AlgoTrading101 – BF101 Bond Futures – Trade Like A Market Maker

Course Curriculum

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