Any Good Contracts to Trade After Hours?

[Tams 20]

...

ALSO, I almost forgot to ask, looking at the chart for HSI tonight, was there some kind of news release that took place around 3:00-3:05PM Hong Kong time? Or is that kind of price action somewhat normal for this market? Coming from US markets such as ES, YM, or NQ, I'm only used to seeing price action like that during news events.

 

 

rumor on delay in capital tighteng in china

[MidKnight 12]

ALSO, I almost forgot to ask, looking at the chart for HSI tonight, was there some kind of news release that took place around 3:00-3:05PM Hong Kong time? Or is that kind of price action somewhat normal for this market? Coming from US markets such as ES, YM, or NQ, I'm only used to seeing price action like that during news events.

 

Thanks for the reply...I also use esignal but am searching for alternatives that give T&S data. CQG is an option, but it starts at $595 / month ( :doh: ). I've been with esignal for a couple years now and trading HSI for about 4 months. I can't recall the past historical contract data problem, but in looking at my data cache, I see that it pretty much only goes back to when I started subscribing to HKFE, so you could be right about past contract data not available. I would have tried to get as much historical data as possible.....

 

There was some crazy crazy activity yesterday that was not normal. In fact I'd say the last 2 days haven't been normal with friday being extremely abnormal. I'm not sure what sparked that run up. My friend living in HK tells me there is never news scheduled during the market hours. Maybe some sort of surprise news or perhaps pure manipulation squeezed out the shorts? Who knows!

 

With kind regards,

MK

[MidKnight 12]

rumor on delay in capital tighteng in china

 

How did you find that out?

 

All my best,

MK

[Tams 20]

How did you find that out?

 

All my best,

MK

 

 

from a friend of a friend.

[Tams 20]

One important thing I forgot to mention regarding the E-signal data. I am having a problem where I can view front month data just fine, but I can't view past month contracts at all. Basically I only seem to have access to front month contracts and beyond, so my ability to backtest at this point is severely limited. I spoke with Ninja about this, and they logged into my account, couldn't get it to work either, and told me to ask E-signal about it. I just finished working with an E-signal rep trying to fix the problem, and in the end she told me that it must be a problem with Ninja. :doh: This is not so problematic for me right now since I'm in the trial period, and I've only had the feed for two days now, but without access to past month contracts, I don't think I would subscribe to this data feed. However, I'm hoping that I can get this problem fixed, and I can keep you updated if you'd like.

 

 

can't help you with back test...

 

if you just want to see the price action, you can hook your ninja to interactive brokers' demo system (not the papertrading account), it will stream previous days old data. It is free, and no registration is required.

just choose the demo tab, select "TWS Individual Demo".

http://www.interactivebrokers.com/en/p.php?f=tws&ib_entity=llc

[diablo272 10]

Thanks for the reply...I also use esignal but am searching for alternatives that give T&S data. CQG is an option, but it starts at $595 / month ( :doh: ). I've been with esignal for a couple years now and trading HSI for about 4 months. I can't recall the past historical contract data problem, but in looking at my data cache, I see that it pretty much only goes back to when I started subscribing to HKFE, so you could be right about past contract data not available. I would have tried to get as much historical data as possible.....

 

Thanks for the info, can you tell me which platform you use? I just finished speaking with an E-signal rep for about the fifth time today, and he told me that I can't view the historical contracts because Ninja doesn't support E-signals expired contracts, nor does it support E-signal's continuous contract for non-US exchanges. I'm pretty sure both of those statements are completely wrong, and I'm just wondering if you by chance use Ninja.

 

Also, as Tams mentioned, the only other data feed that carries HKFE besides E-signal and CQG that I know of is IB. Can you not use that for T&S work because of the way it aggregates data? Luckily I don't use T&S, so I'm hoping that I can get by with the IB feed if I need to.

 

can't help you with back test...

 

if you just want to see the price action, you can hook your ninja to interactive brokers' demo system (not the papertrading account), it will stream previous days old data. It is free, and no registration is required.

just choose the demo tab, select "TWS Individual Demo".

http://www.interactivebrokers.com/en/p.php?f=tws&ib_entity=llc

 

Thanks Tams, I haven't tried the demo yet, but I will try IB next if E-signal doesn't work out for me.

[Tams 20]

...

Also, as Tams mentioned, the only other data feed that carries HKFE besides E-signal and CQG that I know of is IB. Can you not use that for T&S work because of the way it aggregates data? Luckily I don't use T&S, so I'm hoping that I can get by with the IB feed if I need to.

...

 

 

T&S and aggregated data are TWO different things.

 

T&S are always by the individual trades,

while streaming data for charting purposes are aggregated (approx 100ms ~300ms).

[diablo272 10]

Ah, didn't know that, thanks. The aggregation shouldn't affect me since I don't trade on quite that low of a time frame, but I'll know if/when I try it out.

[MidKnight 12]

Thanks for the info, can you tell me which platform you use? I just finished speaking with an E-signal rep for about the fifth time today, and he told me that I can't view the historical contracts because Ninja doesn't support E-signals expired contracts, nor does it support E-signal's continuous contract for non-US exchanges. I'm pretty sure both of those statements are completely wrong, and I'm just wondering if you by chance use Ninja.

 

Also, as Tams mentioned, the only other data feed that carries HKFE besides E-signal and CQG that I know of is IB. Can you not use that for T&S work because of the way it aggregates data? Luckily I don't use T&S, so I'm hoping that I can get by with the IB feed if I need to.

 

Let me knew the esignal symbol (continuous or prior contract) and I'll give it a shot. I use neoticker.

 

With regards to IB data. It isn't a problem of aggregation, but rather the snapshot method IB uses will totally omit ticks. A couple years back when I was trading the Nikkei and just starting to get into T&S related study, I compared market delta footprints from IB with that of DTN feed. The difference was massive and very greatly changed the perception of the tape.

[diablo272 10]

Let me knew the esignal symbol (continuous or prior contract) and I'll give it a shot. I use neoticker.

 

With regards to IB data. It isn't a problem of aggregation, but rather the snapshot method IB uses will totally omit ticks. A couple years back when I was trading the Nikkei and just starting to get into T&S related study, I compared market delta footprints from IB with that of DTN feed. The difference was massive and very greatly changed the perception of the tape.

 

Interesting about the IB feed. I've never experienced anything like that, except possibly in my early days when I was using AlphaTrade (a joke of a "platform").

 

If you don't mind checking it out, the E-signal symbols that I'm interested are "HSI Q9-HKF" (the august HSI contract), "HSI 1!-HKF" (a continuous HSI contract), and "HSI F#-HKF" (a different way of entering the HSI continuous). If you get around to seeing if those work, thanks a lot, and if you don't, thanks anyway.

[MidKnight 12]

The IB issue you would have experienced (everyone does, every day) but wouldn't have noticed it unless you were comparing T&S data. IB takes snapshots, so if an extreme at HOD occurs in between the snapshots like a spike, then it just doesn't know about it. On a spikey instrument like HSI, this happens very very often.

 

I get no data from: HSI 1!-HKF or from HSI F#-HKF. Sorry but I cannot really test the Q9 one without deleting my own data...If you would like, I can export minute data to you. I have about 4 months worth.

 

Sorry to be of no help

[Tams 20]

Most of the dataproviders stream aggregated (snapshot) data.

(most=99%)

 

Read the small prints in your contract for detail.

[diablo272 10]

The IB issue you would have experienced (everyone does, every day) but wouldn't have noticed it unless you were comparing T&S data. IB takes snapshots, so if an extreme at HOD occurs in between the snapshots like a spike, then it just doesn't know about it. On a spikey instrument like HSI, this happens very very often.

 

I get no data from: HSI 1!-HKF or from HSI F#-HKF. Sorry but I cannot really test the Q9 one without deleting my own data...If you would like, I can export minute data to you. I have about 4 months worth.

 

Sorry to be of no help

 

That's very helpful, thanks. Interesting that you don't get data on their continuous contracts. And thank you very much for your offer to send me minute data, but the thing I'm most in need of is tick data so I can see how exactly I'm going to need to change my entry (and exit) strategy for HSI. Thanks again for checking on the e-signal contracts.

[MidKnight 12]

I can send tick data too, if you wish. PM me your email address and I'll do it after market today.

[MidKnight 12]

Most of the dataproviders stream aggregated (snapshot) data.

(most=99%)

 

Read the small prints in your contract for detail.

 

I consistently see different HOD/LOD values in the esignal data vs the IB data. I'll take a look for the small print.

[Tams 20]

so much for the free HSI data

 

HONG KONG FUTURES EXCHANGE OCTOBER 1, 2009 PRICE CHANGE

 

Beginning October 1, 2009, IB will charge a fee of 75 HKD per month for the professional and non-professional Hong Kong Futures Exchange market data in order to comply with exchange pricing.

 

To ensure that you only receive this market data if you wish to pay the monthly fee, a new subscription will be created for this data. It will take approximately one week to set up the new subscription and you will be notified when it is available. You will then be asked to subscribe to the new feed if you wish to continue to receive the data at cost beginning October 1.

 

As of September 30, 2009, everyone will automatically be unsubscribed from the old feed and it will cease to display data.

 

Interactive Brokers Market Data Service

[Kiwi 16]

I know. us$10 per month. B'stards

 

I guess it won't kill me but I always really like free.

[diablo272 10]

For you guys who trade with IB...I'm looking at their commissions right now for HSI, $60 HKD/roundtrip? Is that about right as a base fee? That seems a bit high considering the price of trading the e-minis, so I just want to make sure I have it right.

 

Edit: I just found the part of their site that compares the unbundled fee to the bundled fee...It looks like for HSI, the unbundled fee is a better deal, and much more reasonable at $40.6 HKD/RT.

Edited September 12, 2009 by diablo272

[Kiwi 16]

You are correct about prices. Its a bit under a tick.

 

Years ago I realized that you should think of 1 tick on the hsi as being equivalent of 1/5th of a tick on anything else ... so the range of each day and the sort of noisy spreads you get from time to time make more sense.

 

So a "real" hsi tick is HKD250 not 50.

Daily range isn't 330 to 500 ticks but 66 to 100 ticks.

Spread is usually under 1 real tick and those big intraday jumps are not 30pts but 6

 

When you think of it like that HSI starts to look like a really nice, manageable market, right?

[diablo272 10]

Thanks Kiwi. I have thought of HSI in that light (though not specifically the 1:5 ratio), and I think that is definitely one way of looking at it. I'm not sure if that view will 100% work for me and the way I trade, but it definitely does, as you said, make it seem more tame.

[Tams 20]

Typhoon in Hong Kong.

 

HKex closed until HK time 2:30pm

[MidKnight 12]

Thanks Tams, I was just going to post that but you beat me to it

[MidKnight 12]

Edit: I just found the part of their site that compares the unbundled fee to the bundled fee...It looks like for HSI, the unbundled fee is a better deal, and much more reasonable at $40.6 HKD/RT.

 

Yeah, unbundled is the way to go with IB on the HK products.

[Tams 20]

For you guys who trade with IB...I'm looking at their commissions right now for HSI, $60 HKD/roundtrip? Is that about right as a base fee? That seems a bit high considering the price of trading the e-minis, so I just want to make sure I have it right.

 

Edit: I just found the part of their site that compares the unbundled fee to the bundled fee...It looks like for HSI, the unbundled fee is a better deal, and much more reasonable at $40.6 HKD/RT.

 

 

don't you have to add HK$10 exchange fees to that?

 

I am asking because I have always used bundled fees.

[Kiwi 16]

I guess that means u won't be on chat mk. I figured out a way to resurrect that strategy ... not quite as good but tradable again.