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ICE/NYBOT Prices help...


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ICE/NYBOT Prices help...

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  #1 (permalink)
 MXASJ 
Asia
 
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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.



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!

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  #2 (permalink)
 
kbit's Avatar
 kbit 
Aurora, Il USA
 
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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

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  #3 (permalink)
 MXASJ 
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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.

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  #4 (permalink)
 sysot1t 
 
Posts: 1,173 since Nov 2009


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.ice.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...

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

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  #5 (permalink)
 MXASJ 
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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?

Anyone see any logic errors on my part?

Thanks for you help guys.

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EDGE's Avatar
 EDGE 
Saint Louis, Mo., USA
 
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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

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  #7 (permalink)
 MXASJ 
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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!

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  #8 (permalink)
 
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 Fat Tails 
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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.

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  #9 (permalink)
 MXASJ 
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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?

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  #10 (permalink)
 MXASJ 
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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.



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Last Updated on February 11, 2016


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