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Nope, they don't! You need access to CTP (Comprehensive Trading Platform) - the Shanghai future exchange's own software is only available in Chinese, so you need to get a grasp of that or find another terminal system to access the market.

Nope, I'm talking about direct access to Shanghai Futures Exchange...

Ok.

Hmm, after checking with IB you're right, I easily get above 1,000 contracts per month so then it's just $0.45 per transaction (plus clearing fees), I'll switch to tiered pricing today! :-)

In terms of platforms I use fully automated systems using Matlab and C++ so as long as these providers have good APIs I'm ok. Regarding IB Cost Plus, this only makes sense if you trade large volumes, i.e. 100+ contracts per day, correct?

Well, I'm using IB so transaction cost is 2 EUR. When adding the slippage due to the big tick size it just ate away my profits, so I shelved that one. I agree regarding the advantages of the DAX as comparison! When you say you spread FDAX and FESX, how important is speed in your case...

Btw, are there any index futures in Europe that you like? I tried to develop a strategy for Eurostoxx50 but low volatility and big tick size eroded most scalping opportunities. Has to be within CET time zone. Thanks!

Got it. I've traded S&P500 successfully for the last 3 years and more recently CSI300, so I'll definitely go straight onto FGBL! Thanks for the verification, cheers!

Regarding 1) I think IB is quite bad for obtaining historical data as they have many restrictions, e.g. pacing limitations, only dating back 1 year in time etc. Regarding 2), if you are ok to use Matlab I can help you out.

Which of the German bond futures (schatz/bobl/bund) are best for day trading? The two former seem to have unparalleled liquidity but seems like daily volatility is too low for scalping due to the low duration. Any thoughts/experiences?

Currently $4m...

Does anyone here plan to attend the Battle of the Quants event in London on Nov 18th? I'm coming over from Shanghai, so would be nice to catch up with fellow traders who happen to be in town... P/M me directly...

I agree, however in my case I'm referring to ES, which in my experience never has had a spread larger than one tick, so I guess that shouldn't be an issue. In back testing though, slippage has proven to have a detrimental effect, hence it feels like opting out from a trade is better than bad...

I see your point, however my model behavior assumes I get the current mid price - if using limit orders that somehow would expire it would mean that I no longer would have a clue on what performance to expect - I do 100% automated trading and not discretionary, hence the need to really execute...

My only big concern is slippage. Let's say I place a limit buy order on the ask - so what you suggest is to wait one second to see if liquidity has been restored and place another limit on that ask price, and if not, decide whether or not to move up to the next level to execute the order?

Hi all, I was wondering whether anyone has any tips on how to ideally split up a large market order (say a few hundred ES contracts) in order to minimize market impact? I'm currently considering the current approach: 1. Check current market depth (D) at top of order book (price P) 2. Place an...

Ok thanks. What about Hang Seng, Nikkei or Kospi?

Hi all, Lately I've been toying with a trading system for CSI300 futures, however it seems to be the case that liquidity is really poor, order depth is ranging between 1-50 contracts (average 30) at the top of the order book, which doesn't really allow one to build a scalable system. Does...

Appr. +100% from back testing during 2008-2009 >>> applying short selling selectively.

Why do you even bother asking? Anything available in the public domain doesn't work or will cease to work in the near future. Only way to gain an edge is to develop something yourself from scratch.