slippage on Nikkei ($)

Discussion in 'Automated Trading' started by PietdeWit, Oct 17, 2006.

  1. PietdeWit

    PietdeWit

    Has anyone traded the Nikkei ($) with an automated system?(market orders) I'm curious to know how much slippage I can expect during normal trading hours. Is it more then tickvalue($25,-)?

    Thanks
     
    #1     Oct 17, 2006
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  2. horribilicus

    horribilicus

    Yesterday (Monday 16 October 2006) I bought 1 contract of December CME-IMM $-denominated Nikkei at market on the open. Was filled at 16720. According to CSI Data, the "Open" price yesterday was 16710. So I suffered a slippage of 10 points which is $50 -- if you believe the "Open" really was 16710.
     
    #2     Oct 17, 2006
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  3. e-miNY

    e-miNY

    The minimum increment for full sized Nikkei is 10 ticks in Japan. So, i dont think u have any slippage from the Japan standpoint.
     
    #3     Oct 17, 2006
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  4. kiwi_trader

    kiwi_trader

    You guys seem to be mixing ticks, points, and possibly contracts.

    Nk japan is 10 points per tick.
    Nk singapore is 5 points per tick.
    Which one?

    Both have good volume so slippage is usually low.

    Opening price with CSI is probably the true open ... but who and how many people get it ... is it even possible. One tick of CSI's open price (10pts on full nk) is pretty reasonable.
     
    #4     Oct 17, 2006
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  5. horribilicus

    horribilicus

    CME-IMM $-denominated NK is 5 points per tick. Call it "NK Chicago" to follow the naming convention of kiwi_trader. Here is some recent data from CSI (commodity number 99, abbreviation "NK"); note that the minimum increment is 5 points:
    Code:
      DATE       OPEN       HIGH       LOW       CLOSE      VOLUME  OPENINT
20061002,  16280.00,  16330.00,  16190.00,  16210.00,   10891,   41840
20061003,  16220.00,  16295.00,  16145.00,  16250.00,   10768,   42134
20061004,  16220.00,  16370.00,  16105.00,  16345.00,    9884,   42736
20061005,  16415.00,  16505.00,  16355.00,  16455.00,    8904,   43716
20061006,  16430.00,  16500.00,  16360.00,  16415.00,    7777,   44008
20061009,  16310.00,  16415.00,  16275.00,  16300.00,    7421,   43734
20061010,  16305.00,  16565.00,  16305.00,  16530.00,    8880,   42997
20061011,  16515.00,  16525.00,  16300.00,  16450.00,    8772,   43404
20061012,  16430.00,  16570.00,  16355.00,  16535.00,    9196,   44125
20061013,  16555.00,  16655.00,  16540.00,  16620.00,    6278,   45140
20061016,  16710.00,  16725.00,  16610.00,  16685.00,    6092,   45140
    I'm reasonably sure that "NK Chicago" is the contract our Original Poster asked about.
     
    #5     Oct 17, 2006
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