Typical Bid Ask spread on main traded times for Australia Index Futures and Hang Seng Futures ?

[TrAndy2022]

Anyone knows the typical bid ask spread and bid ask volume for Index Futures on Australia (which is the most liquid Equity Index Futures here) and for Hang Seng Futures please ? (Where is Hang Seng most liquid Equity Futures traded at which exchange ?).

Because I did not trade those futures markets so far and markets are closed now, so I cannot get the data. What kind of volume you could do with a strategy that has a average net profit of 0.025% ? Is that with the bid ask spreads still profitable or not ? Could you tell me transaction cost in percentage too please (0.01% or 0.015% for example) ? Of course I could figure it out myself but I just do not have these data in front of me. Thanks.

 

[maxinger]

Hang Seng Futures, Mini HS futures, Hang Seng Tech futures .... are from HKFE.

1 tick = 1 point

bid-offer spread is good - around 1 to 3 ticks

volume is relatively high.

my typical max stop loss is ~ 25 points.
On most days, getting reward: risk ratio of 4:1 is quite possible.

Today is exceptional. the RR ratio for HS index futures is around 40.

 

[TrAndy2022]

Hang Seng Futures, Mini HS futures, Hang Seng Tech futures .... are from HKFE.

1 tick = 1 point

bid-offer spread is good - around 1 to 3 ticks

volume is relatively high.

my typical max stop loss is ~ 25 points.
On most days, getting reward: risk ratio of 4:1 is quite possible.

Today is exceptional. the RR ratio for HS index futures is around 40.

Are there special times when spread is only 1 tick ? or 2 ticks ? Because 3 ticks would be too much for me.

 

[maxinger]

Are there special times when spread is only 1 tick ? or 2 ticks ? Because 3 ticks would be too much for me.

for day trading, 3 ticks are very tolerable.

If you compare with say mini BTC futures,
the bid-offer spread could be 20 to 40 ticks.

 

[TrAndy2022]

for day trading, 3 ticks are very tolerable.

If you compare with say mini BTC futures,
the bid-offer spread could be 20 to 40 ticks.

Do you have an idea for Australian Equity Index Futures too ?

 

[TrAndy2022]

for day trading, 3 ticks are very tolerable.

If you compare with say mini BTC futures,
the bid-offer spread could be 20 to 40 ticks.

What is most typical, 1 or 2 ticks ? Or mostly 3 ticks ? Because I am testing a HFT stratey where the spreads do count as trading cost much.

 

[maxinger]

What is most typical, 1 or 2 ticks ? Or mostly 3 ticks ? Because I am testing a HFT stratey where the spreads do count as trading cost much.

there are quite a few popular futures (including crude oil, gold ... ) with bid-offer spread of 1 to 3 ticks.

I am no expert on HFT. perhaps you have to review your program parameters.


I should clarify further about the bid-offer spread.
when there is a very major news / economic data release (eg yesterday's NFEC data),
hangseng spread (and many others) could widen to a few tens or hundreds of ticks.
anyway, day traders wouldn't be bothered about it as we would be sitting on our hands.

 

[eastern_warrior]

What is most typical, 1 or 2 ticks ? Or mostly 3 ticks ? Because I am testing a HFT stratey where the spreads do count as trading cost much.

HSI/HHI usually 1 to 2 ticks but as the market is volatile there is lots of noise on movement and there is also a great deal of hidden liquidity looking to trade on screen.