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ICE/NYBOT Prices help...


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ICE/NYBOT Prices help...

  #11 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
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Platform: NinjaTrader, MultiCharts
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MXASJ View Post
Then the Instrument Editor> Point Value should be for cents, not dollars. In such a case providers who quote as per the contract spec would have correct P&Ls, DOMs, etc.

Right?

This is really a special case. As far as I know, the instrument editor does not allow for quoting in cents. Let us take the example of SB, as it is the most liquid of the contracts:

Following the ICE website the contract size is 112,000 pounds, so the current contract value would be 29.85 cents x 112,000 pounds = $ 33,432.

My instrument settings show USD with a tick size of 0.0001 and a point value of 1,120. But I have probably those entered myself to match the Interactive Brokers settings.

What matters in the end is that the instrument settings match you data supplier and that P&L are correctly reported.

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  #12 (permalink)
 MXASJ 
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That gave me an idea, Fat Tails. My Sugar always seemed OK, both in DOM trading and backtesting. Settings are Tick Size = 0.01/Point Value = 1, 120.00.

I just changed my CT settings and am waiting for fill to see if it tracks PnL correctly in the DOM. Cotton is pretty slow right now .



I'll also run a backtest and if I find settings for Instrument Manager that work with my data sources (Rithmic and IQ Feed) I'll post them here.

Basically I'm treating a 1/100th of data cent as a Ninja cent, and a data cent as a Ninja dollar.

Yeah, I'm confused too .

But if it works I'll post it back.

EDIT: Cotton looks to be limit up today so that order is stuck. I'll try coffee...

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  #13 (permalink)
lsandersj
Bradenton, FL
 
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In IB I am placing a cotton spread and I'm offered NYBOT or NYMEX. Can anyone comment on these choices and a reason to select one or the other?

I'm curious if anyone has experience trading this? The open P&L swings violently on this position. (-DEC13/+MAR14) Is this sporadic bid/ask pricing?
Thanks

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  #14 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
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lsandersj View Post
In IB I am placing a cotton spread and I'm offered NYBOT or NYMEX. Can anyone comment on these choices and a reason to select one or the other?

I'm curious if anyone has experience trading this? The open P&L swings violently on this position. (-DEC13/+MAR14) Is this sporadic bid/ask pricing?
Thanks

THe NYMEX contract is illiquid, for Cotton you need to select NYBOT.

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  #15 (permalink)
inshi
new york
 
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Hi,

I'm working with NinjaTrader8 and latest TWS and this problem still exists..
has anyone where able to solve that?

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  #16 (permalink)
 choke35 
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Fat Tails View Post
There is no bug.

Some data vendors quote the Nybot Softs in USD, others in cents.

Cotton (CT) Kinetick close 215.15, Interactive Brokers close 2.1270
Cacao (CC) Kinetick close 3774, Interactive Brokers close 3650
Coffee (KC) Kinetick close 269.50, Interactive Brokers close 2.7380
Sugar (SB) Kinetick close 29.88, Interactive Brokers close 0.2988

There is no problem for Cocoa, but there is a problem for cotton, coffee and sugar: Interactive Brokers quotes in USDollars, whereas Kinetick reports in cents. Interactive Brokers quotes the close, where as Kinetick reports the settlement price.

As I use daily data from Kinetick and intraday data from Interactive Brokers, this is fun. My floor pivots calculated from daily data are hundred times above the current price. Have a special version that compensates for this.

This is not the fault of NinjaTrader. If you look at the contract specifications for cotton, coffee and sugar, it reads

Price Quotation: cents and hundredths of a cent up to two decimal places (Source: Website ICE)

This means that the prices are correctly quoted by Kinetick and that Interactive Brokers supplies false quotations.


inshi View Post
Hi,

I'm working with NinjaTrader8 and latest TWS and this problem still exists..
has anyone where able to solve that?

@Fat Tails showed 2 solutions:

a) Get a real data feed.
b) Write code that compensates for the factor differences.

Fat Tails used a combination of both at the time.

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Last Updated on February 11, 2016


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