Description
Algo Trading 101 – BF101: Bond Futures – Trade Like A Market Maker
Learn how to run a STIR (Bond) futures calendar spread strategy
What You’ll Learn In BF101: Bond Futures – Trade Like A Market Maker
Chapter 1 > Strategy Design – Creating Alpha Out of Thin Air: The Magic of Synthetic Assets
- Introduction to Synthetic Assets – Why Does It Produce Alpha
- Types of Synthetic Assets – Hedging in Different Ways (Part 1)
- Types of Synthetic Assets – Hedging in Different Ways (Part 2)
- Manual Trading
- Moving Beyond Spreads – Spread^2 and Others
- Download Code for the Chapter
- Practice 1 (Questions) – Dollar-Hedged Structure
- Practice 1 (Answers) – Dollar-Hedged Structure (Part 1)
- Practice 1 (Answers) – Dollar-Hedged Structure (Part 2)
- Manipulating the Shapes of Structures using Multipliers
- Effect of Multipliers – Summary
- An Impossible Structure – One Ranging and One Trending
- Normalizing the first value to 1
- Market-Hedging and Other Hedges
Chapter 2 > Bond Futures Synthetic Structures – The Calendar Spreads I
- Bond Futures Calendar Spreads (Part 1) – One of the Most Stable Synthetic Asset – Introduction
- Bond Yields and Prices – They are Inverse!
- Bond Futures Calendar Spreads (Part 2) – Understanding the Fundamental Idea
- Finding Alpha in STIR Futures
- Download code for this chapter
- Code to download BAX data + 2 Coding tasks for you
- Downloading and Cleaning BAX Data
- Calculating and Plotting a Double Butterfly in Python (Part 1)
- Calculating and Plotting a Double Butterfly in Python (Part 2)
- The Easy Way – Charting STIR Futures Structures on Tradingview
- List of STIR Futures – Common and Less Common STIRs
- Opening a Interactive Brokers Demo account to Trade STIR Futures
- Using Interactive Brokers’ Booktrader (aka price ladder)
- Bond Futures Calendar Spreads (Part 3) – The Essence of the Strategy: Execution
- Bond Futures Calendar Spreads (Part 4) – The Source of Alpha: Level Up Your Execution
- Prepare for Battle – Set up your Interactive Brokers Layout (Part 1)
- Prepare for Battle – Set up your Interactive Brokers Layout (Part 2)
- Finding Your Asset in Interactive Brokers
- Mental Sums – Calculating Price of Double Butterfly from Booktraders
- Time for Battle! Demonstrating How to Execute a D.Butterfly (Part 1)
- Time for Battle! Demonstrating How to Execute a D.Butterfly (Part 2)
Chapter 3 > Bond Futures Synthetic Structures – The Calendar Spreads II
- New Weapon – Combination Order
- Demonstrating the new weapon – The Combination Order
- Understanding the Combination Order
- Bond Futures Calendar Spreads (Part 5) – Multi-Quarter Structures and Structures Equivalence
- A New Weapon – Finding Opportunities in the Term Structure (Part 1)
- A New Weapon – Finding Opportunities in the Term Structure (Part 2)
- Term Structure and STIR Pricing
- Bond Futures Calendar Spreads (Part 6) – Trading with the Drift
- Bond Futures Calendar Spreads (Part 7) – Strategy Difficulties and Risks
- Downloading and Storing BAX data in Bulk
- How much $ do you need for this strategy – Capital Requirements
- Bond Futures Calendar Spreads (Part 8) – Back testing and other Considerations
- STIR Trade Sizing and Non-Entry/Exit System
- BAX End Note
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