SPI 200 Futures!

[Bullseye]

Hi there,

I have tried to undertake my own Futs research with not much luck and I was hoping someone could answer the following questions:

1. What is the difference between the ASX (SFE) SPI 200 Futures and the S&P/ASX 200 Index Futures?

2. Where can I find the best possible "live" charts showing the SPI 200 Futures movement? The ASX website only has their 15-min delayed pricing only and I cannot find any proper real-time charting...

3. As a general consensus/own opinion, who are the top 3 Futs brokers?

Thankyou in advance.
B

 

[supermatt]

Re: SPI200 Futures!

I can answer question 2 and maybe some of 3.

I have done a lot of research on data and charts. To get the actual REAL Sydney futures exchange data you will need an account with a futures broker to get this. There are no other alternatives if you want the real SFE data unfortunately. (or get a data feed such as esignal which can provide the data)

However if you just want the cfd charts for the spi 200 I know where to get free live charts from but I find them useless as there is no volume. (and I hate cfd's)

Going by the general consensus on this forum most people use interactive brokers as they are a big company, charge low commissions ($5 per side) and offer free live data for the SFE which you can import into many popular charting platforms.

Alternatively I was researching futs brokers in Australia to keep your money on shore and the best I can see is MF global which seem to be reasonable, albeit they have higher commissions. I emailed them and they said they charge $10 per side which can be negotiated depending on volume.

Still not many GOOD options if you are an Aussie. sigh.

 

[Bullseye]

Re: SPI200 Futures!

Great! Thanks for your prompt reply... I will look into MF.

I have seen IG Market's Aussie200 charting which is absolutely horrible and I am not sure if or how it correlates to the actual underlying SPI market. Which free CFD SPI chart are you referring to?

 

[supermatt]

Re: SPI200 Futures!

IG is one of the free cfd spi charts I was referring to. There are others but its the CFD so its not the real futures chart. Id say it tracks the futures charts pretty much the same with a few differences here and there. Just like fx futures and the spot market. But yeh IG have horrid charts.

I am looking into MF as well

 

[hooikk]

Re: SPI200 Futures!

1. What is the difference between the ASX (SFE) SPI 200 Futures and the S&P/ASX 200 Index Futures?

I believe they refer to the same instrument. Feel free to correct me if I'm wrong.

2. Where can I find the best possible "live" charts showing the SPI 200 Futures movement? The ASX website only has their 15-min delayed pricing only and I cannot find any proper real-time charting...

I would think the only way is to open an account with a broker. As supermatt mentioned, IB is a good option.

IG-Markets and City Index (another CFD provider) are meant to mirror the movements of the SPI, but they tack on an additional 1pt spread during the day and 2pts during the night market.

3. As a general consensus/own opinion, who are the top 3 Futs brokers?

I've only traded the SPI using CFDs via City Index, but IB and MF Global usually top the lists of most people I've asked.

 

[Punta]

Re: SPI200 Futures!

Here's a couple of graphs of diurnal behaviour in the SPI200. Perhaps no surprises, but I found a couple of them interesting anyway.

These are averages over a year of 1-minute bars I pulled from IB

Volume: Much higher during day session, spikes during opening/closing phases, and minimum during midday

 

[Punta]

Re: SPI200 Futures!

The labels on the last graphs were wrong. Should be right now.

What's interesting (to me):

Volume: Much higher during day session, spikes during opening/closing phases, and minimum during midday

abs(open-close) is the magnitude of the change during the minute. Interesting that this is higher during the morning than afternoon.

Spread: much higher during the night session. Interesting how it slowly ramps up after the day session.

Transactions per unit (i.e. the inverse of volume per transaction, looks neater this way). Interesting how this ramps down in the afternoon, so that people are on average buying more per transaction in the afternoon than morning. Is this the result of algos that accumulate slowly in the morning, but dump in the arvo, or is it that small players trade in the morning, and this big boys in the arvo??

 

[Punta]

Re: SPI200 Futures!

You might think that the mean(abs(close-open)) pattern is largely caused by the changes in volume (there are far more zeros at night, which reduce the average), and you'd be right. With these removed, you still see the same diurnal cycle during the day session though (attached)

 

[Punta]

Re: SPI200 Futures!

You might think that the mean(abs(close-open)) pattern is largely caused by the changes in volume (there are far more zeros at night, which reduce the average), and you'd be right. With these removed, you still see the same diurnal cycle during the day session though (attached)

I guess you could argue this is expected because there are more "fundamental" announcements in the morning, and so doesn't necessarily indicate market inefficiency??

 

[Trembling Hand]

Re: SPI200 Futures!

I guess you could argue this is expected because there are more "fundamental" announcements in the morning, and so doesn't necessarily indicate market inefficiency??

There is nothing unusual at all in that pattern. Thats how market participants trade. I wouldn't say it has to do with "fundamental announcements". All instruments world wide will display the same volume pattern.

What were you looking for? Did you find it?

 

[Punta]

Re: SPI200 Futures!

There is nothing unusual at all in that pattern. Thats how market participants trade. I wouldn't say it has to do with "fundamental announcements". All instruments world wide will display the same volume pattern.

What were you looking for? Did you find it?

Not really looking for anything in particular - just getting a feel for high-freq data.

Sure the volume pattern is standard fair, I kind of included that to clearly indicate the day session.

But what about the others? E.g. "transactions per unit volume" seems kind of interesting - on average, people put through more units per order at the end of the day than the beginning.

 

[Trembling Hand]

Re: SPI200 Futures!

But what about the others? E.g. "transactions per unit volume" seems kind of interesting - on average, people put through more units per order at the end of the day than the beginning.

Units you mean contracts? Nope that is standard. Retail and the crap prop have nicked off for the day, most likely stopped out but also a lot just have a few swings and nick off for the day. All that is left is Algos and good Prop traders thus the larger size.

 

[Punta]

Re: SPI200 Futures!

Units you mean contracts? Nope that is standard. Retail and the crap prop have nicked off for the day, most likely stopped out but also a lot just have a few swings and nick off for the day. All that is left is Algos and good Prop traders thus the larger size.

Fair enough, I buy it.

What about the increase in contracts per trade in the morning and afternoon, relative to midday and night session? I was thinking that this is when the largest fraction of the trades is probably by humans, and so maybe humans do more contracts per trade than bots.

Anyway, nothing particularly mind blowing, just of vague interest to a newbie who doesn't know high-freq trading....

 

[Trembling Hand]

Re: SPI200 Futures!

What about the increase in contracts per trade in the morning and afternoon, relative to midday and night session? I was thinking that this is when the largest fraction of the trades is probably by humans, and so maybe humans do more contracts per trade than bots.

Nah. Its how markets work. Opportunity brings in volume, Volume creates volatility which means opportunity .

Overnight and midday there are less traders around, less volume = less opportunity. Pretty much self fulling.

 

[Trembling Hand]

Re: SPI200 Futures!

On my above point your charts show nicely what I mean. As the volume picks up so too does the range. Thats what you want as a trader. Range so as to have a possibility of a good R:R & cover trading cost and nice volume to execute your trades without slippage.

Its common sense as a trader that you trade that period, weather you are a bot being designed by a person or a fool trying to beat the former.

 

[CanOz]

Re: SPI200 Futures!

, whether you are a bot being designed by a person or a fool trying to beat the former.

Classic......

 

[Punta]

I was going to post this over on the "What's happened to the SPI thread", but it's been closed.

TH reckons that the introduction of bots could be responsible for the reduced range over there over the last few months. I just made a graph illustrating the reduction in range, so thought I might as well stick it up here.

This shows the 1st & 99th percentiles for the difference between the 1-min-running-mean and the 10-min-running-mean (high, based off 5-sec bars). Black is 2011, red is 2012.

Could have chose any metric for this, but the point is just that the SPI does not have the range, at least in the high-frequency, that it had 4 months ago.

 

[Punta]

in fact the 5th/95th percentiles from 2012 lie pretty much on top of the 1st/99th percentiles from 2011, so yeah, a massive reduction in volatility or range or whatever.

 

[Punta]

I mean it makes sense that it could be the introduction of bots, but I would have thought thought that there hadn't been any drastic changes in the last 8-10 months.

I was thinking it more likely reflected generally clamer markets in the wake of the euro crunch, etc??

 

[Punta]

should be

in fact the 5th/95th percentiles from 2011 lie pretty much on top of the 1st/99th percentiles from 2012, so yeah, a massive reduction in volatility or range or whatever.

Nothing gobsmacking, just curious whether anyone has a good understanding of why the range dropped so markedly at the end of 2011?