Mad Fills with HSI (hang Seng Futures)

[bobajob 10]

I have been trading the after lunch session using Interactive Brokers - currently a simulator account, in addition to Bracket Trader front end.

 

the last couple of days I was still trading the March contract - maybe I shouldn't be - not totally sure when the contract roll-over is.

 

Anyway an number of my trades are either opened or closed out at about 80 points away from the actual market, always to hurt me, never in my favour.

 

I would like to trade this market, but if I get action like this in real trading I am frankly dead.

 

Anybody got experience of this - and where the problem comes from? My TWS software or the exchange (I guess though simulated trading doesn't really use the exchange).

 

The market never traded anywhere near the fills I'm getting.

 

Thanks for any info.

 

Regards,

 

Nick

[Tams 20]

I have been trading the after lunch session using Interactive Brokers - currently a simulator account, in addition to Bracket Trader front end.

 

the last couple of days I was still trading the March contract - maybe I shouldn't be - not totally sure when the contract roll-over is.

 

Anyway an number of my trades are either opened or closed out at about 80 points away from the actual market, always to hurt me, never in my favour.

 

I would like to trade this market, but if I get action like this in real trading I am frankly dead.

 

Anybody got experience of this - and where the problem comes from? My TWS software or the exchange (I guess though simulated trading doesn't really use the exchange).

 

The market never traded anywhere near the fills I'm getting.

 

Thanks for any info.

 

Regards,

 

Nick

 

number one lesson -- don't trade anything you don't know.

 

expiration and rollover information are two of the most basic pieces of info you MUST get before you start trading. it is easily obtainable from the exchange's website, or google for rollover discussion in a forum... there is no excuse for not getting this information before you start. I am not trying to give you the third degree. this is for any newby reader who come upon this thread. your mistake hopefully can save someone some big bucks. be glad that you are not trading crude oil (hint hint... google it for horror stories).

 

number two lesson -- never use market order on thin markets

 

this is self-explanatory. if you don't understand, please ask. I am sure many people would be happy to explain further.

 

number three lesson -- don't be so cheap, get level 2 data.

 

without bid and ask prices, you are only asking for trouble. it takes money to make money, you want to be cheap? buy term deposits.

 

 

as always... these are only my 2c

[bobajob 10]

Tams - thanks for the reply, which I would say is a little harsh. My replies are below.

 

number one lesson -- don't trade anything you don't know.

I totally agree with this statement - that's why I'm learning on the simulator before actual trading. I merely wondered if I was trading the correct month, as HSI has a single month as the front month not every quarter. I should know the expiration though, true.

 

number two lesson -- never use market order on thin markets.

How is the HSI a thin market? True my method probably would benefit from limit orders but I want to test out how bad fills would be using market orders. But I would not expect market orders to fill 80 POINTS FROM THE MARKET. That's what this thread is about - why fills so far from the market.

 

number three lesson -- don't be so cheap, get level 2 data.

I am using level 2 data - why suppose I don't.

 

Thanks.

[Tams 20]

Tams - thanks for the reply, which I would say is a little harsh. ...

 

Thanks.

 

what is more harsh?

 

my direct take no-excuse words?

 

or

 

when the broker swoops in to extract money from your account?

 

 

 

if you are looking for comfy words, from me or anyone else, for ignorant mistakes

you are in the wrong place.

everyone makes stupid mistakes, but in this internet age, there is no excuse to be ignorant.

you have to do your basic leg work.

you could have saved yourself a lot of anger by doing some due diligence.

I have already told you, i am not giving you the third degree, if you can't even handle this,

you have to ask yourself, why ask the question in the first place ???? you could have used google and get a better answer.

[Tams 20]

...

number two lesson -- never use market order on thin markets.

How is the HSI a thin market? ....

 

Thanks.

 

observe the following:

 

1. how many contracts are traded per minute?

 

2. what is the min/max spread between bid and ask?

 

3. what is the volatility vs spread?

 

(google it if you don't know how to calculate volatility)

[Tams 20]

...

number three lesson -- don't be so cheap, get level 2 data.

I am using level 2 data - why suppose I don't.

 

Thanks.

 

ok, you have level 2. Please tell us how did you use it to avoid the bad fills?

[bobajob 10]

Wow Tams - I really don't think I deserve this kind of attitude.

 

I'm not some idiot that has just come in off the last banana boat. You seem to think I am asking about liquidity or something.

 

I am merely asking - is this usual for the HSI market to fill trades 80 points from the market if you place a market order? Maybe it would be solved by placing limit orders, but I would like to understand why it may be happening on a simulated account and if it will happen in the actual market.

 

Maybe the answer is Yes or NO.

 

By doing simulated trading for a many months THIS IS MY DUE DILIGENCE.

[Tams 20]

Wow Tams - I really don't think I deserve this kind of attitude.

 

I'm not some idiot that has just come in off the last banana boat. You seem to think I am asking about liquidity or something.

 

I am merely asking - is this usual for the HSI market to fill trades 80 points from the market if you place a market order? Maybe it would be solved by placing limit orders, but I would like to understand why it may be happening on a simulated account and if it will happen in the actual market.

 

Maybe the answer is Yes or NO.

 

By doing simulated trading for a many months THIS IS MY DUE DILIGENCE.

 

good, I will put you on ignore. Have a nice attitude.

[Richard Dale 10]

Hi Nick,

 

Liquidity in the Hang Seng is decreasing in the March 2011 contract but you should not be experiencing slippage of 80 points.

 

Without any further details of:

a) When you placed the order (exact time in your timezone and HK timezone)

b) What was the market apparently at when you placed the market order?

c) What price were you filled at?

d) What was the exact time of the trade?

 

I suspect you may have simply placed the order outside of the trading hours. Overnight gaps are commonplace for futures that don't trade 23/24 hours a day.

 

You should become familiar with the characteristics of any futures contract. Key points being:

1. Trading Hours

2. Average volatilty / Overnight gaps

3. First notice dates, expiry dates and holidays that affect the contract

4. Watch decreases in Vol/Open Interest to understand possible times for you to roll to the next delivery

 

Lastly, don't hesitate to ask your broker why you were filled at a particular time.

[bobajob 10]

Hi Richard, I appreciate the feedback.

 

The HSI trading was not out of hours in Hong Kong. An example of a multiple contract trade is:

 

Market order to buy 2 contracts,

 

Orders filled 1 @ 23004 @ 6:01:17 (UK time) probably 15:01 HK time

second order filled 1 @ 23073 @ 6:01:17

 

As you can see the market had filled the exact previous contract 69 points lower.

 

As I said before this is simulated trading, but I don't really want to see if this happens in actual trading before I get to the bottom of it.

 

Regards,

[steve46 12]

Are you aware of the split session timing?

[bobajob 10]

Yes - this trading is after the lunch break. In the UK (a couple of weeks ago) the afternoon session starts at 5:30 am

[steve46 12]

Pardon the late reply...it seems to me (admittedly I have limited experience with the Hang Seng), that I remember volume surges and associated issues with fills as participants return from lunch or find themselves near to the end of session (and still have orders to fill)...This is one reason why I avoid split session markets. It makes sense to me that a marketable order executed at these times could recieve an unfavorable fill...

 

You also mentioned that the market "never traded near" the fill you received...if that is true you may have a technical glitch in the simulator...and you should inquire about it with Interactive Brokers.

 

Finally you may also want to contact the exchange...the Hang Seng is interested in maintaining volume and liquidity and they might have an English speaking person at their offices interested in helping you with this problem...If I were going to do business at the exchange I would certainly explore that avenue. I think the key to obtaining a prompt result is to suggest that you are thinking of moving size in that market...(you are aren't you lol)...just a thought.

 

Good luck

Edited April 3, 2011 by steve46

[globetrader 10]

Hi,

 

I traded the HSI and sorry to say, but it can have 80 points slippage, especially if you happen to use stop market orders above or below clear support or resistance zones. If these break the HSI tends to move quite wild, as there seem to be no market makers of last resort at all in this market. Something usually preventing other markets to move to fast in one or the other direction

 

(Of course if you use stop limit orders you won't get filled in case the market touches that order and is in the process of breaking up or down. )

 

So you need deeper pockets trading the HSI, as it can quite easily move 200-400 points up and down within a session. At least it did when I was looking at that market. I hadn't pockets that deep, so I moved on to other markets.

Best regards,

 

Chris

[bobajob 10]

Sorry for not clearing this up sooner, but in fact the answer - no thanks to TAMS b*ll**ks.

 

The simulator in IB cannot handle HSI trading due to the order book not displaying very deeply. So in short the bad fills - in the simulator at least - are due to a problem in the simulator.

 

Just good to know for others who might have the same problem.

[Tams 20]

Sorry for not clearing this up sooner, but in fact the answer - no thanks to TAMS b*ll**ks.

 

The simulator in IB cannot handle HSI trading due to the order book not displaying very deeply. So in short the bad fills - in the simulator at least - are due to a problem in the simulator.

 

Just good to know for others who might have the same problem.

 

stop b*ll**ks and making excuses. you will never get anywhere with that attitude.

 

the sim DOM shows 5 depths on each side.

 

unless you don't hear what I said: number three lesson -- don't be so cheap, get level 2 data.

[ccsli 10]

Maybe you are trading in the future settlement day afternoon session, when most investors have already rolled over to next month contract, that's why the trading is thin and the spread is huge.

[bobajob 10]

Guys - LISTEN - it has been confirmed by IB:

 

"I'll further go into the SIMULATOR issue. The real time order book depth that is disseminated from the HKFE is 5 deep. If the size of the book showing is less than 10 contracts the simulator isn't going to be able to provide the additional liquidity which is normally "hidden" in the HSI market. We could come up with some logic to counteract this but then again this is JUST A SIMULATOR."

 

This is the issue. I only report here to let others know if they are using IB simulator for HSI.

 

thanks. Have that TAMS!! (you get annoyed so easily) Just 'cus Aussies can't play cricket any more isn't my fault.

[Tams 20]

Guys - LISTEN - it has been confirmed by IB:

 

"I'll further go into the SIMULATOR issue. The real time order book depth that is disseminated from the HKFE is 5 deep. If the size of the book showing is less than 10 contracts the simulator isn't going to be able to provide the additional liquidity which is normally "hidden" in the HSI market. We could come up with some logic to counteract this but then again this is JUST A SIMULATOR."

 

This is the issue. I only report here to let others know if they are using IB simulator for HSI.

 

thanks. Have that TAMS!! (you get annoyed so easily) Just 'cus Aussies can't play cricket any more isn't my fault.

 

You seem to have an anger management problem.

 

Maybe you were using the IB demo system, not the papertrading account.

The demo system does not have live data.

 

here's a screen shot from yesterday.

 

 

 

 

No need to get hyped up young buck, you have a long way to go. You can't make money when your vision is clouded.

Edited May 3, 2011 by Tams

[bobajob 10]

Listen TAMS - i'm beginning to like you. Just ask yourself - do you really think I don't know whether I am using a Demo account or a paper trading account? One needs a fully funded account - the other not. I think I would notice a large withdrawl from my own account to fund it....(which I did).

 

I haven't just come to trading in the last week you know. I may not have earned bragging rights but I've certainly been round long enough. Let's bury that hachet?

 

Anyway - I would rather discuss with you how you trade the HSI. I think it looks to be a very powerful lucrative beast. My system is based of very short term Market Profiles. Seems like it has potential.

And you?

[Tams 20]

Listen TAMS - i'm beginning to like you. Just ask yourself - do you really think I don't know whether I am using a Demo account or a paper trading account? One needs a fully funded account - the other not. I think I would notice a large withdrawl from my own account to fund it....(which I did).

 

By the level of questions you asked, I had my reasons to doubt.

 

I haven't just come to trading in the last week you know. I may not have earned bragging rights but I've certainly been round long enough. Let's bury that hachet?

 

I never had a hachet... I deal with issues, not personalities.

 

Anyway - I would rather discuss with you how you trade the HSI. I think it looks to be a very powerful lucrative beast. My system is based of very short term Market Profiles. Seems like it has potential.

And you?

 

I won't spend time on MP... there are not enough distributed volume to make it meaningful.

Having said that, I do have a couple of TPO charts on standby.