quoting Aws1962
{quote} There are strikes at nearly every level, every day... but the chart of upcoming big strikes is the bubble one above. but why would that matter now?
Just saw it.

Because thinking to long spot.
  • #138
  • Jul 15, 2014 2:52pm Jul 15, 2014 2:52pm
market hybernation with few AUD adjustments before news later..

one needs high standard deviations to play the market.
dead

I know low vol at this hour infront of a big news is a fact but this adjustments?
what happens in USa now..changing it to aSSia, liquidating
Attached Image (click to enlarge)
Click to Enlarge Name: hyb aud adjust.png Size: 140 KB
  • #139
  • Jul 16, 2014 2:51am Jul 16, 2014 2:51am
desk covered NZD shorts at 87. Middle of nowhere now, need a new catalyst.
Attached Image (click to enlarge)
Click to Enlarge Name: NZD.png Size: 100 KB
  • #140
  • Jul 16, 2014 2:52am Jul 16, 2014 2:52am
Bank of America desk notes


Summary
· G10: Strongest convictions in NZD, GBP, EUR & USDCAD.
· CEEMEA: Lower EURHUF, higher EURHRK & EURRSD.
· ASIA: All eyes on the Won again, but China data better.


G10
EURUSD
Conviction – Lower 3/5
Yellen’s testimony once again put the focus back on employment data and its role as a pre-indicator of any moves from the FOMC. Yellen also seemed to suggest that the employment data had been better than expected of late: “If the labor market continues to improve more quickly than anticipated by the Committee, resulting in faster convergence toward our dual objectives”. While this is not necessarily a massive shift to a hawkish stance it is certainly leaning less dovish than previous communications and may well be the beginning to the slow grind higher for the USD from here. With that in mind I continue to look for EURUSD lower and a break of 1.3500 would encourage me to add to my existing short conviction.
Resistance: 1.3640, 1.3680
Support: 1.3540, 1.3500

USDJPY
Conviction – Flat
The pair has an air of déjà vu about it. Some risk off event always seems to happen in the mid 101’s which forces people to get short, then fizzles and we get a little move higher. Or maybe it’s just that we are mired on a 101 handle. A lot of US data on the calendar today so maybe we can gain some traction following yesterday’s mild USD rally. 102.25 remains pivotal above.
Resistance: 102.05, 102.25
Support: 101.10, 101.40

GBP
Conviction – GBP higher 3/5
CPI driven rally yesterday gave us a new, all be it marginal, high on the year. The sell off that ensued was due to overall stronger USD on Yellen. I expect GBP strength to continue and currently favour a split between cable and EURGBP. Jobs data today will be key. Keep an eye on earnings- the number that has slightly disappointed recently. Any sell off on a weaker labour force print should be faded.
Resistance: 1.7200, 1.7250 0.7980, 0.8000
Support: 1.7120, 1.7070 0.7885, 0.7850

AUD / NZD
Conviction – NZDUSD lower 3/5, AUD Lower 2/5
Weak milk auctions and softer inflation will put some doubt in the minds of the RBNZ as to their next move and once again highlights the dangers of being the first to hike in an environment where many CB’s are still very much on an easing path. As I have stated for the past few weeks I think NZD has come close to its highs and the weight of carry positions combined with the continued effects on exports and now softer inflation should sufficiently shift the risks for a move lower. I continue to advocate a lower conviction. AUD isn’t quite so clear for me at the moment, with a certain amount of negativity already priced and a stubbornness to break out of the range I prefer advocating medium term downside with some window KO’s as opposed to an outright strong lower conviction in the cash space.
Resistance: 0.9385, 0.9420/30, 0.9480
Support: 0.9330, 0.9280
Resistance: 0.8775, 0.8840/60
Support: 0.8640, 0.8600

USDCAD
Conviction – Higher 3/5
Big day for USDCAD with the BoC this afternoon; manufacturing sales at 1:30 will have little impact with the BoC so shortly after. We don’t expect a shift in policy tone, particularly after the very bad employment data. The BoC will probably revise up its inflation forecast, but once again strongly reiterate that strong inflation is driven by temporary factors. We remain with a higher USDCAD conviction, believing any hawkish expectations are unfounded: we expect Poloz to maintain a very dovish tone particularly after the bad data of late.
Resistance: 1.0800, 1.0785
Support: 1.0720, 1.0640/50

SKANDIES
Conviction – Lower NOKSEK 2/5
No change in conviction in a relatively quiet week for the Skandies. EURSEK has held well at 9.20 and will be key for a move lower
Resistance: 8.4500, 8.5500 9.3400, 9.4000
Support: 8.3800, 8.3500 9.2000, 9.1800
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