Ten Year Treasury Note Error

I just set up my new trading strategy, Tsai Trader Treasuries (3468542) and am already connected using Tradestation to generate my trade signals. The C2 interface seems to be installed and working.



Tradestation sent the first order through C2 for the 10 year Treasury Note (TYZ8).



The problem is that my Tradestation generated a Limit order that should have been for 115 07/32. Looking at the C2 trade page for Tsai Trader Treasuries, it appears C2 interpreted this signal as a Limit order at 115 47/64.



There are two problems here. First, the Ten Year notes have a tick size of 1/32 not 1/64.



The second problem is that the limit order that should have been for 115 07/32 not 115 47/64 or even 115 23.5/32. Since C2 sent an order for 115 47/64 (whatever this means), the order is way off the price that the strategy has calculated. To make things worse, C2 has reported this order as filled. Obvisously, Tradestation has not reported a fill, because the market has not filled the order. So I receieved an error message from C2 stating that tradestation has not reported a fill.



Thee entire problem is that C2 did not receive the correct limit price from Tradestation.



Could you please look into the tick size for the Ten Year Note and also look into how a Limit order from Tradestation through C2Tray can also send the Limit price determined by Tradestation?



Thanks



Arthur Lobato

Arthur,



The min tick size for the 10 Yr. is 1/64. You can goto www.cbot.com and look up the products and see that.

Yes and no. All three (four if you count an end-of-day source) of my quote feeds show TYZ8 priced in 1/32s, but it trades in 1/2 of 1/32. Thus prices are shown as 115 235, meaning 115 23.5/32. Confusing as hell, and I wish CBOT/CME would fix it. C2 is inconsistent (but less confusing…) with general practice in pricing in 1/64, which makes more sense.



Hans.

Hans,



This is from the CBOT website:



"Tick Size

Minimum price fluctuations shall be in multiples of one-half of one thirty-second (1/32) point per 100 points ($15.625 rounded up to the nearest cent per contract) except for intermonth spreads, where minimum price fluctuations shall be in multiples of one-fourth of one thirty-second point per 100 points ($7.8125 per contract). Par shall be on the basis of 100 points. Contracts shall not be made on any other price basis."



Half of 1/32 is 1/64



PS: I don’t know how the API interface works, but I’ve found that you can put in basically whatever you want in the C2 order form. For example, if you wanted a TYZ8 price of 115 16/32, any of the following seem to work: 115 32/64, 115 16/32, 115 1/2, and 115.5.



Hans.

I agree that 1/2 of 1/32 is 1/64, but as their website says it’s still 1/2 of 1/32 and NOT 1/64. If it were 1/64, then why would they use the “1/2 of 1/32” verbage? Why don’t they just say 1/64? It’s because they are still using 1/32 as the basic price increment and quoting prices in 1/32s, but allowing 1/2 tick trades. Thus the prices are (example) 115 (23 1/2) / 32. I don’t agree with it, but it’s how they seem to want to do it. Again, look at how nearly all (if not all) quote vendors supply the price quotes. It’s in 1/32s.



Hans.

PS: I just looked at my RJO screen. TYZ8 is bid 116010, ask 116015. So you’re saying that it’s bid 116 10/64, ask 116 15/64? I doubt it. I’m interpreting it as bid 116 1/32, ask 116 1.5/32.



Hans.

Hans,



We’re arguing about nothing. Your quote screen is an artifact of the old min tick size of 1/32. Rather than redo everything and confuse everyone, they just added a a third slot to make it by halves. You are right, the spread is 1/32 and 1.5/32 which is the same as 2/64 and 3/64. The bottom line is that the min tick value is 1/64 ( or 1.5/32), not 1/32.