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The Dollar Index
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Created: by Zondor Attachments:2

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The Dollar Index

  #1 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
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The Dollar Index

Considering that the trade weighted US Dollar Index, DX.X generally has an excellent negative correlation to the equity and commodity indices, maybe we should be paying a lot more attention to it in real time. I can't find any mentions of it at all on Big Mike's!

However, getting the index data real time is a pain. It comes from ICE and Kinetick will not give you ANY real time ICE data including the DX.X without payment of the monthly $70 exchange fee. (Yes, I could also calculate it in real time with a custom indicator if I subscribed to the Kinetick FX feed, also not free.)

Also note that while Zen Fire has free real time for ICE, it also has NO INDICES, although it would have the DX futures contract.

The DX.X is a geometric weighted average of the prices of six FX spot pairs. For now I am approximating it by calculating it from the last traded prices of futures contracts for five of the six (there is no contract for USD/Swedish Kroner.

You can get the DX.X free (registration required) in real time at this ICE web page: https://www.theice.com/realtime/DollarsRealTime.action

So there should be a way to get the actual index into Ninjatrader... anyone have any suggestions?

Maybe something similar to the way jtEconNews gets news from ForexFactory into Ninjatrader charts?

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  #2 (permalink)
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  #3 (permalink)
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Possible solution to the problem


There is ANOTHER dollar index, the DXY.

Announcing the Dow Jones FXCM US Dollar Index! - InformedTrades

The Kinetick symbol for this one is USDOLLAR.X

This one presumably is free in real time since it is on the NYSE. It also has an excellent inverse correlation to the risk asset classes.

This index is available continuously from the Sunday afternoon open to the Friday afternoon close. But it only updates every fifteen seconds and when I put it on a chart, the chart stops refreshing for no apparent reason even though data continue to appear in the Time and Sales. Calculating it in real time from the prices of the Euro, Yen, Pound and Aussie seems to work better.

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The Dollar Index-ym-09-11-30-seconds-6_17_2011.jpg  

Last edited by Zondor; June 20th, 2011 at 11:16 AM.
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  #4 (permalink)
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Thanks Zondor, this looks interesting - though I've never looked at this before (so this post is not very helpful but mere to thank you for pointing out this contract). The volume in the DX future is relatively good with 25.721 contracts trade according to the ICE website; definitely warrants further investigation.

Have you already traded in the DX future or the FXCM cash index? Would be interesting to know how good the fills and liquidity are.

Regards,

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  #5 (permalink)
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Not trading it, just using it as a reference

I was not planning to trade the DX futures contracts. I am only interested in using the Dollar Index as a confirming indicator. DX might be a good trading vehicle, especially if it LAGS some of the risk assets, but I am not sure about that at this point.

Although it sometimes does arrive in real time, Kinetick says that real time access to the DXY index requires a $67/mo full CBOT subscription. I am not sure that is right but that's what the man said, so I just calculate it myself in a multi instrument indicator.

The only question I have now is whether the DXY or the DXX formula is more representative in today's market. The DXX formula seems to be a little outmoded with its dependencies on the Swiss Franc and Swedish Kroner. I have no data for the Kroner anyway since it does not have a CME traded futures contract vs the dollar.

Ideally these indices would be calculated from spot FX prices not futures prices. Using futures prices may introduce some lag, then again maybe the futures lead the spot so who knows.

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I'm surprised there has been no mention of USDX / DXY on this board earlier, I thought most traders had an eye on such things.

It's also a good hedging vehicle.

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  #7 (permalink)
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FYI DB do long and short dollar index ETF's - UUP and UDN.

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  #8 (permalink)
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and look on a similar tack, check out the CRB. It comes with the ICE feed, or GSCI (etf gsg) if you don't get the ICE access.

to be honest, both are ligitimate things to be looking at, but not necessarily on an intra day perspective. you can get (or used to be able to get) eSignal onDemand with just about every exchange there is providing delayed, snapshot data - this is fine for EOD analysis.

Just like o/n IBOR's - good for context, bad for trading.

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  #9 (permalink)
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I'm currently using the DX on ICE (for confirmation), which is working pretty well. My only problem is I'm not getting intraday historical data from Rithmic in Sierra charts...still not sure why.

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  #10 (permalink)
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How I Used the Dollar Weakness Index today


Looks like a Dollar Weakness Index, (this one is the inverse of the DowJones FXCM Dollar Index calculated from CME futures prices and multiplied by a constant to bring it into the 75 ballpark) does indeed have some value in trading of the TF.

POMO, money printing, currency debasement, and the push to risk assets - a perfect combination!

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