BEST EXECUTION ALGORITHMS FOR INTEREST RATES
The Roll Tracker
2-Year| 5-Year| 10-Year| T-Bond| UltraQB Estimates at 1:07 PM Chicago time - Saturday, May 19, 2012
97.0%
complete
| Open Interest | Percent | |
|---|---|---|
| Mar 12 | 55,253 | 3.0% |
| Jun 12 | 1,806,897 | 97.0% |
First Intention is Approximately 6:00 PM Tuesday, February 28, 2012
|
First Notice is Approximately 2:00 PM Wednesday, February 29, 2012
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Report: US Treasury Futures Roll Microstructure Basics
This report highlights the fundamental microstructure components of the US Treasury futures roll. When trading US Treasury spreads, proper analysis and implementation of an algorithmic trading strategy can contribute to an advantageous reduction in transaction costs.
Read the Report...