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Incorrect increments for TOPIX futures

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  • Incorrect increments for TOPIX futures

    Prices for Topix futures are being shown in increments at which the contract does not trade. TPX H2-TPX trades in .50 increments, but as can be seen in the attached trades, prices are repeatedly shown at .20, .30 and .40 in T&S and on the charts This is another one of the many problems that happened in the charts and T&S last November when TSE updated its computer system
    in addition to the one I reported here yesterday under [Rollover volume is being shown in the TSE charts].
    Attached Files

  • #2
    TOPIX pricing

    This is the response we received from the exchange regarding the different price increments that are now showing up. It seems, from the responses that we have received that these increments are now correct.

    response:

    Price increments:
    - Before the migration to TDex API feed, Tokyo was only providing the trades on the spreads. But post migration, they are providing trades on spreads and also the trades for the legs. We are passing these trades, which are in the increments of 0.1, 0.05 etc.

    ******

    Your understanding on Trade Price Fluctuation of TOPIX Futures and Mini TOPIX Futures is correct.
    Normally, trades outside of the fluctuation range will not be accepted by the exchange.

    On the contrary, Contract Month Spread Trading is a different matter from Fluctuation.
    If you are referring to Trade Price for trade, in case of TOPIX Futures, fluctuation is 0.1 point, Mini TOPIX Futures is 0.05 point.

    http://www.tse.or.jp/english/rules/d...xf/spread.html

    If the values you saw were Trade Price of Contract Month Spread, the fluctuation will be a value multiplied by the above mentioned points.
    Thank you,
    Eric O.
    eSignal Support

    Comment


    • #3
      Re: TOPIX pricing

      Yes, but the 0.1 increment trades are done separately from the auction market under the Strategy Trading system and are flagged as such in TSE's data(the exchange won't tell me how they are flagged). Strategy Trading is not offered retail by the local brokers or by IB. So as you can see in the attached, 0.1 increments are not shown in the BIDS/ASKS for IB or a local broker. Likewise, trades in 0.1 increments such as those at 09:08:00 and 09:08:01 in eSignal are not shown in the local broker's T&S or on their charts.

      So it seems that it's just a question of finding out from the exchange how they flag rollover and Strategy Trading trades. But as an outsider I can't get this information from the exchange for you.

      Thank you.



      Originally posted by eostrom
      This is the response we received from the exchange regarding the different price increments that are now showing up. It seems, from the responses that we have received that these increments are now correct.

      response:

      Price increments:
      - Before the migration to TDex API feed, Tokyo was only providing the trades on the spreads. But post migration, they are providing trades on spreads and also the trades for the legs. We are passing these trades, which are in the increments of 0.1, 0.05 etc.

      ******

      Your understanding on Trade Price Fluctuation of TOPIX Futures and Mini TOPIX Futures is correct.
      Normally, trades outside of the fluctuation range will not be accepted by the exchange.

      On the contrary, Contract Month Spread Trading is a different matter from Fluctuation.
      If you are referring to Trade Price for trade, in case of TOPIX Futures, fluctuation is 0.1 point, Mini TOPIX Futures is 0.05 point.

      http://www.tse.or.jp/english/rules/d...xf/spread.html

      If the values you saw were Trade Price of Contract Month Spread, the fluctuation will be a value multiplied by the above mentioned points.
      Attached Files

      Comment


      • #4
        We are still awaiting a response from the exchange themselves on these issues. I hope to get a response today or tomorrow and I will post that information once I have it.
        Thank you,
        Eric O.
        eSignal Support

        Comment


        • #5
          Hi Eric,

          If you are still waiting for an answer from the exchange, it looks as though the carrier pigeon died on the way.

          By their original answer, and as is often the case here, their English was not good enough to understand exactly why you were asking what you did and/or what the problem is that you are having with the rollover data and increments.

          Thank you

          Originally posted by eostrom
          We are still awaiting a response from the exchange themselves on these issues. I hope to get a response today or tomorrow and I will post that information once I have it.
          Last edited by jay60; 03-14-2012, 05:33 AM.

          Comment


          • #6
            We are currently working on an adjustment for these price increments. I will give more details on the change we are working on as I have them
            Thank you,
            Eric O.
            eSignal Support

            Comment


            • #7
              Originally posted by eostrom
              We are currently working on an adjustment for these price increments. I will give more details on the change we are working on as I have them
              hi, is there an update for this ?

              thanks

              Comment


              • #8
                still awaiting an update on this. Will post it here once I have it.
                Thank you,
                Eric O.
                eSignal Support

                Comment


                • #9
                  Hi Eric,

                  Rollover will begin shortly, and I hope that this has been fixed. Or,
                  as happened during the last two rollovers we won't be able to trade for 2 or 3 weeks again.

                  Thank you.
                  jay
                  Last edited by jay60; 05-19-2012, 07:31 AM.

                  Comment

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