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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.
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.
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
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
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 $2,415... which now does make sense when compared to the margin requirements).
I'll check some of my other calculations.
My quick takeaway is that Strategy Analyzer has issues with things not quoted in US$, 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?
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.
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!
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.
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.
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.