Insane fills on HSI

Discussion in 'Order Execution' started by tubbs, Apr 2, 2011.

  1. tubbs


    I have been trading the after lunch session of HSI (Hang Seng futures) using Interactive Brokers - currently a simulator account, in addition to Bracket Trader front end.

    I was still trading the March contract - maybe I shouldn't be - not totally sure when the contract roll-over is (this was a couple of weeks ago now).

    Anyway a 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. They were always part of a 2 contract order, with one order executing at the actual market value trading.

    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.

    To clarify - THIS IS ONLY SIMULATED TRADING, and this was not out of hours trading, and liquidity was good.

    Thanks for any info.

  2. I used to trade the HSI two years ago.

    My experience was the simulator on IB,when it comes to the Hang Seng, is not indicative of real trading.

    There is some slippage when trading more than a few contracts of the HSI, but the simulator was way, way off.

    I used the simulator a few times for the HSI and considered it not useful at all.

    I stick to the Kospi when I trade overnight these days.
  3. If anyone is trading the HSI Futures currently, what is the usual slippage you can expect for a market order during RTH?

    Greater than 1.5 -> 2x tick size?
  4. You trade this months contract until the 2nd to last business day of the month. Thats the day volume swings and although you can trade the old contract in the morning of that day it has become lighter and by afternoon it almost stops moving.

    The simulator fills are probably rubbish.

    The fill you get depends on where you try to fill and how good your are at what you are doing. Generally you can get a price advantage on a stop ... but not in the millisecond after it gets hit. This is not a futures market for dummies.

    So, algoboy, you need to look at the tape to find out what really happened. It varies.
  5. tubbs


    I found this from a previous thread:

    Quote from lhclin:

    IB simulator has problem with HSI market orders. The fill can be way off (try place market order for 10 HSI you will see what I mean). This is probably what cause your stop order fill to be so much off.


    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.

    My guess is that most aren't going to start trading throwing around 10 lot market orders (HKD 500 per tick) unless they fully understand the HK market. In any event given the liquidity and potential volatility of the HSI market, I would suggest using stop limit orders.

    So it's an issue with the simulator.

    I guess I will have to bite the bullet soon and go to realtime trading on the HSI. This market is a bit of a monster, but if I can tame the risk, the reward using my system is certainly worth it. It especially good considering that I only have about 1 1/2 hours to trade before work. On the HSI the movement in this time is enough, on most markets it's 50/50 that the volatility is good enought in that time.

    Thanks for the input.
  6. If HSI makes you nervous, try MHI, the mini contract, which is 1/5 the size. There is also HHI, the China H shares contract, which is about 2/3 the size of HSI, and oftentimes produces better setup results than HSI, which both trade at the same time and are highly correlated.
  7. tubbs


    Thanks Filter - definitely worth a look at the other contracts.

    The mini I think has a worse commission than the HSI. My system trades very oftern - about 10 trades per hour, so that is a factor I have to bear in mind.
  8. WD40


    I must have got your other side.

  9. Curious, with so many liquid markets with good trending price action why be a contrarian ?

    Crazy A