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全部话题 - 话题: intraday
1 2 3 4 5 6 7 8 9 10 下页 末页 (共10页)
l*******r
发帖数: 3799
1
来自主题: Stock版 - R code for downloading intraday data
Historical intraday data一般不用钱弄不到, 要想折腾挂头皮的机器人,intraday可
能得自己攒
你可以自己写一个脚本parse nasdaq.com/yahoo finance/google finance, 也可以用
现成的API
很多软件都是基于Yahoo/Google finance API, 这里给一段R code如何自动下载SRS的
intraday data.
首先需要安装quantmod这个library, 安装完就可以运行了:
####################### CODE BEGIN ###########################
# Automatically pull the SRS data in every 10 seconds
library(quantmod)
while(TRUE){
ct <- Sys.time()
t <- unlist(strsplit(as.character(ct), " "))
date <- unlist(strsplit(t[1], "-"))
quote <
I********n
发帖数: 1468
2
来自主题: Stock版 - 说说工作和 intraday trading
现在是intraday trading的好时候,但我的感受是,如果你有一份值得珍惜的工作,就
不要day trade. Day trade要看15minute, 5m, 1m live charts, 最好能盯level 2,
进出要求精准才能获利。这基本上决定了你要持续盯盘,那你的心思就不会在工作上,
日子一久,在这个风雨飘摇的时期,就会有不测。等到市场稳定了,做3-5 day 的
swing, 等你有米勒,就辞职慢慢day trade, until you tired of it.
i******n
发帖数: 175
3
来自主题: Stock版 - SPY intraday
SPY intraday 几个阻力
-- 向下的趋势线
-- 15 min 20EMA
-- day high
最好的情况,往上探到 15min 20EMA。如果能到这个位置,基本上是 day high 的位置
,从此转头往下可能性很高。也有可能根本达不到这个位置。
c*********o
发帖数: 8367
4
来自主题: Stock版 - INTRADAY its very obvious moving up.
because long term trend will dominate the intraday ..LOL
p****a
发帖数: 4829
5
来自主题: Stock版 - If market can not hold intraday low
With this kind of good news, if market can not hold intraday low (1208),
then the correction will start.
Another warning sign for bulls, QQQ and Nasdaq are really weak today.
b***k
发帖数: 2673
6
☆─────────────────────────────────────☆
elonghit (steve) 于 (Tue Jul 28 17:56:20 2009, 美东) 提到:
用一年的数据(前三个月数据calibrate模型,后9个月的数据backtest),年收益大约25
%(考虑了transaction cost和bid/ask spread),sharpe ratio大约在2~3之间.问题
:这样的backtest模型在实际交易中有多大的可能性make profit?
由于没有更多的数据来test,心理很没有底,放弃又觉得可惜?希望业内行家评价评价

☆─────────────────────────────────────☆
jidu (一森) 于 (Tue Jul 28 18:15:38 2009, 美东) 提到:
如果考虑了TC,SR还有2-3就可以用。对于INTRADAY的STRATEGY,可能比SR更重要的是
你能放多少钱进去。你的PORTFOLIO能有多大SIZE。另外你BACKTESTING 的时候SIGNAL
和RETURN之间
J******d
发帖数: 506
7
来自主题: Quant版 - 哪里能买到Intraday data?
Intraday data BBG只能下在不到1年的。
b*****h
发帖数: 3386
8
the volume doesn't look impressive ah...
far from a capitulation.
can you show us the intraday chart for the last 7 days, including today.
so I can have a better sense about the relative volume.
s***n
发帖数: 448
9
来自主题: _pennystock版 - 哪里可以看以前的intraday图形
求教哪里可以看到intraday图形或数据的历史记录,比如几个月前的分钟图?
多谢!!!
D*******a
发帖数: 3688
10
来自主题: Returnee版 - China spending big for skilled labor
http://www.marketwatch.com/story/china-starving-for-skilled-lab
ECONOMIC REPORT
March 8, 2011, 8:53 p.m. EST
China spending big for skilled labor, recruiters say
By Chris Oliver, MarketWatch
Reuters
Shanghai抯 famous waterfront Bund.
HONG KONG (MarketWatch) Headhunters recruiting in China say they抳e rarely
seen busier times.
Domestic and multinational companies seeking to bolster staff as part of
bold expansion plans in the Chinese market have sparked frenzied bidding to
attract qualified personn... 阅读全帖
d***u
发帖数: 313
11
来自主题: Stock版 - baozi: where to download vwap data?
i use 3 data services now.
1) prophet finance (paid) (up to half year intraday data - the data quality
is not very good, but my system already has an adapter to get their feed, so
I am lazy to change that)
2) Ameritrade (kind of free) (20 days intraday data, data feed is fastest,
this my default daily data feed)
3) IB (as back up) (1 year intraday data, but really slow if you have
hundreds of symbols to download). I also had their premimum service b4, but
found no data quality improvement, so I
w*******o
发帖数: 6125
12
来自主题: Stock版 - $NYSE率先跌破了2010.05.06低点
Bad news, C/JPM/BAC intraday low
all broke the 2010.05.06 intraday low
If my data is correct.
Some other 2010.05.06 intraday low
GOOG: 460
AAPL: 199
IBM: 116
W******r
发帖数: 789
13
来自主题: Stock版 - 入股市3年了,写点体会
1,要有edge。
2,要有一个明确的方法来利用这个edge。
3,控制好风险,绝对不能有infinite risk。
其中第1条是最关键也是最难的。只要找到了edge,其他问题总能解决。
另外补充一条,把time frame放长一点,尽量不做day trade,除非你能找到非常强的
intraday edge。理由有2:(1)现在intraday movement在HFT的干扰下已变得很难
predict,market condition很容易就改变。即使能找到intraday edge,market
condition变了也就失效了。longer time frame 相对来说 is more predictable。(2
)commission and slippage。
N******s
发帖数: 10555
14
来自主题: Stock版 - [合集] Pair trading
☆─────────────────────────────────────☆
wmwmw (wmw) 于 (Thu May 12 08:27:34 2016, 美东) 提到:
Pair trading 人人都能做啊。找一批属于上升趋势的股票long,再找一批下跌趋势的
股票short,就行了。大盘升,上升趋势的股票升的比下跌趋势的股票厉害,所以你
long的所得比你short的所失多。大盘跌也是这个道理。不管大盘升跌,你都是赚的。
当然这个效果多大和你选股的功力很有关系。
我是不做个股的。做index也可以pair trading。
比如昨天如果你开盘short YM,再long等值的NQ,不管大盘升跌你都赚。
以昨天的实战计算,按overnight margin下单,到收市能赚10%。
做这个你必须在开盘前发现不同index的divergence,如果你有实战经验的话,在盘前
有很明显的迹象。
再看短期buy&hold:
http://www.mitbbs.com/article_t/Stock/36651937.html
如果从4月下旬long ES,short 等值的... 阅读全帖
w***w
发帖数: 6301
15
来自主题: Stock版 - wmwmw和guvest系统运行备查
系统不动是因为大盘不动。大盘intraday波动还是挺大,但ETFs不是做intraday的路子。
这个期指户头,在试验做intraday。
https://collective2.com/details/106088574
w***w
发帖数: 6301
16
来自主题: Stock版 - wmwmw和guvest系统运行备查
系统不动是因为大盘不动。大盘intraday波动还是挺大,但ETFs不是做intraday的路子。
这个期指户头,在试验做intraday。
https://collective2.com/details/106088574
J*****n
发帖数: 4859
17
I tired to understand the difference between intraday volume sum and daily
volume.
If we select any securities, say EEM US Equity from BB.
And we download the daily volume and intraday (Trade/close) volume from BB.
We will find on each day, the sum of the intraday volume is different from
daily volume and size can be significant.
I called BB's help desk. They told me they receive the data directly from
exchange. And it is due to something called condition code. But they can't
explain more.
Any b... 阅读全帖
w***w
发帖数: 6301
18
来自主题: Quant版 - Show一下我的系统performance
楼上说的一堆外行话。
4个月28%叫做完全没有edge?按你这个标准99%的基金都可以关门了。negative sharpe
?会查sharpe吗?
不是说我不能听批评意见,但说话请客观点。实事求是。
我承认这个系统没能经的起时间考验。实际上半个月以前我已经决定停止运行。但我的
subscribers已经预付了钱,所以怎么也得再run几个星期。
我这个系统是抓大盘的趋势。我把大盘趋势define为连续三天以上的升(跌)。
这两个月大盘基本上就是无趋势。我这个系统市场升能赚钱,市场跌能赚钱。市场无趋
势就要亏钱。所以做ETF的在这种情况下最好的策略就是停止操作。
我以前对这个系统的预期是建立在这两年市场的走势情况下的。但是这个两个月的大盘
走势是这两年中不曾出现的情况。所以我说这个系统没有经得起时间考验。我的结论是
做ETF的不是不能赚钱,但是其期望值远没有我设想的那么高。
ETF的两个最大弱点一是没办法对付gap down,gap up。二是做intraday杠杆太小。像
SVXY还有一个intraday和大盘不同步的问题。
在市场无趋势的情况下,做期指系统,抓intraday波动,可... 阅读全帖
p**h
发帖数: 1105
19
来自主题: Investment版 - 弱问ETF和Index Fund
(1) MutualFund 每天只有一个价钱 (closed price)来买卖。 没有bid/ask.
(2) 很多401K帐户不能买卖ETF,只能买卖mutual fund. 比如偶东家的401K就是这样。
(3) 一家贝尔斯登倒闭也不会让ETF 归零, 每只ETF包括少则几十个公司, 多则上百
个。。 当然如果可以trade ETF时, 还是trade ETF..但你要想follow intraday peak
和 valley, 你得有时间盯盘呀。。
(4) trade ETF,你得多少懂一些TA/FA 啥的。 如果你要follow intraday high/low
, 你得看至少5min 图, 否则咋trade; mutual fund就看daily 图就够了, 看个大
概趋势。。 其实有时这样更好, 赚大的。
l*****t
发帖数: 8319
20
Is this totally a joke? Don't you guys never do your homework?
http://finance.yahoo.com/q/ks?s=IBM+Key+Statistics
From Today's yahoo finance: IBM
VALUATION MEASURES
Market Cap (intraday)5: 162.43B
Enterprise Value (Jun 1, 2010)3: 172.97B
Trailing P/E (ttm, intraday): 12.31
Income Statement
Revenue (ttm): 96.91B
Revenue Per Share (ttm): 73.61
Qtrly Revenue Growth (yoy): 5.30%
Gross Profit (ttm): 43.78B
EBITDA (ttm): 24.03B
Net Income Avl to Common (ttm): 13.73B
Dilu
a**i
发帖数: 608
21
来自主题: Living版 - 似乎一下子形势大好了
another 24小時之后, hehe
Wall St rallies to 2-year high after tax cut deal
NEW YORK (Reuters) - Stocks jumped to a fresh two-year intraday high on
Tuesday as investors bet that a deal to extend tax breaks will prompt
increased spending and buoy the economy.
A stronger euro, rising commodity prices and an acquisition in the energy
sector also combined to push Wall Street higher.
U.S. President Barack Obama announced the deal to renew Bush-era tax cuts
for wealthier Americans -- as Republicans had wan... 阅读全帖
p*****e
发帖数: 34
22
来自主题: Money版 - 股票购买的问题 (转载)
【 以下文字转载自 Stock 讨论区 】
发信人: ppscyye (googoo), 信区: Stock
标 题: 股票购买的问题
发信站: BBS 未名空间站 (Wed Jun 26 15:43:26 2013, 美东)
纯粹新人,如问的问题过于弱智请轻拍
股票帐号里面的Purchasing Power有两项
Intraday Marginable和Overnight Marginable
Overnight Marginable是说如果用了贷款,第二天股票必须要卖出然后归还利息吗?
Intraday Marginable是什么意思哪?
j********e
发帖数: 1192
23
哦,Intraday哪有public的数据呀?

intraday
and
write
.
A******k
发帖数: 708
24
更重要的是昨天与今天 (07/06 and 07/07),与 6/14 and 6/15 的关系也很相似,
day trader应该得到一点启发,今天没赚钱的要面壁, 今天short的要割 JJ
c********r
发帖数: 133
25
This kind of trendy day can kill many people, like zhyuan if they are
stubborn and get the direction wrong
f******u
发帖数: 250
26
It's easy to get PEG from Yhoo free screener. When you use PEG<1 and price<
10,you can get some stocks, For instance: XXXX (don't want to mislead others)
Market Cap (intraday)5: 60.06B
Enterprise Value (Jul 10, 2010)3: 143.84B
Trailing P/E (ttm, intraday): 8.34
Forward P/E (fye Dec 31, 2011)1: 7.54
PEG Ratio (5 yr expected): 0.56
Price/Sales (ttm): 7.56
Price/Book (mrq): 0.89
Profitability
Profit Margin (ttm): 55.36%
Operating Margin (ttm): -185.16%
Management Effectiveness
Return on Assets (tt
u********e
发帖数: 4950
27
Market volatility bottomed out intraday today, some intraday drops of the
market was indicated
we will see
a*****e
发帖数: 1717
28
来自主题: Stock版 - es 1326 了?
到过1328.x了。
intraday可以试试,最近intraday都是range,false breakout很多。
不过1330是什么resistence吗?
a*****e
发帖数: 1717
29
来自主题: Stock版 - 市场的有效性与熵增加原理
I don't think it's useful,
we can easily define entropy (based on intraday data, say 1min bar)
the return supposed to be Gaussian(actually, far from it for intraday).
S = sigma_i_{1,n} = -pi*log_2 pi
suppose we define buckets for different returns, pi is the probability
of each return range.
more random, less informative
u********e
发帖数: 4950
30
☆─────────────────────────────────────☆
bobcat2010 (bobcat2010) 于 (Tue Jul 12 10:27:18 2011, 美东) 提到:
熵增加是宇宙中的一个普遍原理,很多人觉得很玄。下面的表格可看成熵增加原理在股
市中的
见证。表格中的数据是我用信息论的方法得到的,恕我不能披露所用模型的构造。
Entropy
S&P500 SIRI
1/2/98 97.54 95.44
1/7/99 97.85 96.49
1/2/01 98.37 97.65
1/2/08 98.87 98.43
1/4/10 99.04 98.29
1/7/11 99.12 98.42
表格中包含了S&P500 与 SIRI 在不同日期的熵值。最大值规整为100。
定性地说,熵值越高,TA的效果越差,熵值若真达到100,所有TA方法都将失效。
SIRI的熵值显然低于指数的熵值。而在我的套利交易中SIRI算是盈利较多的。一般来说
个股的熵值低于股指的熵值,这是做个股的优势。SIRI的熵值曾一度下降,... 阅读全帖
u********e
发帖数: 4950
31
☆─────────────────────────────────────☆
Caspia (情人草) 于 (Fri Apr 22 21:47:36 2011, 美东) 提到:
都说要follow the trend, 不过个人觉得range stocks交易起来更放心,
优势:底部顶部经过中期多次试探,买入/卖出/制损点比较好把握,
相比牛骨volatility相对较小,资金比较好管理
底部时买入有一种价值投资的喜悦感。
典型的比如 CEPH/CELG/AMGN/DISCA/TIE/WMT/EWZ (最近52wk)
☆─────────────────────────────────────☆
google2005 (Antioxidant) 于 (Fri Apr 22 22:20:06 2011, 美东) 提到:
range stocks主要要看好突破range 之后走势变化
trend主要是要看好trend momo的变化
吃亏就怕思维定势

☆─────────────────────────────────────☆
updownlife (渔夫... 阅读全帖
m********0
发帖数: 2717
32
10 pts per day with NQ in a consistent manner is very good,
I am sure there are a lot people with such ability. But you need to provide
more information.
Just think about, given 100K capital, NQ's margin in IB is low
Intraday Initial Margin 1,750
Intraday Maintenance Margin 1,400
Overnight Initial Margin 3,500
Overnight Maintenance Margin 2,800
you can have 57 contract initially per trade,
so after one year, *WITHOUT* compounding, your capital will be
100000+200*57*252 = 2.88 Million... 阅读全帖
d******8
发帖数: 1972
33
http://www.nytimes.com/2011/09/12/business/economy/stock-market
The stock market just can’t seem to make up its mind.
Day after day, stocks swing sharply by hundreds of points. Last week they
tumbled 3 percent in the first 90 minutes of trading on Tuesday morning,
then on Wednesday closed nearly 3 percent higher and dropped almost 3
percent on Friday. All of this on the heels of unusual back-to-back 4
percent leaps and dives in one week in August.
Now traders head into the week with fresh worrie... 阅读全帖
w********2
发帖数: 16371
34
来自主题: Stock版 - 大湿反指功力太深厚了
I think may worth a try to load long at the end of the market
but not intraday.
intraday short on bounce is not bad.
a*********g
发帖数: 8087
35
Apple hits new high; Facebook at new low
Tech stocks edge lower, as Microsoft, Intel, Cisco slip
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SAN FRANCISCO (MarketWatch) -- Shares of Apple Inc. hit an all-time high on
Monday, while Facebook Inc. slumped to a new low to set the tone for ... 阅读全帖
m********7
发帖数: 841
36
来自主题: Stock版 - 分股合股由谁提出?
Facebook 今年12月就会加入 Nasdaq-100 index
http://online.wsj.com/article/SB1000087239639044423310457759557
Investors hoping that index funds will give Facebook Inc.'s FB +0.13%
battered shares
a lift could be in for a long wait.
When the Nasdaq Stock Market decided in April to shorten the "seasoning"
period for any stock to three months from as little as a year, it made the
social-networking company, which went public in May, eligible for inclusion
in its Nasdaq-100 index as soon as Sept. 1.
Changes to... 阅读全帖
p*****e
发帖数: 34
37
来自主题: Stock版 - 股票购买的问题
纯粹新人,如问的问题过于弱智请轻拍
股票帐号里面的Purchasing Power有两项
Intraday Marginable和Overnight Marginable
Overnight Marginable是说如果用了贷款,第二天股票必须要卖出然后归还利息吗?
Intraday Marginable是什么意思哪?
j*******i
发帖数: 1457
38
来自主题: Stock版 - Re: Gold is bottomed! (转载)
An ETN’s closing indicative value, as well as its intraday indicative value
, are distinct from an ETN’s market price, which is the price at which an
ETN trades in the secondary market. In theory, an ETN’s market price should
closely track its closing and intraday indicative values. However, an ETN’
s market price can deviate, sometimes significantly, from its indicative
value.
我不知道你让我读什么,因为你想让我读的我都读过了,我只好找一段 洋人写的文字
我说就是market price,我当然可以操控,有什么不对吗?
j*******i
发帖数: 1457
39
来自主题: Stock版 - Re: Gold is bottomed! (转载)
Did you answer?
An ETN’s closing indicative value, as well as its intraday indicative value
, are distinct from an ETN’s market price, which is the price at which an
ETN trades in the secondary market. In theory, an ETN’s market price should
closely track its closing and intraday indicative values. However, an ETN’
s market price can deviate, sometimes significantly, from its indicative
value.
我不知道你让我读什么,因为你想让我读的我都读过了,我只好找一段 洋人写的文字
我说就是market price,我当然可以操控,有什么不对吗?
q********g
发帖数: 10694
40
来自主题: Stock版 - 挥泪痛割GRPN!
大牛厉害。。
青蛙是可以把RSI用在intraday chart上的,大牛们不用在intraday chart上丝毫不影
响大牛的地位。
a**********2
发帖数: 355
41
来自主题: Stock版 - 高盛每日市场小结 4/1
PLEASE Note - This is not research and is not intended as such. This has
been prepared by individuals on the sales/trading desks of the Securities
Division. This material does not represent a formal or official view of
Goldman Sachs as the views expressed herein are solely those of the author(s
), which may differ from those of Global Investment Research. All prices
are indicative only. All references to “we/our” refer to the observations
of the sales and trading desk.
NY ROUNDUP – Tuesday, A... 阅读全帖
b*****p
发帖数: 9649
42
来自主题: Stock版 - 目标,特性,和策略
Arthur Hill On Goals, Style and Strategy
http://stockcharts.com/school/doku.php?id=chart_school:trading_
Before investing or trading, it is important to develop a strategy or game
plan that is consistent with your goals and style. The ultimate goal is to
make money (win), but there are many different methods to go about it.
As with many aspects of trading, many sports offer a good analogy. A
football team with goals geared towards ball control and low-scoring games
might adapt a conservative sty... 阅读全帖
l********g
发帖数: 116
43
来自主题: Stock版 - 捞 OIL 了
Interactive Broker 里面
交易 CL的 margin要求如下
Current Margin Requirements
Intraday Initial
  
3337.50
Intraday Maintenance
  
2670.00
Overnight Initial
  
6675.00
Overnight Maintenance
  
5340.00
m*****g
发帖数: 3029
44
来自主题: Stock版 - 扫地工
我现在还是一级民工,正在冲击二级民工
一级民工标准:
1
胜率》=80% and average profit > average loss
2
intraday DT profit >=10k or
within 5 trade days, 1 ticker, 单笔Swing trade profit >=20k
二级民工标准:
1
胜率》=80% and average profit > average loss
2
intraday DT profit >=30k or
within 1 month, 1 ticker, 单笔Swing trade profit >=100k
w**k
发帖数: 6722
45
这是民工的档次,还不够?
发信人: mingong (米国民工), 信区: Stock
标 题: Re: 扫地工
发信站: BBS 未名空间站 (Tue Jun 9 14:40:39 2015, 美东)
我现在还是一级民工,正在冲击二级民工
一级民工标准:
1
胜率》=80% and average profit > average loss
2
intraday DT profit >=10k or
within 5 trade days, 1 ticker, 单笔Swing trade profit >=20k
二级民工标准:
1
胜率》=80% and average profit > average loss
2
intraday DT profit >=30k or
within 1 month, 1 ticker, 单笔Swing trade profit >=100k
N****p
发帖数: 1691
46
哪里来的数据?
Market Cap (intraday)5: 224.54B
Enterprise Value (Jul 24, 2015)3: 230.50B
Trailing P/E (ttm, intraday): N/A
Forward P/E (fye Dec 31, 2016)1: 168.01
PEG Ratio (5 yr expected)1: 28.07
Price/Sales (ttm): 2.47
Price/Book (mrq): 20.93
Enterprise Value/Revenue (ttm)3: 2.51
Enterprise Value/EBITDA (ttm)6: 47.32
Profitability
Profit Margin (ttm): -0.44%
Operating Margin (ttm): 0.31%
Management Effectiveness
Return on Assets (ttm): 0.42%
Return on Equity (ttm):... 阅读全帖
k*****o
发帖数: 1486
47
不太同意医药股大泡沫。。看看Gilead的数据,要不是希拉里搞的能这么低么?
Market Cap (intraday)5: 140.89B
Enterprise Value (Sep 30, 2015)3: 142.79B
Trailing P/E (ttm, intraday): 10.13
Forward P/E (fye Dec 31, 2016)1: 8.28
PEG Ratio (5 yr expected)1: 0.51
不过说实话有政策在PE没用阿。华尔街不喜欢谁什么数据都没有用,当初能源股就是,
大家都是10左右,好,华尔街继续砸油价,一直砸到赚不到钱,把PE又拉高了。。
k*****o
发帖数: 1486
48
BABA key statistics不好看啊
Market Cap (intraday)5: 171.43B
Enterprise Value (Oct 9, 2015)3: 148.11B
Trailing P/E (ttm, intraday): 26.25
Forward P/E (fye Mar 31, 2017)1: 3.25
PEG Ratio (5 yr expected)1: 1.13
Price/Sales (ttm): 13.19
Price/Book (mrq): 5.82
Enterprise Value/Revenue (ttm)3: 11.65
Enterprise Value/EBITDA (ttm)6: 35.60
a****5
发帖数: 92
49
来自主题: Stock版 - day trade 问题,fidelity & etrade
问了这两个broker, 回答不一样,都是指有margin account的情况
1. fidelity说如果是用自己的cash, 不用margin, 只能买up to 50% of available
cash for day trade. 这样才能不apply restriction. restriction就是每天只有一次
intraday buying power的交易,用了一次就没有了,如果还想再交易,就要用自己的
cash,DT后三天cash 才会settle可以再用。 没有restriction的账户可以在一天用四次
这个intraday buying power?
2. etrade说, 4 times or more of the buy & sell of the same stock in five
business days,就是day trader. 但是即使>=这个限制,只要maintain $25000 value
of equity 就可以继续day trade.
请大牛指教
谢谢
s*******h
发帖数: 1361
50
来自主题: Stock版 - 问个3X ETF的问题
这个一两句话说不完,捡重要的说两句。
首先要明白什么是fair value. ETP发行商只负责swap risks赚手续费。Fair value就
是说假设所有position都是hedged. hedging主要部分就是futures.
USO是1X, 就是100% margin. UWTI/DWTI是3X,就是33.3% margin.Exchange/broker一般
WTI要12%左右overnight maintenance margin,一半也就是6%左右intraday margin. 一
块钱的UWTI/DWTI是三块的exposure,也就是1毛8的min margin. Intraday掉到这个价格
再底点也就是2.2的6%左右从fair value角度就不会掉了,因为retail investors不能
refill margin call,所以trading desk会直接liquidate. 所以楼主的问题short
answer就是还剩1毛多。
实际上更复杂一些,hedging不会100%跟上market,但这些fund是自由流通的,所以有时
候不完全fo... 阅读全帖
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