Bond Futures - Trade Like A Market Maker
Learn how to run a STIR (Bond) futures calendar spread strategy.
AlgoTrading101 – BF101 Bond Futures equips you with a full hedge-fund style toolkit to trade short-term interest-rate futures with professional-level strategies. The course dives into synthetic asset creation, calendar-spread setups, risk-adjusted trade sizing, and spread-based alpha generation. With hands-on tutorials, code downloads, and clear breakdowns of yield-versus-price mechanics, you learn not just how futures work but how to exploit structural inefficiencies in bond markets to potentially profit consistently. Whether you’re a quant-curious trader or a manual futures trader leveling up, this program delivers advanced bond-futures training in a digestible format.
This advanced course goes beyond simple bond theory — it unveils how to build synthetic assets, uncover hidden sources of alpha, and execute complex structures with precision. Perfect for quantitative traders, developers, and finance professionals, it bridges coding, analytics, and execution in one cohesive system.
- Chapter 1: Strategy Design - Creating Alpha Out of Thin Air: The Magic of Synthetic Assets
- Chapter 2: Bond Futures Synthetic Structures - The Calendar Spreads I
- Chapter 3: Bond Futures Synthetic Structures - The Calendar Spreads II
What You’ll Learn In 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
- Types of Synthetic Assets – Hedging in Different Ways (Part 1)
- Types of Synthetic Assets – Hedging in Different Ways (Part 2)
- 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)
- Practice 1 (Answers) – Dollar-Hedged Structure (Part 2)
- Manipulating the Shapes of Structures using Multipliers
- Effect of Multipliers – Summary
- An Impossible Structure – One Ranging and One Trending
- Normalizing 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 Assets – 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
- Calculating and Plotting a Double Butterfly in Python (Part 1)
- Calculating and Plotting a Double Butterfly in Python (Part 2)
- The Easy Way – Charting STIR Futures Structures on Tradingview
- List of STIR Futures – Common and Less Common STIRs
- Opening an 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)
- Prepare for Battle – Set up your Interactive Brokers Layout (Part 2)
- 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)
- Time for Battle! Demonstrating How to Execute a D.Butterfly (Part 2)
Chapter 3 > Bond Futures Synthetic Structures – The Calendar Spreads II
- New Weapon – Combination Order
- Demonstrating the new weapon – The Combination Order
- 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)
- A New Weapon – Finding Opportunities in the Term Structure (Part 2)
- 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) – Back testing and other Considerations
- STIR Trade Sizing and Non-Entry/Exit System
- BAX End Note
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