SGX A50 Index future

I'm using Esignal data for this, the HHI and the HSI. However I cannot get it with level II or continuous contracts. So, I'm also curious as to what data vendor offers this contract?

I'm thinking of dropping the contract soon as my composite profile is not complete without more historical data....

Appreciate any responses, thanks in advance.

Cheers,


CanOz
 
I use IB and Sierra Chart. Sierra is what handles the continuous contract so even if I used eSignal it would still work. You don't need L2 because DOM is changing rapidly - faster than you can do anything with.
 
i960 said:
I use IB and Sierra Chart. Sierra is what handles the continuous contract so even if I used eSignal it would still work. You don't need L2 because DOM is changing rapidly - faster than you can do anything with.
More...

I use the Dom to execute my trades, so I'm fine with the speed. Although during the recent declines it was thin... I find It moves slower than the HSI, generally thicker too.

So with Sierra you construct the continuous manually or does Sierra do it all for you....?

How much data can you get into a composite profile?

Thanks for taking the time to answer my questions.

CanOz
 
What I'm saying is that while you can use the DOM for execution actually looking at or basing decisions off of it is fruitless. There's tons of arbs, market making, ETF balancing, etc orders flying through all the time. It's not a DOM that can be used to infer anything. The same mostly goes for HSI and HHI imo. Being limited to 5 levels doesn't help either. With the rate these things move you'd need like 20.

So even though I use the chart trader interface with Sierra which is basically a DOM next to the chart, I don't actually care about the orders at each level. In fact when IB limits my DOM levels due to having too many other deep book instruments open I simply don't care and trade normally. Remember the DOM still works you just only have the inside bid and ask.

Sierra handles continuous contracts on its own. It does automatic assembly based on rules for each instrument. You don't need an actual continuous contract symbol.

As far as composites I sinply depend on what IB will give me volume wise. It's not 100% accurate but for a profile its accurate enough.
 
For obvious reasons I'm not trading this as much anymore. The Chinese govt, much like the US govt with it's markets, has succeeded in removing any balls this thing still had. Volatility is significantly lower and you might as well just wait for the right moment to go long. In short (ha!), just front-run the PBOC the last hour.
 
Had an interesting situation in this last night. Both the Aug and Sep contracts had about equal volume due to traders transitioning to the next contract. Towards the end of the session PBOC (or someone/something else) stepped in and bought up everything in the sight pushing the Aug contract way up and the Sep contract to the first 10% limit up. Now the interesting part is that the Sep contract stayed limit up for about 35 minutes - which is well past the normal 10 minute clamp-down. Turns out that apparently the limit timers for the back months are wholly dependent on the front month contract hitting limit up first - and until that happened, any back month contract stayed limit up. So there was basically this weird period where the Sep contract (which was the dominant contract by that point) sat limit up until the Aug contract touched the first limit - then the 10 minute timer started, releasing the back months to trade upwards again.

Never seen such a thing with an index future before - probably because this contract has more of a curve than US indexes.
 
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