Algo Trading 101 – BF101: Bond Futures – Trade Like A Market Maker

A comprehensive course that teaches you to trade bond futures like a market maker using synthetic assets, calendar spreads, and advanced execution tactics grounded in real market structure.

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Algo Trading 101 – BF101: Bond Futures – Trade Like A Market Maker

Introduction to Synthetic Assets – Why Does It Produce Alpha

BF101: Bond Futures – Trade Like A Market Maker

Chapter 1 > Strategy Design – Creating Alpha Out of Thin Air: The Magic of Synthetic Assets

Introduction to Synthetic Assets – Why Does It Produce Alpha (9:30)

Types of Synthetic Assets – Hedging in Different Ways (Part 1) (8:06)

Types of Synthetic Assets – Hedging in Different Ways (Part 2) (5:25)

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) (9:18)

Practice 1 (Answers) – Dollar-Hedged Structure (Part 2) (8:04)

Manipulating the Shapes of Structures using Multipliers (10:22)

Effect of Multipliers – Summary

An Impossible Structure – One Ranging and One Trending

Normalising 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 (10:46)

Calculating and Plotting a Double Butterfly in Python (Part 1) (6:06)

Calculating and Plotting a Double Butterfly in Python (Part 2) (6:53)

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) (6:39)

Prepare for Battle – Set up your Interactive Brokers Layout (Part 2) (7:59)

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) (8:44)

Time for Battle! Demonstrating How to Execute a D.Butterfly (Part 2) (8:48)

Chapter 3 > Bond Futures Synthetic Structures – The Calendar Spreads II

New Weapon – Combination Order

Demonstrating the new weapon – The Combination Order (7:33)

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) (6:07)

A New Weapon – Finding Opportunities in the Term Structure (Part 2) (7:05)

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) – Backtesting and other Considerations

STIR Trade Sizing and Non-Entry/Exit System

BAX End Note