Management‎ > ‎


This is designed to prepare for a trainee as part of preparation for the Schneider trader programme course pack. Though essential aspect of learning comes from putting efforts to find desired information, I thought this would not only help myself to go back to self-gathered information as well as help other trainees to save their time.

Central Banks

Bank of England

  • Monetary Policy Committee (9 mbmers)
    • Governor: Mervyn King
    • 2 Deputy Governors: Charles Bean, Paul Tucker
    • Executive Directors: Spencer Dale, Paul Fisher
    • External Members Andrew Sentance, David Miles, Adam Posen, Martin Weale
  • Current rate of inflation in UK 3.20%
  • Interest rate = 0.5%
  • MPC meetings: 1st Thursday of the month, announcement at 12:00GMT

European Central Bank (22 members)

President: Jean-Claude Trichet Board members: Lorenzo Bini Smaghi (Italia) José Manuel González-Páramo
VP: Vitor Constâncio (Portugal) Jürgen Stark (Germany) Gertrude Tumpel-Gugerell (Austria)
Mario Draghi (Italia) Michael C Bonello (Malta) George Provopoulos (Greece) Athanasios Orphanides (Cyprus)
Yves Mersch (Luxembourg) Nout Wellink (Dutch) Ewald Nowotny (Austria) Axel A. Weber (German)
Marko Kranjec (Slovenia) Jozef Makúch (Slovakia) Erkki Liikanen (Finland) Patrick Honohan (Ireland)
Christian Noyer (France) Guy Quaden (Belgium) Carlos Costa (Portugal) Miguel Fernández Ordóñez (Spain)
  • ECB meetings: once a month to set interest rates, announcement at 12:45 GMT
  • Interest rate = 1.0%

US Federal Reserve

  • Federal open market committee (10 voting, 15 total members):
    • Chairman: Ben Bernanke
    • Vice Chairman: William Dudley
    • 5 Board of Governors: Elizabeth Duke, Daniel Tarullo, Kevin Warsh, including the two above
    • Current members: Charles Evans, Jeffrey Lacker, Dennis Lockhart, Janet Yellen
    • Alternate members: James Bullard, Thomas Hoenig, Sandra Pianalto, Eric Rosengren, Christine Cumming(alt. VP)
    • Retired: Donald Kohn
  • Interest rate = 0.25%

  • If you are spreading and you are only outright in one contact you are unhedged .
  • If you are a calendar spreader you are trading intramarket spreads.
  • If you trade Euribor vs Shatz then you are trading intermarket spreads.
  • Even if you are trading uncorrelated markets and you have the correct ratios you are still hedged .
  • hit↓ → seller → short → fixed price/cost
  • lift↑→ buyer → long → profit&loss
  • If you lift the offer and then immediately hit the bid, what would it do to your P&L? The ask minus the bid which means you lost money.
  • Contango: future price > spot price
  • ECB I/R ↑ → Euribor ↓ → Equities ↑
  • Bond downgrade → price ↓ → I/R ↑
  • I/R difference narrows at contango → buy the spread, sell (I/R products)
  • Combinations (risk hedged): Outright > Spread > Fly > Box
  • Schatz/Bobl/Bund fly: 4-3-1 ratio
  • hawks→prone to ↑I/R
  • doves→prone to ↓ I/R


  • Futures contract the obligation to buy or sell a specified product at a specified price at a specified date
Futures Size Quotation Min. price fluct. Tick value Delivery Date Last Trading Day Trading hours Queing algorithm
Bund(FGBL) €100,000 % nominal value(German bond), 10 yrs. 0.01 €10 10th calendar day of resp. quat. month DD - 2 exchange days 7-21GMT Pro rata. Eurex
Bobl(FGBM) % nominal value, 5 yrs. 0.01 €10
Schatz(FGBS) % nominal value, 2 yrs. 0.005 €5
Buxl % nominal value, 30 yrs. / /
10 yrs.
€1m 100-I/R $15.625 / CBOT
Eurodollar $1m 0.005 $25 LTD+2 3rd Wed. of delivery month - 2 business days 7-21 GMT CME Globex
Euribor €1m 0.005 €12.50 LTD+1 last biz. date in delivery month- 2 business days 1-6, 7-21GMT Price time priority, NYSE Euronext.LIFFE
Short Sterling £500,000 0.01 £12.50 LTD+1 3rd Wed. of delivery month - 2 business days 07:30-18:00
Gilt £100,000 per £100 nominal 0.01p £10 any biz. day in the delivery month last biz. day in delivery month - 2 days 8-18GMT
Gasoil US$ per 100 tonne Contract price in US$/ton $.25/ton $25 Physical delivery w/i ARA area b/w 16th & last calendar day, delivery month 14th calendar day of delivery - 2 biz. days at 12:00 23-23 FIFO ICE
Brent Crude 1000 barrels US$ per barrel cent/barrel $10 based on EFP delivery w/ cash option to settle end of designated settlement period immediately preceding 15th 01-23
WTI Crude 1000 bbls cash settlement 21st of the month preceding the contract month 23-23 NYmex

Exchange a marketplace in which securities, commodities, derivatives and other financial instruments are traded. The core function of an exchange - such as a stock exchange - is to ensure fair and orderly trading, as well as efficient dissemination of price information for any securities trading on that exchange. Exchanges designs the contract to meet the needs of the market and give companies, governments and other groups a platform to sell securities to the investing public.

  • Open interest: the number of outstanding contracts in a particular future delivery month for a specific future; measure of liquidity
  • Short position can either deliver the underlying asset or offset the position
  • Arbitrage
  • Clearinghouse: becomes the legal counter-party to the original transaction; guarantees the performance of contracts
  • Market Maker: a company or individual that quotes both a buy and sell price in a financial instrument or commodity to make a profit on the bid/offer spread.

Yield Curve correlation between yield and remaining lifetime

  • inverted~ : lower yield for longer term

Trade management: follow-up observations and analysis of buy orders made

  • Risk Ratio: risk :: predicted return
    • Leverage: use of various financial instruments or borrowed capital, such as margin, to increase the potential return of an investment; amount of debt used to finance a firm's assets
  • Fundamental analysis: reflected upon demand and supply
  • Liquidity preference hypothesis: investors prefer liquidity and accept lower return for it
  • Expectations hypothesis: yield curve reflects peoples expectations
  • Market segmentation hypothesis: several discrete segments impact
    • Short-term: banks, money market dealers
    • mid-term: mutual funds, corporations and casualty insurers
    • long-term: pension, insurance, property


  • Costs: Commissions, news & chart packages, desk fees.
  • Outright: a position in a futures contract that is not offset; an investor has decided against a spread strategy. Instead, he or she will be only either long or short a particular futures contract
  • Hedge: Making an investment to reduce the risk of adverse price movements in an asset. Normally, a hedge consists of taking an offsetting position in a related security, such as a futures contract.
  • Spread: The difference between the bid and the ask price of a security or asset.
  • Initial Margin: The percentage of the purchase price of securities (that can be purchased on margin) that the investor must pay for with his or her own cash or marginable securities.
  • Variation Margin: A variable margin payment that is made by clearing members to their respective clearing houses based upon adverse price movements of the futures contracts that these members hold.
  • Scratch trade: Enter & exit a trade at the same price for zero P&L except commissions
  • Daily Stop: A daily stop allows traders who need to make split-second judgments flexibility in their position sizing decisions. A daily stop means the trader sets a maximum amount of money they can lose in a day (or week, or month). If they lose this predetermined amount of capital, or more, they will immediately exit all positions and cease trading for the rest of the day, week or month). A trader using this method must have a track record of positive performance.
  • Market order: sale at market price, with limit boundary
  • Stop order: like interrupt system, at specified price
  • Limit order: an order to buy/sell a contract at a specific price or better that is not guaranteed
  • Good ’Til Cancelled (GTC) order: buy/sell order which remains in effect until executed or canceled
  • Trailing Stop order: a stop is set at a fixed number of ticks/percentage below the market price and therefore moves in the direction of a profitable trade to lock in profits.
  • Limit up
    • exchange sense: A contract has moved up a certain amount in price in a trading session so that the exchange stops trading for a set amount of time.
    • trading sense: a trader has reached their trading limit size and cannot enter any more trades
  • Chasing losses: gambling larger amounts of money to try to make back previous losses
  • Overtrading: excessive broker trading in a discretionary account
F January J April N July V October
G February K May Q August X November
H March M June U September Z December


  • CBOT: Chicago Board of Trade
  • CTD: Cheapest To Deliver
  • FOMC: Federal Open Market Committee
  • OAT: Obligation assimilable du Trésor (French Treasury Bond)
  • BTP: Buoni del Tesoro Poliennali (Italian government bond)
  • MOO: Market On Open
  • NFP: Non-Farm Payrolls
  • OCO: One Cancels Other

Technical Analysis

historical trend(market data) processing; method of evaluating securities by analyzing statistics generated by market activity, such as past prices and volume. Technical analysts do not attempt to measure a security's intrinsic value, but instead use charts and other tools to identify patterns that can suggest future activity.
  • primary indicators: price, volume
  • support: price at which a market bottoms out and buyers start to purchase
  • resistance: higher limit price, broken at uptrend
  • candlestick charts: include daily h/l, open/closing prices; graphical representation of the market's state of mind
  • trend confirmation → must touch the trend point 3 times
    • Moving averages → direction, short term avg. vs. long term avg.
    • Bollinger bands: tracks overbought/oversold volume, must be aware of whether in a sideways or a trading market
CQG chart codes format

CGQ Setup guide
  • my computer → documents and settings → all users → shared documents → CQG Net → delete the ‘private’ folder
  • start menu → CGQ net program
  • horizontal menu bar → right-click → popup → click ‘restore defaults’ → then ‘close’.
  • horizontal menu bar → click ‘more’ → select ‘dom trader’.
  • vertical menu on left → click ‘setup’ → untick ‘demo trading’.
  • vertical menu on left → ‘logon’ option, select 'this' → enter username/password
  • horizontal menu bar → click ‘chart’ → enter a respective chart code
e.g. QOZ0 Ice Brent Dec. 10, QOS2?1 Ice Brent 2-month spread Dec.10-Feb.11, QOS1?2-QOS1?1Ice Brent fly Dec.10-Jan.-Feb.
  • Customization
    • Chart replication: left-click on CQG icon in upper-left corner → click ‘replicate’
    • Time-frame adjustment: right-click on chart window → 'intra-day' → choose time-frame
    • Market index quotes: horizontal menu bar → 'Quote' → 'quote box' → enter product code e.g. YM(Mini-Dow), QFA(FTSE100)
    • Chart-type: horizontal menu bar → right-click → 'chart-type' → 'candlestick'
    • add a study: chart window → right-click → select 'add study'
    • Candlestick fly BAR((QOS1Z0-QOS1F1),1)
  • click 'save' on the upper right menu bar
CQG product code


  • Organization of the Petroleum Exporting Countries
  • 12 participants
Algeria Angola Libya Nigeria
Ecuador Venezuela Kuwait Iraq
Iran Qatar Saudi Arabia United Arab Emirates
  • Chairman: Abdalla Salem El-Badri


Seasonality trends in agricultural markets

  • Grains: price↓ at harvest
Underlying product Bullish ↑ Highest peak Bearish ↓ Lowest peak Anomalies
Corn Mid-July mid-summer→harvest "February Break" price↓ usually
Soybeans Dec.→Jan. July July→August same tendency for soybean meal and oil
Wheat Oct.→Nov. late winter→spring harvest season
Live Cattle Jan.→May May May→July end of year
Live Hogs Mar.→May May May→Aug. July/Aug. large farrowings in Aug./Sep.
Cocoa into late fall/winter winter →Jan.. Jan. due to Bahia, Brazil main crop
seasonality not high, driven by Δconsumer demand
Coffee Jan.→Jun. Jun. Jun.→Dec. Dec. not high seasonality due to variety of alternatives
but potential for Brazilian frost
Cotton Nov. Jan. function of heavy deliveries on future expirations
Dec. Mar. May, Jul.
FCOJ Nov.→Jan. Dec.-Feb. freeze period in South U.S.
Sugar Nov.
  • Market impacts
    • flood/drought in Midwest→grains
    • freeze in Brazil→coffee, soybeans
    • Silver miners' strike in Mexico→Silver
    • South Africa→Gold
    • OPEC meeting→energy prices
    • Cote d'Ivore→cocoa beans supply


refer to CFA section for details


FTSE 100 81% of London Stock Exchange

  • top 10 companiesHSBCRoyal Dutch ShellBPVodafone Group, GlaxoSmithKline(pharmaceuticals), AstraZeneca(pharmaceuticals), Barclays Bank, British American Tobacco, Rio Tinto Group(mining), BHP Biliton(mining)
  • market capitalization: £1.7 billion
  • continuous trading 08:00-16:30

Dow Jones Industrial Average 30 large, publicly owned companies based in the United States

  • top 5 firms: IBM, 3M, Chevron, Caterpillar, McDonalds

Swiss Market Index(SMI) Switzerland's blue-chip stock market index

  • top5: Nestlé, Novartis(pharmaceuticals), Roche(pharmaceuticals), UBS, Credit Suisse
  • 90% of Swiss market, CHF 783.1 billion

Deutscher Aktien IndeX(DAX) blue chip stock market index consisting of the 30 major German companies trading on the Frankfurt Stock Exchange

  • market capitalization: €442.5 billion (end 2008)
  • top12: E.ON(multi-utilities), Deutsche Telekom, Allianz, Siemens, RWE(multi-utilities), Munich Re(insurance), Volkswagen Group, Daimler, Bayer(specialty chemicals), BASF(specialty chemicals), Deutsche Bank

CAC quarante(CAC 40) a benchmark French stock market index

  • market capicatlization: €1.031 trillion
  • top5: Total oil, Sanofi-Aventis(pharmaceuticals), BNP Paribas, GDF Suez(gas distribution), France Télécom

EURO STOXX 50 Index Futures(FESX) a stock index of Eurozone stocks designed by Stoxx Ltd.

  • top10: Total S.A.(FRA), Nokia, Telefonica(ESP), Banco Santander(ESP), E.ON(DEU), Siemens AG, Daimler AG, UniCredit(ITA), Allianz, ING Groep(NED)
  • goal: to provide a blue-chip representation of Supersector leaders in the Eurozone

NASDAQ a modified market value-weighted index of 100 of the largest non-financial companies listed on the NASDAQ

  • top10: Apple(AAPL), Microsoft(MSFT), Cisco Systems(CSCO), Oracle(ORCL), Intel(INTC), Google(GOOG), Qualcomm(QCOM),, TEVA Pharmaceutical(TEVA), Amgen(AMGN)

S&P 500 a free-float capitalization-weighted index published of the prices of 500 large-cap common stocks actively traded in the United States

  • top10: Exxonmobil(XOM), Proctor & Gamble(PG), Bank of America(BAC-I), Wal-mart(WMT), HSBC Holdings(HBC), IBM, Johnson&Johnson(JNJ), General Electric(GE), J.P. Morgan Chase(JPM), AT&T(T)

Daily Records

DateBalanceTrades executedDaily journal
3/11/2010(£60.78)Plan your trades and trade your plan. Decide on entry point and exit point before executing order

Use of technical analysis (e.g. RSIpivot point) to evaluate the current market status

4/11/2010(£60.24)Set weekly targets. Halt once weekly target is achieved. This week's target: £0

Long term goal: £2,000 monthly allowance + £200,000 remittance (over 30-month period, eventually ~10K/mo.) Flies tend to linger around resistance/support points for some time, ideal entry/exit points Enter position once it made a turnaround from directional trend

5/11/2010£13.94The best trading day so far with gorgeous £74.18 profit. The week's target £0 has been reached. Next weekly target £100

Practice with pivot point fundamentals and RSI is becoming more comfortable now. Settle a trading strategy for trending market as well as sideways-moving market. Validate with historical data for strategies: MA, crossMA, turtle trading, MACD, Williams %R, RSI, BB

ZFG: 2 at 3 & 4
+1/2 bp resp.
  • The market did not move much, but not so bad day considering $20 profit was still achievable.
  • Further back-testing done on front Dec. fly for past 3 weeks of data, with a conclusion that pivot points are usually guaranteed to be reached approximately 70% of time.
  • First rule in regards to entry point: Never enter an order at pivot point, in order to decrease the risk of scratching out at a tick loss. In a day like this without any significant movement, entering a position at a bp off the pivot point assures a profit opportunity by exiting at the other side of the pivot point, or minimize the loss by clearing position at the pivot point
  • Volume is another key indicator for signalling demand/supply
9/11/2010£65.16PV=3.7, 1.3
ZFG: 3→4, 5→4
FGH: 0→+2
  • Not much movement in the market, again. The big swing seems to be usually hinted by little movements prior to.
  • Maximum liquidity b/w 14:00-16:00
  • Limit trades to 2-3/day
10/11/2010£107.15PV=3, 2
ZFG: +2→+4
FGH: +1→+2
  • Last day for Dec. spread trading. No much movement was detected in general. All the volume flood in after 15:30 (after the bell for American start)
  • Reached the weekly target for $300 for Schneider as well as my personal target of £100 after commission.
11/11/2010£32.17PV=1.3, 1.3, 1.3
ZFG: -5→-4.3
9 lots scratched
  • Lots of action could take place in later months as well. Look for anomalies in pricing, and keep records for all periods.
  • D-3 on Dec. contract. Whereas ZF spread went -.20→-.30, front month fly went 0→-7, which seems to recur monthly.
  • Be efficient with the trading volumes, do not overtrade, do not double up on volume when off-side thereby increasing risks.
  • Wait until price becomes unstable, then take profit from anomaly. Once the Dec. contract expires, test the new strategy with midpoint signaling a trend.
no trades executed
  • Stayed out as no arbitrage opportunities were found in any of the back spreads. Jan. spread ended up not moving much after all.
  • Outrights and spreads were being pushed upwards as news reports on Ireland's bailout came out, while massive downward impact was observed on Schatz.
  • Front-month spread made recovery from (.32) upto (.29) by the close of business
  • Few magic numbers found on spreads: .16 on front month, .22 on 2nd month. Good sell-out points.
FGH: +2→0
  • Observances on front month spread: -20→-30@D-3 11:00, -30→-20@D-2 17:30-19:00, -15→+5@D-1 3:00, +5→-20@6:30
  • Weekly target: £200
  • When market looks stable, seek +2bp profit by enqueueing on 4 spots above&beyond the bar
GHJ: +1→+2
  • Nonadjacent spreads extensively used due to lack of volumes traded. Trading lots increased to 7
  • Relatively low volumes traded this week with the front spread volume cumulating below 15k. Expect less volatility
  • Should pursue more aggressively for better entry points in order to ease the exit strategy
  • For more arbitrage opportunity, start the day early. Concentrate on the front spread for better liquidity
FH: -43→-44
  • Good entry opportunity observed but lost at 07:30. Start early. Enqueue at 07:30
  • When the market moves against, utilize non-adjacent spread to reverse the position.
  • Response to inventory value drop, front month spread -21→-18
  • rumor: spreads highest in summers, lowest in year-end.
  • If an entry opportunity is forgone, as well as exit chance for legged-in, still go for it for a tick less. Don't wait and expect for turnaround.
  • Do not pull orders before decisions are confirmed.
  • After a flip in the ladder , allow about 5-10 seconds for price to settle. Don't plan and execute a new trade immediately.
  • Biggest loss made today due to the list of following mistakes made:
    • Averaging out losses → OVERTRADING
    • legging out on volatile market condition → off-side spread liability
    • attempt to enhance chances of target achievement by converting to non-adjacent spreads → 2x RISK
    • failure to close position at the designated puke point → surpassing daily loss limit
  • MINIMIZE LOSSES! be more tight with puke point and adhere to it!!
  • Need to get hold of my discipline back, and adjust my target levels for subsequent periods. Give self some time off. Recover £200 each week, and make a turnaround by start of December.


DateTime in GMT / EventOutcomeExpectedPreviousEffect
8/10/201013:30 US NonFarm Payrolls-95K-5K-57KEuribor↓ prior to release in I/R↑ exp.
revert to original level in lack of news
19/10/201012:30 US Housing starts610K580K608KNone
14:00 CA BoC I/R announce.1%1%1%N/A
20/10/201012:00 US MBA Mortgage applications w/w-10.5%14.6%
15:30 US DOE Crude Oil
DOE Gasoline
DOE Distillate
Cushing crude inventory w/w
Outright↑ 100 bp -30 min.
no change in spreads
comment on recession paused crescendo for 10 min.
19:27 US Oil inventory cashier0.40 ↑
21/10/201008:58 EU Manufacturing PMI m/m53.253.7
15:00 US Philadelphia Fed. m/m2.0-0.7
Week 1 - ICE Brent Crude
2/11/201012:55 US Redbook0.2% m/m
2.5% y/y
0.3% m/m
2.8% y/y
20:30 US API Crude oil
Cushing Crude
Front fly/spread↓
3/11/201014:30 US DOE crude oil w/w
Cushing Crude
Outrights↓ due to oversupply?
18:15 US FOMC rate decision m/m0.25%0.25%0.25%surge due to decision for further QE2
4/11/201012:00 UK BOE rate announcement0.50%0.50%0.50%None
12:45 EU ECB rate announcement1.00%1.00%1.00%None
5/11/201012:30 US Nonfarm payroll+159K+60K-95Koutrights↑ >100bp, spread↑ in exp.
Week 2 - ICE Brent Crude
9/11/201021:30 US API Crude oil
Cushing Crude
10/11/201015:30 US DOE crude oil w/w
Cushing Crude
11/11/201014:55 US UofM confidence m/m69.369.067.7
Week 3 - ICE Brent Crude
17/11/201014:30 US DOE crude oil w/w
Cushing Crude
19/11/201010:15 Fed Bernanke, ECB Trichet speak

Reference recap

Market Wizards

  • be aware of consecutive limit-ups
  • look for repeating patterns
  • predetermined stop before putting order
  • correlations of all positions
  • imagine alternative scenarios
  • be a contrarian
  • do not average losers, cut it and take a break
  • Bonds factors - inflation expectations, dollar, trade balance, budget deficit
    • Invest against the central banks; central banks try to prop up a currency, go the other way
  • Stocks: quarterly comparisons for acceleration in earnings growth rate
    • I/R↑exp. → utilities → stocks
    • giant blue-chips tend to lead the market trend
  • traits: discipline, patience, courage, willingness to lose, desire to win
  • set up a loss limit
  • crisis→arbitrage opportunity, going back to the original position
  • daily preview and review
  • continuously experiment and analyze new strategy

Jesse Livermore quotes

  • All through time, people have basically acted and reacted the same way in the market as a result of: greed, fear, ignorance, and hope. That is why the numerical (technical) formations and patterns recur on a constant basis.
  • The game of speculation is the most uniformly fascinating game in the world. But it is not a game for the stupid, the mentally lazy, the person of inferior emotional balance, or the get-rich-quick adventurer. They will die poor.
  • Don't take action with a trade until the market, itself, confirms your opinion. Being a little late in a trade is insurance that your opinion is correct. In other words, don't be an impatient trader.
  • Money made in speculation came from commitments in a stock or commodity showing a profit right from the start. Don't hang on to a losing position for very long.
  • It is foolhardy to make a second trade, if your first trade shows you a loss. Never average losses. Let this thought be written indelibly upon your mind.
  • When you are doing nothing, those speculators who feel they must trade day in and day out, are laying the foundation for your next venture. You will reap benefits from their mistakes.
  • When a margin call reaches you, close your account. Never meet a margin call. You are on the wrong side of a market. Why send good money after bad? Keep that good money for another day.
  • Pivotal points: (1)Price levels at which the stock or market reversed course previously--in other words, previous major tops or bottoms; and (2)psychological price levels such as 50 or 100, 200, etc. I would buy a stock or commodity that saw a price breakout above the Pivotal Point, and sell a stock or commodity that saw a price breakout below a Pivotal Point.
  • Successful traders always follow the line of least resistance. Follow the trend. The trend is your friend.
  • I absolutely believe that price movement patterns are being repeated. They are recurring patterns that appear over and over, with slight variations. This is because markets are driven by humans -- and human nature never changes.
  • When you make a trade, you should have a clear target where to sell if the market moves against you. And you must obey your rules! Never sustain a loss of more than 10% of your capital. Losses are twice as expensive to make up. I always established a stop before making a trade.
  • The big money is made by the sittin' and the waitin' -- not the thinking. Wait until all the factors are in your favor before making the trade.

Market Data