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ZT and ZF questions please ......


Discussion in Treasury Notes and Bonds

Updated by vpd1952
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ZT and ZF questions please ......

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  #1 (permalink)
memphis
 
 
Posts: 5 since Mar 2020
Thanks: 2 given, 1 received

Good Evening,
can someone please help me in coming up with the correct formula/numbers for this Position Size method that I'm using for the following 3 symbols ( QG mini Natural Gas, ZT the 2 year and ZF the 5 year )

I'm assuming a starting account of $5,000 and am risking 3% per trade

For QG:

$5,000 account size x .03% risk per trade = $150 Max risk per trade

QG 1 tick value = $12.50

Entry on the trade at 1.5770
Stop on the trade at 1.5759
( is this 11 Ticks or 11 points )? I know they're are 200 ticks per 1 point for QG

Then the calculation would be ....... $150 divided by ( 11 Ticks x $12.50 ) = 1.09 contract(s)

Rounding down, I could trade 1 contract of QG




for ZT:

$5,000 account size x .03% risk per trade = $150 Max risk per trade

ZT 1 tick value = $15.625

Entry on the trade at 125.02
Stop on the trade at 124.83
( is this 19 Ticks )? I know they're are 128 ticks per 1 point for ZT

Then the calculation would be ....... $150 divided by ( 19 Ticks x $15.625 ) = .50 contract(s) aka 1'2 of a contract

Therefore, I could NOT trade even 1 contract




for ZF:


$5,000 account size x .03% risk per trade = $150 Max risk per trade

ZF 1 tick value = $7.8125

Entry on the trade at 110.20
Stop on the trade at 109.90
( is this 30 Ticks )? I know they're are 128 ticks per 1 point for ZF

Then the calculation would be ....... $150 divided by ( 30 Ticks x $7.8125 ) = .64 contract(s)

Therefore, I could NOT trade even 1 contract - aka this is 2/3 of a contract



I think I'm calculating these correctly, but am not 100% sure, and wanted to get confirmation

Really appreciate the help - Thank you

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  #2 (permalink)
Legendary Elite_Member
Wiltshire, United Kingdom
 
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matthew28's Avatar
 
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You have the Interest Rate tick value incorrect for ZT. They are both $7.8125 according to CME data sheets
ZT - The minimum price fluctuation is one-eigth of 1/32nd, so priced in 1/256ths of a tick or 0.00390625 - https://www.cmegroup.com/trading/interest-rates/us-treasury/2-year-us-treasury-note_contract_specifications.html
ZF, The minimum price fluctuation is one-quarter of 1/32nd, so priced in 1/128ths of a tick or 0.0078125 - https://www.cmegroup.com/trading/interest-rates/us-treasury/5-year-us-treasury-note_contract_specifications.html

I have shown a couple of DOMs for reference.
I did an instant buy and sell on each product to confirm the tick value, losing one tick, which showed as a $7.81 loss for each.
Also tricky with your use of decimals with your entry and exit prices.



edit:
I added the Tradovate DOM also. On the main picture you can see that the Jigsaw DOM has a cumulative rounding error for the prices increasing from '070 by '001 up to '077, then by '003 up to the the next 1/32nd value of '080.

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  #3 (permalink)
Legendary Market Wizard
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Trading: Energy
 
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vpd1952 View Post
I'm assuming a starting account of $5,000 and am risking 3% per trade

For QG:

$5,000 account size x .03% risk per trade = $150 Max risk per trade

QG 1 tick value = $12.50

Entry on the trade at 1.5770
Stop on the trade at 1.5759
( is this 11 Ticks or 11 points )? I know they're are 200 ticks per 1 point for QG

Then the calculation would be ....... $150 divided by ( 11 Ticks x $12.50 ) = 1.09 contract(s)

Rounding down, I could trade 1 contract of QG

NG, Natural Gas, is a 10,000 MMBtu contract with a tick size of 0.001 which is $10/tick.
QM, Natural Gas eMini, is a 2,500 MMBtu contract with a tick size of 0.005 which is $12.5/tick. (Crazy huh bigger than full size)

$150/$12.5 = 12 ticks (11 huh???) so 12 ticks = 12 * 0.005 = 0.06 or 6c/MMBtu

You can't enter at 1.577 QG doesn't trade like that. You can enter at 1.580 or 1.575!
You can't stop on 1.5759 QG doesn't trade like that. You can stop on 1.580 or 1.575! (Even NG doesn't trade 1.5759!!!)

If you buy 1.580 with a stop of 1.575 and assume zero slippage and zero commissions you can trade 12 lots and only be risking $150!

Sorry to sound negative but you shouldn't be trading this product.

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  #4 (permalink)
memphis
 
 
Posts: 5 since Mar 2020
Thanks: 2 given, 1 received

matthew28 - thank you so much for your help and for posting those DOM screenshots for reference. That's very helpful, thank you for doing so

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  #5 (permalink)
memphis
 
 
Posts: 5 since Mar 2020
Thanks: 2 given, 1 received

SMCJB - Thank you so much for all of your help as well. Definitely helped clear up some misunderstandings and calculations I had on QG / QM

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  #6 (permalink)
memphis
 
 
Posts: 5 since Mar 2020
Thanks: 2 given, 1 received

SMCJB :

Hi SMCJB,
thank you again for all of your help with my Post / question regarding Natural Gas ( and mini Natural Gas ) - that was super helpful and cleared up a lot for me


If you have a Few minutes,
can you please look over these two scenarios/calculations for both ZT and ZF and let me know if my understanding of these is correct please - I would be super grateful for any help and knowledge you can share

for ZT:

$5,000 account size x .03% risk per trade = $150 Max risk per trade

ZT 1 tick value = $15.625

Entry on the trade at 125.02
Stop on the trade at 124.83
( is this 19 Ticks )? I know they're are 128 ticks per 1 point for ZT

Then the calculation would be ....... $150 divided by ( 19 Ticks x $15.625 ) = .50 contract(s) aka 1'2 of a contract

Therefore, I could NOT trade even 1 contract




for ZF:


$5,000 account size x .03% risk per trade = $150 Max risk per trade

ZF 1 tick value = $7.8125

Entry on the trade at 110.20
Stop on the trade at 109.90
( is this 30 Ticks )? I know they're are 128 ticks per 1 point for ZF

Then the calculation would be ....... $150 divided by ( 30 Ticks x $7.8125 ) = .64 contract(s)

Therefore, I could NOT trade even 1 contract - aka this is 2/3 of a contract



I think I'm calculating these correctly, but am not 100% sure, and wanted to get confirmation

Thank you again for all of your time and help

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June 28, 2020


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