What I realized is that the cash portion that is held in the futures margin account doesn't earn interest, so the "treasury drag" of leaving cash in the account is the 0.5% that IB deducts from base rate for cash in the securities segment + zero interest on the cash held in the futures segment. Assuming 30% Margin/NAV, leaving the portfolio 100% in cash, means an annual drag of about 1.65% of the NAV for a USD account (0.5% * 0.7 + 4.33% * 0.3).
Let's say we have OHLC prices of all contracts throughout history. How should we adjust Open,High,Low? One easy way I followed is to apply the close-close difference on roll days to OHL prices. Any other methods?
IB added Nifty50 (USD) future on SGX https://www.interactivebrokers.ie/en/trading/nifty-50-index-futures.php
Yes, but now I have a 2-year price gap, and my system needs perhaps 200+ days of recent history.. I tried to search online for historical data for it but couldn't find anything, Barchart doesn't seem to have it.. There are 2023 and older contracts, but nothing for 2024 and 2025 https://www.barchart.com/futures/quotes/NHJ23/price-history/historical
I checked with CSI support: SGX is not available on their instrument website but the software contains SGX futures. Just search for SGX exchange.
Correct there is no link to SGX at https://apps.csidata.com/FactsheetListing but a google search finds it at https://apps.csidata.com/factsheets.php?type=commodity&format=htmltable&exchangeid=SGX But this "Nifty50 (USD) future on SGX" is really traded on the NSE IFSC exchange in India and cleared through SGX. "While orders are routed to NSE IFSC, settlement and clearing is handled by SGX." https://www.interactivebrokers.ie/en/trading/nifty-50-index-futures.php The whole thing is so confusing that I opted not to add it to my system.
I haven't traded this personally but it sounds a lot like the exact same 'thing' that is traded onshore in India but now also cross listed on the SGX and settled in USD (due to foreign capital restrictions in India). This means that other than volume traded the prices/returns/carry etc should mimic the base NIFTY contracts that is traded in India?
That sounds right. Do you have any suggestions on how to overcome this drag that does not involve putting 50% in a private credit ETF
Not really that “confusing” and I think you should definitely add it to your portfolio as Indian stocks often move in a way that is uncorrelated to other equity indices. Just take a look now, while the S&P has been in a nosedive, the Nifty is actually up month to date. If you subscribe to CSI then the correct symbol is #20500 which has 4-5 years of data (no gaps) and exactly maps the newly added NIFTY symbol on IB