Why is average price different from price bought for ZN?

Discussion in 'Financial Futures' started by helpme_please, Oct 28, 2018.

  1. I am a complete newbie to fixed income futures.

    Using IBKR platform, I just bought 2 ZN contracts (10-year US treasury note) at ask quote of 118'310. However, on TWS, the average price reflected is 118.971875.

    Why does this discrepancy exist? I have never encountered such a situation when buying stocks and stock index futures.
    Last edited: Oct 29, 2018
  2. Handle123


    Most of the Financials are not traded in pennies like in stocks. Some traded 1/32, 1/64 and even 1/128


    "Treasury Notes 10 Year TY HMUZ One half of 1/32 of a point ($15.625/contract); par is on the basis of 100 points Points ($1,000) and one-half of 1/32 of a point One U.S. Treasury note having a face value at maturity of $100,000 or multiple thereof 1/64 ($15.625) "

    So when they quote '310, this is based on 32rds, but actually it trades in 64ths

    and IBKR platform does converting to decimal form.
    bullmarket79 and helpme_please like this.
  3. eurusdzn


    They are equivilant , or close to it.
    At $1000 per point from 119 to 120 and if they tick in 1/64"s its about $15 per tick.
    If the contract ticks in 1/128 's then about $8 per tick .
    118'310, 118'312, 118'315, 118'317, 119'000 ...count to 32 and roll up to next point.
    So, 31/32 = .96875 or. 118'310 = 118.96875

    1/32, 2/32, 3/32, ......31/32....0
    See the CME website for contract specs
    helpme_please likes this.
  4. eurusdzn


    Dont read anything into the ZN of my handle.. Havent touched these in quite a while.
  5. Handle123


    Day trading Financials is like watching paint dry, I trade them but very long term approach of staying in them years and then dance option plays and spreads around them to make something waiting for movement.

    Here a monthly chart going back to 1988, you can see when they move they move quickly and other times they just hang.

    Last edited: Oct 29, 2018
    helpme_please likes this.
  6. If the process is like watching paint dry, I don't think they are suited for day trading. Maybe more suited for holding for weeks to months. What do you think?
  7. Handle123


    Comes down to your method and back testing. I use 60 minutes on some Financials, dailies on spreads and weekly on long term everything including stocks. But all been factored by back testing. And I hedge anything over 29 minute timeframes.

    Good luck.
  8. eurusdzn


    Look at that last month or so of 1999. Huge.....Remember Nasdaq broke upside range in October and ran up to year end. That move is about $14k per contract with margin of ......?
    I would guess the ten over two was flat or inverted then. I would take that paint.
    Fed must have reversed policy on a dime causing , at least, a bull market in short term treasuries.
    Look at the two year for a home gamer to follow the fed reasonably close.(200k/contract, 128 ticks.
    Any possible correlation to current events?....will Powell pause or have to reverse if this, unlikely IMO , gets bad. Of course market will probably frontrun and discount these events long before Mr Powell emails me or rings a bell.
    However, the fed always tells you what they are going to do.
    The fed does move markets.
    Treasuries can trend.
    Last edited: Oct 29, 2018