ICE/NYBOT Prices help... - Commodities Futures Trading | futures io social day trading
futures io futures trading


ICE/NYBOT Prices help...
Updated: Views / Replies:6,251 / 15
Created: by MXASJ Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

ICE/NYBOT Prices help...

  #1 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received

ICE/NYBOT Prices help...

Anyone trading any ICE products here?

Some of the details of the ICE softs contracts are doing my head in this weekend, or perhaps its the way the instruments are set up by default in Ninja.

Here is the relevant part of a spreadsheet I'm puttting togther. The daily and weekly $ volatility doesn't look right. Looking at SB in Ninja, its priced in 1 cent increments and the charts look right, looking at KC its .0005 cent increments and it looks, well, incorrect.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


I've been all over the ICE website but I'm having trouble understanding the minimum tick size, and the $ value of that minimum tick size.

Any pointers would be most welcome!

Reply With Quote
The following user says Thank You to MXASJ for this post:
 
  #2 (permalink)
Elite Member
Aurora, Il USA
 
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: futures
 
kbit's Avatar
 
Posts: 5,872 since Nov 2010
Thanks: 3,301 given, 3,332 received

KC $18.75 a tick, SB $11.20 a tick, CT $5.00 a tick ,CC $10.00 a tick

those are the $ amts per tick...is that what your asking ?
it looks like in your "tick value "column you may have the decimal point in wrong spot on coffeee and cotton

Reply With Quote
 
  #3 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received


Thanks. It is the minimum tick size in the default settings of Ninja which is confusing me.

KC is $18.75 a tick, and the tick seems to be 0.05 which is different than the default settings.

CT is $5 a tick, and it seems to trade at 0.01 which again is different than the default.

Other ICE stuff seems OK.

Am I doing something wrong? Are you using Ninja 7?

Thanks again for your help.

Reply With Quote
 
  #4 (permalink)
Membership Permanently Revoked
 
Futures Experience: Intermediate
 
Posts: 1,176 since Nov 2009
Thanks: 221 given, 844 received


MXASJ View Post
Thanks. It is the minimum tick size in the default settings of Ninja which is confusing me.

KC is $18.75 a tick, and the tick seems to be 0.05 which is different than the default settings.

CT is $5 a tick, and it seems to trade at 0.01 which again is different than the default.

Other ICE stuff seems OK.

Am I doing something wrong? Are you using Ninja 7?

Thanks again for your help.



from the ICE contract details, the info is pretty clear.. IMO, when in doubt, the exchange contract details are the only correct information.



https://www.theice.com/productguide/ProductDetails.shtml?specId=15


Contract Symbol
KC
Contract Size
37,500 pounds
Price Quotation
Cents and hundredths of a cent up to two decimal places
Contract Listings
March, May, July, September, December
Minimum Price Movement
5/100 cent/lb., equivalent to $18.75 per contract.
Settlement
Physical delivery
Grade/Standards/Quality
A Notice of Certification is issued based on testing the grade of the beans and by cup testing for flavor. The Exchange uses certain coffees to establish the "basis". Coffees judged better are at a premium; those judged inferior are at a discount.
Daily Price Limit
None
Deliverable Growths
Mexico, Salvador, Guatemala, Costa Rica, Nicaragua, Kenya, New Guinea, Panama, Tanzania, Uganda, Honduras, and Peru all at par, Colombia at 200 point premium, Burundi, Venezuela and India at 100 point discount, Rwanda at 300 point discount, and Dominican Republic and Ecuador at 400 point discount. Effective with the March 2013 delivery, the discount for Rwanda will become 100 points, and Brazil will be deliverable at a discount of 900 points.
Delivery Points
Exchange licensed warehouses in the Port of New York District (at par), the Port of New Orleans, the Port of Houston, the Port of Bremen/Hamburg, the Port of Antwerp, the Port of Miami and the Port of Barcelona** (at a discount of 1.25 cents/lb).
First Notice Day
Seven business days prior to first business day of delivery month.
Last Trading Day
One business day prior to last notice day
Last Notice Day
Seven business days prior to the last business day of the delivery month

and from CME... for KT...

http://www.cmegroup.com/trading/agricultural/softs/coffee_contract_specifications.html

Reply With Quote
The following user says Thank You to sysot1t for this post:
 
  #5 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received

I think I figured it out... and found a bug in Ninja. I'll use NYBOT Coffee as an example (KC 05-11).

Prices are quoted in cents per contract. Friday's close was 272.8 cents, which is roughly $2.73.

The "tick" on coffee is 0.0005 cents, worth $18.75 dollars, making a 1 cent move in Coffee worth $375 per contract.

Doing a quick backtest in Ninja, if I went long 1 contract 4 Feb @ 250.9 and closed it out last Friday @ 269.5... I would have made $697,500. That is obvioulsy wrong. I would have made 697,500 cents or $6,975 on the trade.

That also means the ATR calculations I did are incorrect and the "raw" numbers need to be divided by 100. The ATR is not $6.44 dollars it is 0.0644 cents (which divided by 0.0005 and multiplied by $18.75 gives you a $ Daily ATR of $2,415... which now does make sense when compared to the margin requirements).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



I'll check some of my other calculations.

My quick takeaway is that Strategy Analyzer has issues with things not quoted in US$, which was a known issue, but the US cents thing is new to me.

Has anyone done a workaround by changing the settings in Instrument Manager or other means?

Anyone see any logic errors on my part?

Thanks for you help guys.


Last edited by MXASJ; March 6th, 2011 at 07:55 PM.
Reply With Quote
The following user says Thank You to MXASJ for this post:
 
  #6 (permalink)
 Vendor: www.htech.net 
Saint Louis, Mo., USA
 
Futures Experience: Advanced
Platform: NinjaTrader, Tradestation
Broker/Data: Amp/CQG, Velocity/TT, Kinetick, TS
Favorite Futures: Anything That Moves..
 
EDGE's Avatar
 
Posts: 127 since Aug 2010
Thanks: 77 given, 220 received


MXASJ View Post
I think I figured it out... and found a bug in Ninja. I'll use NYBOT Coffee as an example (KC 05-11).

The "tick" on coffee is 0.0005 cents, worth $18.75 dollars, making a 1 cent move in Coffee worth $375 per contract.

hmmm I don't trade coffee, and am not sure, but tradestation shows me this

@KC Coffee C Continuous Contract [May11] Last Price 273.80

min tk move 0.0500 - min$ move $18.75 - Big Point$ $375.00

with that I'd say 269.50 - 250.90 = 18.60

18 x 375 per Big Point = $6750

now the remaining .60 / .05 min move = 12tks

12tks x 18.75 per tk = $225

$6750 + $225 = $6975.00



OR

269.50 - 250.90 = 18.60

18.60 profit / .05 min tk move = 372 total ticks

372 tt X 18.75 per tk = $6975.00


Again I am not 100% on this without looking it up, but that's what Tradestation is telling me..


Edge

Attached Thumbnails
ICE/NYBOT Prices help...-futures-properties-margin.jpg  
Reply With Quote
 
  #7 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received

Editing the default Instrument Manager settings by dividing the Point Size by 100 did the trick for backtesting. Default was 37,500. My new setting is 375.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


I'm no longer a paper millionaire but at least I'm getting closer to backtest results I can trust (as in trust enough to further test). I'll try some SIM DOM trades Monday when markets are open as I believe that bug would cause an incorrect PnL to display in the DOM as well.

I can't be the first guy to notice this... but I also can't find any previous mentions in the forums. Perhaps I suck at Search as well .

EDIT: A search for "coffee" and "cotton" on the Ninja Support site turned up some answers. IB apparently quotes NYBOT Coffee and Cotton in dollars (in which case the default Instrument Manager settings would work), while Zen and IQFeed (at least) report them in cents. Interesting. Also interesting from a systems architecture standpoint... cents is not US$ as Euros is not US$. Strategey Analyzer (and really all Ninja P&L functions) are set up to report/assume everything is US$. Something to keep in mind!


Last edited by MXASJ; March 6th, 2011 at 07:54 PM.
Reply With Quote
The following user says Thank You to MXASJ for this post:
 
  #8 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary

No Bugs - But Some Data Suppliers Have False Quotations

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.

Reply With Quote
 
  #9 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received


Fat Tails View Post
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.

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?

Reply With Quote
 
  #10 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
Posts: 798 since Jun 2009
Thanks: 109 given, 786 received


This is just plain wrong. The quote is in cents and Ninja treats it like a full dollar quote. Real Bid/Ask is 219.70/219.71 cents. Ninja is indeed looking for quotes to hundreds of a cent, but it thinks the base quote is in dollars.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote

Reply



futures io > > > > ICE/NYBOT Prices help...

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Which Brokers offer ICE Crude Brent (BRN) torroray Reviews of Brokers and Data Feeds 11 March 24th, 2014 07:23 AM
ICE Takes Further Steps To Protect Itself From "Parasitic" HFT Algorithms kbit Commodities Futures Trading 1 June 28th, 2011 02:20 PM
Consumer Prices Rise on Higher Food, Energy Prices Quick Summary News and Current Events 0 May 13th, 2011 10:40 AM
How do the prices of derivatives relate to prices of their underlyings? dyross Beginners and Introductions 11 May 6th, 2011 04:35 PM
NASDAQ, ICE Bid for NYSE; Trump Deutsche Bourse Bid Quick Summary News and Current Events 0 April 1st, 2011 09:10 AM


All times are GMT -4. The time now is 04:43 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-15 in 0.16 seconds with 20 queries on phoenix via your IP 54.234.255.29