Support Board
Date/Time: Wed, 15 Jan 2025 21:16:08 +0000
Post From: US Treasury inter commodity spreads (ICS)
| [2017-09-06 12:32:45] |
| User409029 - Posts: 5 |
|
I have been trading the BUB and NOB on sim and everything works well until the daily reset from 4 - 5 CT after which the price resets to 0 as explained here: http://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf Unfortunately my position stays the same and so if I was lets say down by 3 ticks, when the market resets to 0 I am up depending on how many ticks the market was from the 0 point prior to reset. For example, yesterday when the market closed I was down 5 ticks (the market was at -19 and I was at -14). I was in a 10 lot approximately -$1500 down but when the market reset and reopened at 5 pm CT to 0 based on settlement price for each leg at 2 pm CT, I was up over +$5000. This is obviously not correct. Unfortunately I have never traded this live but would like to but since the sim environment is not an accurate reflection of what I should expect, I am hesitant to do so. Can this be addressed? Thanks Ned |