Night trading
- Thread starter shortbleu
- Start date
Hi Filter Sweep,
My trading style does not allow for slippage. I did trade Fdax in the past with limited success and my heart was racing when this contract was running 30 ticks in a bleep, I won't go for a similar beast.
I found my style and need a deep order book, it does not have to be as deep as the ES but 20-30 lots on the bid and the offer are a minimum, especially if I wish to increase size.
Slippage is my worst ennemy ...
My trading style does not allow for slippage. I did trade Fdax in the past with limited success and my heart was racing when this contract was running 30 ticks in a bleep, I won't go for a similar beast.
I found my style and need a deep order book, it does not have to be as deep as the ES but 20-30 lots on the bid and the offer are a minimum, especially if I wish to increase size.
Slippage is my worst ennemy ...
Julian0625
When you say the tick size of the Nikkei future is huge, I am guessing you are talking about the full size contract, the tick value of the Mini is only JPY 500 as per what I've seen on the Osaka Stock exchange webiste, it's only about EUR 4.3, a lot less then ES or FESX for comparison.
My style is to capture a few ticks at a time, hence the need for a deep order book and not slippage.
I read a bit on the Asian futures since yesterday and I believe the Nikkei 225 Mini is the way to go for me.
If you trade this contract, please let me know your experience of it
When you say the tick size of the Nikkei future is huge, I am guessing you are talking about the full size contract, the tick value of the Mini is only JPY 500 as per what I've seen on the Osaka Stock exchange webiste, it's only about EUR 4.3, a lot less then ES or FESX for comparison.
My style is to capture a few ticks at a time, hence the need for a deep order book and not slippage.
I read a bit on the Asian futures since yesterday and I believe the Nikkei 225 Mini is the way to go for me.
If you trade this contract, please let me know your experience of it
Dcraig,
Very useful post, thanks very much. I appreciate the screen shot you sent showing the dom and the order book depth.
Kospi 200 seems very liquid indeed and this is a contract I would consider trading. I went on the IB website to have a look.
The only problem I have with this contract, is the commission / tick value ratio.
For this contract, IB commission is 0.004% of the nominal.
If the Kospi 200 is trading at a level of 280 pts, I understand its nominal value is 280 pts * KRW 500,000 = 140,000,000 KRW.
Point value being KRW 500,000 and tick value being KRW 25,000.
IB commission per round turn is 0.004% * 140,000,000 * 2 = KRW 11,200
The ratio commission / tick value is 11,200 / 25,000 = 0.448.
This a very expensive contract to trade.
For comparison, my ratio commission / tick value for FESX with Velocity futures is around EUR 1.78 / EUR 10 = 0.178 this contract is much cheaper.
I am considering Nikkei 225 Mini from Osaka, the order book seems to be even deeper than Kospi 200 (this is what I understand from looking at the daily average number of lots traded, I have not seen a screen shot of the order book though).
From the Osaka stock exchange website, I understood that if the contract is trading at a level of 9600 pts, the contract is worth 9600 * 100 JPY = 960 000 JPY
Tick value is 500 JPY , around EUR 4.3
Ib commission in JPY 80 round turn , around EUR 0.68, very cheap indeed.
ratio commission / tick value is 80 JPY / 500 JPY = 0.16, even cheaper than the ratio for FESX, a real bargain.
If I make one tick, I can do quite a few scratches and still be onside.
Can you please post a screen shot of a standard order book and a screen shot in 5 mins candle sticks if you have them?
Please feel free to share your experience of Nikkei 225 Mini Osaka.
Thanks
Very useful post, thanks very much. I appreciate the screen shot you sent showing the dom and the order book depth.
Kospi 200 seems very liquid indeed and this is a contract I would consider trading. I went on the IB website to have a look.
The only problem I have with this contract, is the commission / tick value ratio.
For this contract, IB commission is 0.004% of the nominal.
If the Kospi 200 is trading at a level of 280 pts, I understand its nominal value is 280 pts * KRW 500,000 = 140,000,000 KRW.
Point value being KRW 500,000 and tick value being KRW 25,000.
IB commission per round turn is 0.004% * 140,000,000 * 2 = KRW 11,200
The ratio commission / tick value is 11,200 / 25,000 = 0.448.
This a very expensive contract to trade.
For comparison, my ratio commission / tick value for FESX with Velocity futures is around EUR 1.78 / EUR 10 = 0.178 this contract is much cheaper.
I am considering Nikkei 225 Mini from Osaka, the order book seems to be even deeper than Kospi 200 (this is what I understand from looking at the daily average number of lots traded, I have not seen a screen shot of the order book though).
From the Osaka stock exchange website, I understood that if the contract is trading at a level of 9600 pts, the contract is worth 9600 * 100 JPY = 960 000 JPY
Tick value is 500 JPY , around EUR 4.3
Ib commission in JPY 80 round turn , around EUR 0.68, very cheap indeed.
ratio commission / tick value is 80 JPY / 500 JPY = 0.16, even cheaper than the ratio for FESX, a real bargain.
If I make one tick, I can do quite a few scratches and still be onside.
Can you please post a screen shot of a standard order book and a screen shot in 5 mins candle sticks if you have them?
Please feel free to share your experience of Nikkei 225 Mini Osaka.
Thanks
shortbleu,
I take your point re HSI but you might still be able to get past it. Something done by others is to look at it as an index where the tick is 5 or 10.
If you do that then the commission is 0.2 or 0.1 and slippage is under a tick.
If you do that does the structure of the moves suit your style or trading or not. I suspect not but it has worked for some people.
You may just find that nothing out here suits what you want to do. Such is life.
I take your point re HSI but you might still be able to get past it. Something done by others is to look at it as an index where the tick is 5 or 10.
If you do that then the commission is 0.2 or 0.1 and slippage is under a tick.
If you do that does the structure of the moves suit your style or trading or not. I suspect not but it has worked for some people.
You may just find that nothing out here suits what you want to do. Such is life.
Hi Kiwi Trader,
I understand some people are trying to take position and follow a trend to capture a big movement, I know from experience it's not my trading style, I can't deal with fast furious markets.
What is your view on Nikkei 225 Mini from Osaka, can you confirm it is a deep contract? I read somewhere it move a bit like ES and FESX, when I mean this, I mean, deep, liquid, no slippage.
I read Fdax is completely different and more like HSI.
If I want to trade size, I believe Nikkei 225 Mini from Osaka is the way to go, what do you think, if not, why not?
I understand some people are trying to take position and follow a trend to capture a big movement, I know from experience it's not my trading style, I can't deal with fast furious markets.
What is your view on Nikkei 225 Mini from Osaka, can you confirm it is a deep contract? I read somewhere it move a bit like ES and FESX, when I mean this, I mean, deep, liquid, no slippage.
I read Fdax is completely different and more like HSI.
If I want to trade size, I believe Nikkei 225 Mini from Osaka is the way to go, what do you think, if not, why not?
Unfortunately, I do not trade this contract, however I do have a real time feed to it (no DOM though sorry).
The reason I say it is a large contract size even for the mini is because each tick is worth ALOT percentage wise. Therefore you can see days with only 15 tick ranges... not a lot of volatility to make money on. Either you right on one trade or your done for the day. This is the reason there is so much volume. Institutions can get off 100 contracts, without moving the market because of the percentage size of the tick.
Hope that helps!
Hi Julian 0625
I agree with your comments, it has nice tick size compared to commission cost, hence the reason why it is traded by institutions I am guessing, and no slippage as you said.
15 ticks range is not a lot for sure, FESX is more like 20-30 ticks if I remember. Maybe it behaves a bit like bunds or bobl, the european bonds dutures, who have smaller daily average true ranges?
I dont have access to charts for this future, does it move like the NIkkei 225 Index? I can find charts of the index on any website really, so if the mini future moves like the Nilkkei INDEX more or less it could give me an idea of how it moves.
I agree with your comments, it has nice tick size compared to commission cost, hence the reason why it is traded by institutions I am guessing, and no slippage as you said.
15 ticks range is not a lot for sure, FESX is more like 20-30 ticks if I remember. Maybe it behaves a bit like bunds or bobl, the european bonds dutures, who have smaller daily average true ranges?
I dont have access to charts for this future, does it move like the NIkkei 225 Index? I can find charts of the index on any website really, so if the mini future moves like the Nilkkei INDEX more or less it could give me an idea of how it moves.
Yes, I have traded the Osaka Mini and it is as deep and solid as you think. I've not traded US contracts (because I like my sleep) but you should be able to find the liquidity ... as long as it behaves as you need it to for your strategy to work.