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ZN TICK SIZE AND VALUE
Started:February 20th, 2012 (10:05 AM) by gparkis Views / Replies:8,765 / 12
Last Reply:October 28th, 2016 (05:49 PM) Attachments:3

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ZN TICK SIZE AND VALUE

Old   #1 (permalink)
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ZN TICK SIZE AND VALUE

I am having a hard time understanding min tick value in ZN. Anyone care to maybe explain it differently then the CME def?

not sure about "par" and such. What is the min tick? what is the value of that?

thanks
gp

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Old   #2 (permalink)
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Old   #3 (permalink)
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gparkis View Post
I am having a hard time understanding min tick value in ZN. Anyone care to maybe explain it differently then the CME def?

not sure about "par" and such. What is the min tick? what is the value of that?

thanks
gp

According to NinjaTrader Instrument Manager, for ZN (10 Year US Treasury Notes Futrue) the TickSize (minimum tick increment) is: 0.015625

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Old   #4 (permalink)
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Answer
This post has been selected as an answer to the original posters question Answer

Par refers to the nominal or face value of the underlying bond, i.e. $ 100,000 (i.e. the amount on which the coupons payments are calculated and the amount you would ususally get back at the maturity date)

Quotes are in points and halves of 1/32 of a point.

"130 195" should read 132 + 19/32 + 1/64. All in percent of face value

The minimum change is then from 130 195 to 130 200, i.e. to 130 + 20/32

That difference is 0.015625

Per contract: 100.000 * 0.015625 = 1,562.50 but since the quote is in percent (130.xx % of face value), the tick size is USD 15.625

Hope this helps.

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Old   #5 (permalink)
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Using NT indicators with ZN

Answer
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Futures Edge on FIO

Which products do you trade?

 
The NinjaTrader indicators are not formatted properly to show on treasury futures.

However, you can modify any indicator by overwriting FormatPriceMarker() to show correctly on treasury futures.

 
Code
       public override string FormatPriceMarker(double price)
        {
            double trunc = Math.Truncate(price);
            int fraction = Convert.ToInt32(320 * Math.Abs(price - trunc) - 0.0001); // rounding down for ZF and ZT
            string priceMarker = "";
            if (TickSize == 0.03125) 
            {
                fraction = fraction/10;
                if (fraction < 10)
                    priceMarker = trunc.ToString() + "'0" + fraction.ToString();
                else 
                    priceMarker = trunc.ToString() + "'" + fraction.ToString();
            }
            else if (TickSize == 0.015625 || TickSize == 0.0078125)
            {
                if (fraction < 10)
                    priceMarker = trunc.ToString() + "'00" + fraction.ToString();
                else if (fraction < 100)
                    priceMarker = trunc.ToString() + "'0" + fraction.ToString();
                else    
                    priceMarker = trunc.ToString() + "'" + fraction.ToString();
            }
            else
                priceMarker = price.ToString(Gui.Globals.GetTickFormatString(TickSize));
            return priceMarker;
        }

Below is an example for ZN 03-12.

The default EMA shows 6 digits after the point. If you add the code above, it will show correctly as 18'3/32nds.

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Old   #6 (permalink)
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1. So as far as lingo...

tick move is 130 195 to 103 200
what is 130 00 to 131 00? a point move?

2. Fat tails...is there a step by step I can follow to import for code fix for the treasury markets? No idea where or how to do that. Thanks. This would be for the ATR indicator

GP

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Exactly, the difference between 130 00 to 131 00 would be a point.

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gparkis View Post
Fat tails...is there a step by step I can follow to import for code fix for the treasury markets? No idea where or how to do that. Thanks. This would be for the ATR indicator

GP

Attached is a sample indicator. Just insert #region Miscellaneous after #region Properties.

Attached Files
Register to download File Type: zip EMAmod.zip (2.2 KB, 34 views)
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Old   #9 (permalink)
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I read this somewhere... originally items traded in 1 unit/point or 130 to 131. But it was determinded by the powers that be of the time, they wanted more traders so they increased the number of units available to trade by cutting the move in half (1/2) ...

ie 130.0, 130.5, 131.0 (1/2)

this worked for a while, and it was decided to do it again, halfing the half (1/4)

130.25, 130.50, 130.75, 131.00 (this is how the ES trades today)

With the ZN it has been done 6 times 1/2,1/4,1/8,1/16,1/32,1/64

thought it was interesting to know....


Last edited by tulanch; February 22nd, 2012 at 06:19 PM.
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Old   #10 (permalink)
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if each tick is (125-140 less 125-135) = 05

each tick is worth $15.625

Then if I am calculating the following, entry, stop and target.


To short 1 ZN contract

Short Entry 125-140

The risk of the trade is 160/5 = 32 Ticks x $15.625 = $500 Risk

Buy Stop 125-300

The profit target is 4215/5 = 842 Ticks x $15.625 = $13,172 Profit

Buy to Cover Target 121-085

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