Danish Futop Index

General discussions about futures.
Post Reply
Chris67
Roundtable Knight
Roundtable Knight
Posts: 1046
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

Danish Futop Index

Post by Chris67 » Thu Jul 08, 2010 8:09 am

Dont have the ability to trade it right now so cannot buy and sell quickly to find out the tick value
Having researched the internet for 2 hours and spoken to the London Representative office of Nasdaq OMX (They have no idea what a tick value is on their own product) - can anyone assist
i.e. what is the tick value of the Danish Futop Future
CSI and various websites clearly indicate its now dkk 10,000 times the index for the contract size
This means its 10,000 DKK big point value which seems far too large given the daily movements (would be about 4-5000 usd per day per contract)
anyone have a simle answer ?

Thanks in advance

sluggo
Roundtable Knight
Roundtable Knight
Posts: 2986
Joined: Fri Jun 11, 2004 2:50 pm

Post by sluggo » Thu Jul 08, 2010 9:36 am

It's too bad you don't have the ability to trade it right now, because another wonderful resource is your brokers.

I find that they often posses some small fact I am searching for ("what is the value of X?") and, more importantly, also have valuable opinions, if I would but ask and listen. (" ... well ... YES, we can buy and sell that contract for you ... BUT ... it's not very popular and I'm not sure you'd really want to trade it ...")

In the present situation, you can't trade this product but you can backtest it. Since you don't know and can't find out the BPV and ticksize, you are forced to backtest using estimates of these. I would recommend that you choose your estimates in whatever way you deem to be the most conservative.

For example, you might decide to backtest using the CSI data series #329, symbok "KFX". CSI's output data for this series has a minimum price fluctuation ("tick") of 0.05, obtained by pulling up a chart in UA and eyeballing the data table. Notice the scary title on the top of the chart "KFX Index with Spec Changes" and the ominous footnote on CSI's website describing the contract http://bit.ly/b0x9db

You might decide that the most conservative possible estimate of BPV for backtesting is the smallest one. Your estimate is either correct, or else too small, but you are certain it is NOT too large. That way, in simulated trading, you will either be trading the correct number of contracts, or else too many, but certainly not too few. Thus you are either suffering the correct amount of commission and slippage, or else too much, but certainly not too little. Your costs-to-trade this product (in simulation) are conservatively overestimated.

Or you might decide to be conservative in another area rather than costs. Figure out how the BPV affects that area and choose an estimate which is very conservative for your chosen objective.

Chris67
Roundtable Knight
Roundtable Knight
Posts: 1046
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

Post by Chris67 » Fri Jul 09, 2010 3:30 am

Thanks Sluggo

Sort of went through most of that process - Personally I just wish CSI and the exchange websites were a little clearer on some of these issues - but then nobody said it would be easy - and we are dealing in financial markets of course - the sacred home of insanity, irrationality, confusion and illogicallity

If anyone cares the big point value id 100 DKK and the tick size is 1 DKK - Thats official from the floor and from my man "Tony" who has spent years trading this thing in Copenahagen.
I still dont think you could actually work that out given the available data on CSI
C

Post Reply