Hi all! I run automated strategies on Japanese stocks. I trade with IB. Anyone also trades Japan here?
Algorithmic Trading - Japanese stocks
- Thread starter Japan_trader
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I trade Japan but only yen crosses (cash fx and options) and index futs. How do you overcome the large commission on Japanese equities via IB? Your holding periods must be longer.
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Not from Japan but traded JPX stocks for a while. The commissions are not too bad but short availability is pretty dismal. I felt that it's a rigged market for some reason, call it intuition.
Quite a lot of work went into dealing with the Japan specific rules though, it's not quite straightforward coming from US/EU exchanges.
Quite a lot of work went into dealing with the Japan specific rules though, it's not quite straightforward coming from US/EU exchanges.
My holding period is normally <1 day actually, indeed commission is quite high and a big proportion of my profit goes into commission, but I couldn't find any better alternative to IB.
I also trade the index futs (NK/TP/JP400) but mostly for hedging purposes, what kind of strategies do you have on them if you don't mind giving a bit of info?
I use the tiered structure, 1st tier is 5bps for the first 150m JPY then 2nd tier 4bps up to 3b JPY. It goes on up to sth like 1bps I believe but I don't trade enough volume to go beyond tier 2.
I am also not from Japan, and indeed I do feel it's 'rigged' sometimes (well mostly when I lose money) but perhaps it's just because I can't read Japanese so a bit slow reacting to news etc.
I actually thought their short availability is pretty good given Japan isn't really IB's focus, but I do tend to avoid the smaller caps as 1) liquidity issues 2) more exposed to news/adverse selection
Indeed the rules are a bit weird, but I personally believe it actually creates opportunities (e.g. only 75% of the stocks are open at 902am, where shall the index futures be trading?)
Are your strategies on the 'systematic' or 'discretionary' type? Interested to hear from you!
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Where do you get historical and real time tick data for Japan equities? Or what data do you use?
I use IB data for both historical and real time. It's far from perfect, but good enough for what I need them for