London coffee contract size just doubled

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sluggo
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London coffee contract size just doubled

Post by sluggo » Thu Dec 11, 2008 8:51 am

Early warning: viewtopic.php?t=4834

For those who trade Robusta Coffee futures in London on the LIFFE, please note that they are phasing out the old 5-tonne contract size (which they call "Robusta Coffee number 406") and phasing in the new 10-tonne contract size (called "Robusta Coffee number 409").

If you're like me, you are probably rolling over your position from the Jan-2009 contract to the Mar-2009 contract, sometime soon. Beware that the exchange offers BOTH #406 and #409 for January, but ONLY #409 for March.

So, that means you'll need to adjust the BigPointValue in your trading software, and if you have any existing positions in the old 5-tonne contract #406, you may want to consider cutting the number of contracts in half when you roll into the new 10-tonne contract #409.

In CSI Unfair Advantage the symbol is "LKD". In FutureSource and eSignal the symbol is "D H9-EEI". Pinnacle doesn't seem to quote this product.

Here's the official scoop on the old contract, #406 http://www.euronext.com/trader/contract ... ocid=47372

and here's the new contract, #409 http://www.euronext.com/trader/contract ... cid=485209

On my brokerage statement, positions in the old contract are written "LIF ROBUSTA COFFEE" while positions in the new contract are written "LIF ROBUSTA 10" (for 10 tonnes size, I assume). Your brokerage may do it differently.

Good luck and be careful out there.

Zach Oxman, Dean Hoffman: don't forget to change the BPV in all of your trading simulators and order generators. Customer Money might be affected!

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Post by RedRock » Thu Dec 11, 2008 11:16 am

Thanks for the heads up!

When I contacted the exchange a while ago for clarification, they said they were adding the new contract but keeping the old one too. Didn't mention LKDs eventual demise.

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Post by sluggo » Thu Dec 11, 2008 11:58 am

Hi RedRock, thanks for the inquiry. I think I probably garbled or mis-heard what my broker said @ 4:15AM. Looking at LIFFE's website, it seems you're right. It appears that they do intend to keep the old 5 tonne futures contract and not kill it off.

However, it also appears that they are discontinuing the OPTIONS on the old 5 tonne futures contract after the Jan-2009 underlying, see http://www.euronext.com/fic/000/033/166/331664.pdf and http://www.euronext.com/fic/000/032/775/327759.pdf . If and when they discontinue the futures options on the old 5 tonne contract, then I imagine most of the trading volume will move to the new 10 tonne contract which does have options. And probably that was what the Europe desk was trying to tell me while I was dead asleep.

I will call the trading desk on Sunday night (London Monday morning) and discuss further.

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Post by zacharyoxman » Fri Dec 12, 2008 1:03 am

Thanks Sluggo,

I've made changes to my Futures Dictionary effective March forward.

Zach

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Post by sluggo » Fri Dec 12, 2008 10:06 am

Whether the exchange continues to trade the old 5-tonne contract or not, CSI doesn't seem to have any March 2009 contract data for it, see image: there's no line item for March 2009. Although there IS a line item for May 2009, that contract is an empty shell. Notice its Last Date.

CSI does have Jan 2009 contract data for the old 5-tonne contract.

So when it comes time to roll over from Jan to March, watch out.
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Post by RedRock » Fri Dec 12, 2008 10:58 am

I sent a message to IB who does not seem to have the 10 ton listed yet.

Sluggo, my exchange inquiry was months old, so take that for what its worth. Doesn't seem both contracts could survive with the given liquidity anyway.

looks like 10 ton it is. Have to watch that one closely.... Thanks again for the warning!


Just checked, OEC does not seem to have the 10 ton available yet either.

7432
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Post by 7432 » Fri Dec 12, 2008 11:41 am

For IB, just type in D again.
for jan,you will actually get a choice for the 5 or 10 ton contract. after jan you just get the 10 ton.

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Post by RedRock » Fri Dec 12, 2008 3:53 pm

7432 wrote:For IB, just type in D again.
for jan,you will actually get a choice for the 5 or 10 ton contract. after jan you just get the 10 ton.
Ahhh splendid. No more worries. Thanks. :D

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Post by RedRock » Mon Jan 05, 2009 11:14 pm

7432 wrote:For IB, just type in D again.
for jan,you will actually get a choice for the 5 or 10 ton contract. after jan you just get the 10 ton.
HAVE you actually been able to enter orders for march 10 ton coffee symbol D on IB??? I just tried placing an order and received a regulatory restriction message similar to with the swiss market index. I sent a post to C.S. and will share their reply if any... Curious if anyone is able to place orders for MCH D coffee from in the US. on IB?

grrrr

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Post by 7432 » Tue Jan 06, 2009 11:22 am

I get the same response.
I've been told by IB that the swiss market index is correct, no cftc approval for US people.
tough to say with coffee. maybe the cftc has not approved the new contract yet. or maybe its just paper work on someone's desk waiting to be stamped.

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Post by 7432 » Tue Jan 06, 2009 1:31 pm

IB says this is a CFTC issue.

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Post by RedRock » Tue Jan 06, 2009 1:55 pm

7432 wrote:IB says this is a CFTC issue.
Lovely. Time to contact the cftc then... oh joy.

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Post by RedRock » Wed Jan 07, 2009 9:22 pm

I contacted the exchange as well as CFTC earlier today, no reply yet. However, the good :) news is IB does seem to be accepting the orders in DH9 tonight. OEC still does not have the market available yet however FWTW.

Edit. Just received the following from the exchange. Seems it was IB etc not up to speed and blaming others....

Dear, xxx

There are no CFTC regulations in trading the new 10 ton Robusta coffee contract that we are aware of. The contract is actively trading now and will be the sole coffee contract from 1 February onwards. The QV codes for this product can be found at http://www.euronext.com/fic/000/042/203/422032.pdf.

Feel free to contact me if you have any questions or require any additional information.

Regards,

Aaron Gill
Head of Business Development
Commodity Derivatives
Liffe

7432
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Post by 7432 » Thu Jan 08, 2009 10:04 am

pretty funny really.
out of all ib's customers you might be the only one trying to trade london coffee. it might have gone months without someone else asking why orders were not accepted.

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