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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