CME JPY futures specs

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wzero
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CME JPY futures specs

Postby wzero » 02 Jul 2015

The CME website says "$.0000005 per Japanese yen increments ($6.25/contract) also for JPY/USD futures" for JPY futures. The smallest price scale I can set in Multicharts is 1/1000000. I'm confused about the math. Is this the correct price scale (with Min. Movement 5) for JPY futures?

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Henry MultiСharts
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Re: CME JPY futures specs

Postby Henry MultiСharts » 02 Jul 2015

Hello wzero,

The proper price scale would be 1/10000000. We are going to add support for it in the future but unfortunately there is no ETA for implementing this functionality.

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Re: CME JPY futures specs

Postby vindiou » 30 Sep 2015

Any news ? When will 1/10 000 000 price scale be implemented?
http://www.cmegroup.com/trading/fx/g10/japanese-yen_contract_specifications.html

I'm loosing precision because of the QuoteManager...

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Henry MultiСharts
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Re: CME JPY futures specs

Postby Henry MultiСharts » 06 Oct 2015

Hello vindiou,

We are currently working an adding support for this price scale precision. We are going to have it implemented in MultiCharts 10. At the moment we cannot provide any ETA for this version. Please follow our blog to get the latest updates:
https://www.multicharts.com/traders-blog/

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Re: CME JPY futures specs

Postby wilkinsw » 07 Jan 2016

Any updates? Am looking to trade Yen but won't until this is fixed. Isn't there a patch that can be quickly created for this? When will 10 be along roughly?

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Re: CME JPY futures specs

Postby Henry MultiСharts » 12 Jan 2016

Hello wilkinsw,

This is not a trivial feature, it requires significant changes that cannot be incorporated into the current version. Version 10 can be expected Q1/16.

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Re: CME JPY futures specs

Postby wilkinsw » 07 Apr 2016

Any updates? What's the eta?

Upcoming CME product changes can be seen with plenty of notice by subscribing to the following:

http://pages.cmegroup.com/subscription- ... gn-in.html

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Re: CME JPY futures specs

Postby Henry MultiСharts » 11 Apr 2016

wilkinsw wrote:Any updates? What's the eta?

Upcoming CME product changes can be seen with plenty of notice by subscribing to the following:

http://pages.cmegroup.com/subscription- ... gn-in.html
The first Beta build is almost there, it is a matter of a few weeks. Follow our blog to be the first one to check it:
https://www.multicharts.com/traders-blog/
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Re: CME JPY futures specs

Postby wilkinsw » 26 Apr 2016

Hi Henry,

I'm looking to trade CME Yen futures. Would there be any workaround you could think of whereby I can carry on using MC 9.0 (as I want to maintain my CQG COM API connection and not use the WEB API [as it requires subscribing to realtime CQG data!]) but get an extra decimal place on Yen futures prices, to capture the new half ticks?

Is there any way (maybe by printing to and/or reading from an ASCII file) of sending Yen orders to CQG that have the half tick factored in?

Might it be possible to create a module using the solution you have upcoming for 9.1 beta and let me use that?

Thanks.

PS... with the new CQG Continuum API connection, will one need to subscribe to realtime CQG data, as with the WEB API solution?

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Re: CME JPY futures specs

Postby wilkinsw » 26 Apr 2016

Also,

How exactly is MC converting the incoming 7 decimal place Yen price data into 6 decimal places?

Sometimes it rounds correctly other time is appears to be rounding to a floor. So sometimes 31.5 gets converted to 32. Other times to 31.

The reason I ask, is that if I can calculate signals for backtesting based on truncated/rounded data and then calculate on the same data for realtime trading where I'll also fire off truncated/rounded orders...... it probably will suffice for the time being.

Problem is...... My artificially rounded yen data (derived from TS) that I can use for backtesting doesn't match MC's method for rounding realtime data (iqfeed). Therefore my modelling will be off. So it would be very useful to know how MC is rounding the data so that I can emulate this in my backtest data.

Thanks.

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Re: CME JPY futures specs

Postby Henry MultiСharts » 28 Apr 2016

wilkinsw wrote:I'm looking to trade CME Yen futures. Would there be any workaround you could think of whereby I can carry on using MC 9.0 (as I want to maintain my CQG COM API connection and not use the WEB API [as it requires subscribing to realtime CQG data!]) but get an extra decimal place on Yen futures prices, to capture the new half ticks?
wilkinsw wrote:Might it be possible to create a module using the solution you have upcoming for 9.1 beta and let me use that?
Hello wilkinsw,

As I have already specified above - there is no workaround neither for MC 9.0, nor MC 9.1. The required amount of decimals will be supported since MultiCharts 10. There were significant architectural changes to add support for it.

wilkinsw wrote:Is there any way (maybe by printing to and/or reading from an ASCII file) of sending Yen orders to CQG that have the half tick factored in?
Not using MultiCharts. We are not aware of other ways of accessing the CQG API externally.

wilkinsw wrote:PS... with the new CQG Continuum API connection, will one need to subscribe to realtime CQG data, as with the WEB API solution?
CQG Continuum API connection is what is called the WEB API.

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Henry MultiСharts
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Re: CME JPY futures specs

Postby Henry MultiСharts » 28 Apr 2016

wilkinsw wrote:How exactly is MC converting the incoming 7 decimal place Yen price data into 6 decimal places?

Sometimes it rounds correctly other time is appears to be rounding to a floor. So sometimes 31.5 gets converted to 32. Other times to 31.
Simple mathematical rounding rules are used.

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Re: CME JPY futures specs

Postby wilkinsw » 29 Apr 2016

Sometimes .5 is rounded up and sometimes down. So not simple mathematical rounding as I understand it.

I will provide evidence in due course.......


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