JGB contract on TSE

P

Pager

This market looks liquid and has some good volitility, does anyone on this board trade it ?, if so is slippage a big factor, im looking for a realistic amount to add in when backtesting.

Also any other advise/info from anyone trading this market would be appreciated as there is very little written or spoken about it.

Thanks
 
Quote from Pager:

This market looks liquid and has some good volitility, does anyone on this board trade it ?, if so is slippage a big factor, im looking for a realistic amount to add in when backtesting.

Also any other advise/info from anyone trading this market would be appreciated as there is very little written or spoken about it.

Thanks
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The Tokyo contract is quite liquid and is usually 1 tick wide. Face value is approx 100,000,000 Yen per contract (10,000 Yen per tick), so it's quite big - at current prices each 1 lot is worth about $1.3 million. So your slippage shouldn't be a problem unless you are trading quite big size, I would allow for 2 ticks slippage.

The market also trades on the floor in Singapore, the hours are a bit different and so it can be useful for gauging the open and for hedging. There's also an overnight JGB on LIFFE which is fully fungible with the TSE contract, and positions held overnight on LIFFE get exited at the open on the TSE. E.g. let's say you buy 2 lots on LIFFE, you will automatically be sold out at the open in Tokyo - so if you want to keep the position, place a 2 lot buy MOO order and you'll keep it. This can be useful if you trade US or European hours and want to react to economic releases, news etc whilst Japan is closed. The LIFFE market is pretty illiquid though, you can often have spreads of 2-5 ticks, sometimes more. But if you are patient you can get a reasonable fill in most cases.
 
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