WTI Forward Curve Update & Physical News - 22 Feb 2012

The front 12 months are particularly curious.  Some news clippings this week:

Feb 22, via Reuters:

"Sentiment in the Asia-Pacific crude market firmed on Wednesday, with Australia's Enfield crude expected to fetch double-digit premiums due to tight supplies.

One cargo of April-lifting Enfield, which was delayed from March, being offered and could trade at a record premium above $10 to dated Brent, a trader said.

Premiums for sweet regional crudes for April have risen across the board after Cyclone Iggy disrupted Australian supplies and Sudanese grades remains off the market."

Feb 22, via Reuters:

"Russian Urals crude eased steeply on Wednesday as traders cited a spike in oil futures and expectations of a large loading programme in March as weighing on the export grade of the world's largest oil producer.

"We have yet to fully see a full loading programme for March. But people expect it to be quite good, plus there is a factor of the launch of (a new Baltic port) Ust Luga," one trader with a major said.

In the Platts window, Trafigura offered a March 3-7 cargo of Urals from the Baltic at dated Brent minus 55 cents, some 50 cents lower than price indications earlier this week, traders said.

In the Mediterranean, Eni offered a 80,000-tonne March 3-7 cargo at dated Brent minus 60 cents, some 60-70 cents lower than price indications earlier this week, traders said."

Feb 21, via Reuters:

"URALS * On Monday, Lukoil offered a March 3-7 Urals cargo from Primorsk at dated Brent minus 5 cents, some 20 cents lower than price indications last week.

UST-LUGA * Russia's new Ust-Luga Baltic oil terminal, undergoing repairs after damage caused by multiple landslides, will be ready to start loading crude in the coming weeks and may handle a few cargoes in March, a spokesman for Transneft said."

Feb 20, via Reuters:

"Russian Urals crude eased in the Baltic on Monday as fresh loading dates for March showed healthy supply volumes from the world's largest oil producer."

MS Excel

eSignal Futuresource - Hi-Res

IB TWS - Hi-Res

Recording TAQ Data via Interactive Broker's API & Teaser of Ericsson Arbitrage Study

On October 28, reader "RKB" asked how I have been able to pull my data into Excel.  First, I would like to apologize to RKB for taking forever to answer his question. 

I have a program developed by a friend of mine, written in Java, that allows me to record time and sales for individual and groups of securities.  The program then dumps this data into a CSV file that I open with Excel.  All the manipulations in Excel I handle after the the price data has been cleaned and formatted into my formulas.

Hi-Res here

The software we developed is on the left with an IB Trader Workstation window open on the right showing some of the currencies available through IB's IDEAL PRO.  As you can see I have several open connections to a variety of currencies and several NYMEX natural gas futures contracts.

The program records bid, ask, bid size, ask size, last trade, last size, high, low, and close for equities, options, futures, future options, currencies, and combinations.  I cannot emphasize enough the importance of synchronized group recordings.  The weakness of using minute or even second by second quotes for arbitrage strudies is the nature of high-frequency arbitrage trading today makes these quotes obsolete.  You can record 2 seconds worth of data that consists of 100+ quote changes.

The last trade is never what's important.  The most important aspects of multiple-leg structures is the live bid, ask, and depth of market.  Liquidity risk has killed too many titans.

Here is the raw data for a study on triangular arbitrage. For those interested, this software is for sale.

Hi-Res here

It should be noted that IB is not the perfect platform to operate in today's market.  They are limited to pricing updates at a rate of 100ms when many of today's trades occur in the 10-20ms range.  This obstacle has limited my ability to study certain HFT strategies at higher granularities than I can record.

And a teaser for an upcoming post on ADR arbitrage across Ericsson shares...