Anyone trading Australian Bank Bills, 3 Yr and 10 Yr bonds

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longmemory
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Anyone trading Australian Bank Bills, 3 Yr and 10 Yr bonds

Post by longmemory » Tue May 17, 2011 7:21 am

CSI symbols are

YBA Bank Bills
YTT 3 Yr
YTC 10 Yr

Could someone please explain how you arrive at the Big Point Value?
How did you integrate BPV calculation into TBB FuturesInfo.txt - if possible?

Thank you.

L

Chris67
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Post by Chris67 » Tue May 17, 2011 7:30 am

long memory - your best bet is to spend the time - like we all did - agonising around the websites of these exchanges and reading previous posts on the forum - it is nt hard within a few minutes to derive the BPV for something like YBA
c

longmemory
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Post by longmemory » Tue May 17, 2011 9:46 am

Chris,

I did and that is why the question.
Unless I misunderstand the actual contract spec, YBA, etc. does NOT have a fixed Big Point Value. Should that be the case, trading the Bankers notes, 3 Yr, 10 Yr ought to present special issue when using FuturesInfo.txt data.

Have I misunderstood the contract spec?
Has anyone with hands on experience with those markets and checked their accounts statement for point values?

L

Chris67
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Post by Chris67 » Tue May 17, 2011 12:43 pm

USING yba as an example - yes the BPV can actually vary marginally - a bit like NGL - but the difference in P/L is minute - easier bet , IMHO opinion than the London metals where backtesting and real results can differ dramatically due to forwardsvrs futures concepts

I think a lot of this comes down to if you use your TB systems as a 90% barometer / indicator on where you shoudl be and when - or your one of these people that believes a 1/10000th of a difference on one lot as a deviation in your system is a problem - I fall into the former - yes thatere are deviations in all aspects of blox on occasion - little issues that cause little discrepancies but I dont think you'll ever get it absolutely perfect
C

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