Australian 10 Year Futures

[emretezel]

Hi Rob,

Do you trade Australian 10Y futures, I am trying to get my head around what should be point size here, in your config you show 9062 (vs. IB showing 9433).

The official exchange shows the notional to be AUD 100,000, so wouldn't point size be 1,000?

https://www2.asx.com.au/markets/trade-our-derivatives-market/overview/interest-rate-derivatives/bond-derivatives

Thanks,
Emre

[robcarver17]

No. The point size is actually variable for Australian rate futures.

https://www2.asx.com.au/content/dam/asx/participants/derivatives-market/ird/ird-pricing-guide.pdf

"The pricing conventions used for most ASX 24 interest rate futures products differ from that used in many offshore
futures markets. Unlike in Europe and the United States where interest rate securities are traded in the cash market
on the basis of their capital price, the convention adopted in Australia is to price such instruments on the basis of their
yield to maturity. Due to this convention, ASX 24 interest rate contracts are similarly traded on the basis of yield with
the futures price quoted as 100 minus the yield to maturity expressed in per cent per annum.
While the obvious advantage of pricing interest rate contracts in this fashion is that their yield is transparent and can
be easily compared to yields on cash market instruments, an important by-product is that the tick value on these
products does not remain constant, but rather changes in accordance with movements in the underlying interest rate. "

You probably shouldn't trade them with pysystemtrade since it can't handle this. If you do, then bear in mind you will have to update your point size regularly and also your backtests will be wrong.

[emretezel]

much appreciated