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Using WM/Reuters Benchmark Rates in trading

  • #61
  • Feb 11, 2015 6:24pm Feb 11, 2015 6:24pm
Quoting stt
just so you know "WM/Reuters Benchmark Rates" is just one benchmark. Agreed it is the most common one since most corporations give benchmark orders to banks. This is the benchmark which banks are accused of manipulating as well. Also other common one is BFIX (Bloomberg fix). I have access to both and more benchmarks that are commonly used. you can get some of the fixings at http://www.bloomberg.com/markets/currencies/fx-fixings/. both these have 30 mins and hourly fixes btw (depending on the currency pair). And your theory that FIB level...
WM/R Benchmars are the ones that are most widely used. Bloomberg is not a Benchmark it is a Fix. A Benchmark is a Fix, but a Fix is not a Benchmark.

From WMcompany.com

Below is a list of Index Compilers that use the WM/Reuters Rates for the purpose of Index Compilation.

  1. Citigroup Global Markets Ltd
  2. FTSE International Ltd
  3. International Index Co
  4. IPD (International Property Database)
  5. JP Morgan Securities Ltd
  6. Merrill Lynch, Pierce, Fenner & Smith Inc
  7. Morgan Stanley Capital International Ltd
  8. OMX (Stockholm Stock Exchange Ltd)
  9. Standard & Poors
  10. STOXX LTD

The WM/Reuters Rates are approved or recommended by the following Associations:

  1. ACI Suisse (The Financial Markets Association)
  2. AFXC (Australian Foreign Exchange Committee)
  3. IFSA (The Investment and Financial Services Association)
  4. PFA (Japan Pension Fund Association)
  5. NZFMA (New Zealand Financial Markets Association)

Fund companines, stock exchanges, SEC Filings, all use the WM/R Benchmark. Bloomberg is not a Benchmark.


You said that you know something that we don't. I know something and I am sharing it here. It would be great if you could also contribute your knowledge! :-)

  • #62
  • Feb 11, 2015 6:27pm Feb 11, 2015 6:27pm
Quoting chsortman
So are you just pointing out with that document that the inception of the benchmark rates was a fixed point in time? You base the fib levels off current benchmark rates though? How often do they release the benchmarks?
I use the first Benchmark for the zero on the Fib and then the first swing high or low for the 100.

For example, on the EURUSD the first Benchmark was 1.115. The swing was 1.348. Draw a fib with those numbers and study the charts.
  • #63
  • Feb 11, 2015 6:31pm Feb 11, 2015 6:31pm
EURUSD

One minute chart. Rejection at 85.4%

Now we are seeing support at the 38.2% ratio.


One chart with no information. The second with information.

Now you can see.

Study the charts, not the conversation.
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  • #64
  • Feb 11, 2015 6:58pm Feb 11, 2015 6:58pm
Professionals don't all trade alike. Some, gasp don't use technicals at all.

Now although I do use fibs they come after good old support and resistance.

EU all time high broke support based on current price action - not a fib line - and down it went.
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  • #65
  • Feb 11, 2015 7:10pm Feb 11, 2015 7:10pm
Quoting SunTrader
Professionals don't all trade alike. Some, gasp don't use technicals at all. Now although I do use fibs they come after good old support and resistance. EU all time high broke support based on current price action - not a fib line - and down it went. {image}
Ghost Rider - WWTBMD?
  • #66
  • Feb 11, 2015 7:27pm Feb 11, 2015 7:27pm
Hi all,
interesting...

Please see post # 74

 

  1. Post 74
  2. Cleanup
  3. Quote
  4. May 27, 2014 16:27

  1. http://assets.forexfactory.net/nfs/c...tar52350_5.gif skenobi
  2. Joined Oct 2007 | Status: Financial Markets Operator | 868 Posts

Quoting NWSTrading
From an institutional trader's perspective, do you feel that Fibonacci retracements provide any useful insight to market direction?
I hate saying it, because it's not very scientific, but to me, the answer is yes.
Quoting NWSTrading
Lastly, do longer term fib levels carry more/less weight than short term?
To me, longer term fibs only have more weight if there's some confluence with short-term fibs.

Disclaimer: I only look at fibs because other institutionals use them for target settings i.e. a lot of orders tend to cluster around the fibs. Otherwise, I don't care much for them.

Have a good trading week.

Tomcat98

  • #67
  • Feb 11, 2015 7:32pm Feb 11, 2015 7:32pm
Really interesting thread! Subcribed
  • #68
  • Feb 11, 2015 7:34pm Feb 11, 2015 7:34pm
Quoting SunTrader
Professionals don't all trade alike. Some, gasp don't use technicals at all. Now although I do use fibs they come after good old support and resistance. EU all time high broke support based on current price action - not a fib line - and down it went. {image}
Fibs based on WM/Benchmarks come before Support and Resistance.

Here is evidence: http://www.forexfactory.com/showthre...57#post8062357

The 161.8% Ratio provided strong resistance as well as the 200%
  • #69
  • Feb 11, 2015 8:37pm Feb 11, 2015 8:37pm
Quoting GreatNorth
{quote} Fibs based on WM/Benchmarks come before Support and Resistance. Here is evidence: http://www.forexfactory.com/showthre...57#post8062357 The 161.8% Ratio provided strong resistance as well as the 200%
Well, yes and no. Price does react at fib levels of course but, SR rules for the actual turn in price. In this case (your example), the 1.6000 handle.

For me SR is where to look, fibs are for how it gets there and targets along the way. That said, I've always used the golden ratio.
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Ghost Rider - WWTBMD?
  • #70
  • Feb 11, 2015 8:50pm Feb 11, 2015 8:50pm
Quoting albchr
{quote} Well, yes and no. Price does react at fib levels of course but, SR rules for the actual turn in price. In this case (your example), the 1.6000 handle. For me SR is where to look, fibs are for how it gets there and targets along the way. That said, I've always used the golden ratio. {image} {image}
I don't know what you refer to when you say "handle" in regards to trading and I don't know how you gotten 1.6000 on your chart. Is it an arbritary level or one that you got through another system? In any case, this thread is not about what you've posted. I don't think you've really read the thread.

The levels came from 1995 from WM/Reuter Benchmarks used widely in the financial industry.

The 200% level at 1.5810 comes from then. There would have been no support or resistance at that level prior to that since the price was at virgin territory.
  • #71
  • Feb 11, 2015 9:29pm Feb 11, 2015 9:29pm
Quoting GreatNorth
{quote} I don't know what you refer to when you say "handle" in regards to trading and I don't know how you gotten 1.6000 on your chart. Is it an arbritary level or one that you got through another system? In any case, this thread is not about what you've posted. I don't think you've really read the thread. The levels came from 1995 from WM/Reuter Benchmarks used widely in the financial industry. The 200% level at 1.5810 comes from then. There would have been no support or resistance at that level prior to that since the price was at virgin territory....
Apologies, "handle" is simply another term for level. Usually referring to a round number i.e. 1.6000. Most traders know this?

Yes, I have read the thread actually. As far as "virgin territory" I can't speak to that as my data only goes back to 1989 on this feed. But the high of 1.60373 comes in at the 123.6% extension of the previous major swing. Only 37.3 pips off the 1.6000 handle. You're 200% at 1.5810 is quite a bit further away .... no? I like to dial it in a bit tighter myself.

It would be interesting to see you use this method to see where price is going tomorrow. That's been asked in here by srt and Stu. I'll wait to see that.

Anyway, not picking on ya. Just throwing my 2c in.
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Ghost Rider - WWTBMD?
  • #72
  • Feb 11, 2015 9:31pm Feb 11, 2015 9:31pm
Quoting GreatNorth
{quote} I don't know what you refer to when you say "handle" in regards to trading and I don't know how you gotten 1.6000 on your chart. Is it an arbritary level or one that you got through another system? In any case, this thread is not about what you've posted. I don't think you've really read the thread. The levels came from 1995 from WM/Reuter Benchmarks used widely in the financial industry. The 200% level at 1.5810 comes from then. There would have been no support or resistance at that level prior to that since the price was at virgin territory....
Handle is a word used by....wait for it....professionals.

It is short hand for rounding of price.

ex. Hey Ed! I want you to sell the Euro once it breaks below the twelve (12) handle! Meaning: sell the EURO once it goes below 1.1200
  • #73
  • Edited Feb 12, 2015 7:23am Feb 11, 2015 9:36pm | Edited Feb 12, 2015 7:23am
Quoting GreatNorth
{quote} WM/R Benchmars are the ones that are most widely used. Bloomberg is not a Benchmark it is a Fix. A Benchmark is a Fix, but a Fix is not a Benchmark. From WMcompany.com Below is a list of Index Compilers that use the WM/Reuters Rates for the purpose of Index Compilation. Citigroup Global Markets Ltd FTSE International Ltd International Index Co IPD (International Property Database) JP Morgan Securities Ltd Merrill Lynch, Pierce, Fenner & Smith Inc Morgan Stanley Capital International Ltd OMX (Stockholm Stock Exchange Ltd) Standard & Poors...
I said that WMR is most popular one so you are just confirming that. The WMR is calculated using 1 min twap window and so is BFIX. Just the difference is which trades are included.

As far sharing the knowledge i have posted many times here how i think about trading. first of all professionals dont trade based on just technical tools. they are heavily fundamental/macro analysis driven. Second, bank traders (and some fund traders too) have very good information on flow going in the market so they can sense which way the pressure is (this is for short term timing). Professionals use technical only for very rough guide.

Why do you think most banks have 100s of research people doing fundamental analysis while may be 1 or 2 guys publishing some technical research (which also has fundamental things in background).
Think : Trade : Live Life
  • #74
  • Feb 11, 2015 11:44pm Feb 11, 2015 11:44pm
Quoting stt
{quote} I said that WMR is most popular one so you are just confirming that. The WMR is calculated using 1 min twap window and so is BFIX. Just the difference is which trades are included. As far sharing the knowledge i have posted many times here how i think about trading. first of all professionals dont trade based on just technical tools. they are heavily fundamental/macro analysis driven. Second, bank traders (not some fund traders too) have very good information on flow going in the market so they can sense which way the pressure is (this is...
Exactly, you are spot on. The bottom line= A pin bar dont mean shit to any pro. Or any mathematician lines for that matter. You would be better off trying to predict where order clusters and stops are sitting in spot forex than try to use classic TA.
All posts are my personal opinion
  • #75
  • Feb 12, 2015 12:44am Feb 12, 2015 12:44am
Pro traders realise poor returns, have large exposure, need a lot of capital and have losing months. They are also greedy and arrogant. Who wants to trade like them rotten apples?
  • #76
  • Feb 12, 2015 2:16am Feb 12, 2015 2:16am
Very interesting. I can get somehow access to Reuters feed so will check up on those this weekend.
  • #77
  • Feb 12, 2015 2:52am Feb 12, 2015 2:52am
Thx very much GreatNorth, this is AMAZING. Tried it on my favourite pairs, and woooowwww!!!

One question please = You provided benchmarks for certain pairs etc. Until when are those bencharks valid? Will you be around to provide updates if/when appropriate?

Once more big thx!!!
  • #78
  • Edited 4:07am Feb 12, 2015 3:42am | Edited 4:07am
GreatNorth,

You are letting another cat out of the bag. Very informative information.

Best wishes for you & your thread.
_________________________________
  • #79
  • Feb 12, 2015 4:11am Feb 12, 2015 4:11am
Quoting GreatNorth
EURUSD One minute chart. Rejection at 85.4% Now we are seeing support at the 38.2% ratio. One chart with no information. The second with information. Now you can see. Study the charts, not the conversation. {image} {image}
Very intersting thread GreatNorth, thanks for that inside view.

So for me this means that your shown "fib tablet" for EUR/USD is valid as Long as Price is in that area?! Am I right with this?

this morning eur/usd found nice Support at 38.2 Level at 1.3110 and found 2 times resistance at 85.4 Level at 1.1348....

Go on posting........
  • #80
  • Feb 12, 2015 5:18am Feb 12, 2015 5:18am
One more from me....

If I understand that "concept" right, there is one big area where to draw the fibs. For eur/usd this area is 1.115 to 1.3480

Then we draw fibs inside that fib areas to see the smaller timeframe moves.........

I did this and draw the fib inside the original 0 - 14.4 fib (1.1150 - 1.1491) for the 4H Chart.

The result is this........

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