Bloomberg Tradebook adds spread trading support for futures
Bloomberg Tradebook has released new functionality for risk-based spread trading in the futures markets. The MTRX futures pairs algorithm allows traders to select a futures bond spread, convert it to a yield and then monitor and trade the spread depth. According to Bloomberg, the displayed size is smart, taking into account a duration hedge. When it's time to execute, the algorithm seeks to execute the spread at or within a yield spread target value, to avoid the negative effect of convexity
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