Question about BTC ##-## plotting of data on chart and liquidity issue?

[demarcog]

Hi,

Has anyone actually traded the CME BTC c##-## contract and would they be willing to share anything about how that instrument trades, liquidity, , volatility etc?

It is so volatile and usually directional almost and trend following system on paper looks like it may be a viable strategy/

Aside from actually trading BTC live has anyone traded this in SIM or watched a live chart of BTC ##-## noticed anything unusual?

The first issue with trading this is the spread is ridiculous. At $5 a tick a simple SIM market order during busy market hours is usually down about $150 immediately, which I've never seen before in any instrument.

If I have a SIM position the P&L on the trade will fluctuate wildly while I do not see any price changes reflected in the chart bars?

I've also see the bid offer "far away" from where the last painted bar on the chart.

Is there a know issue with BTC ##-## data or does the bid/ask at times move outside the range of the most recent bars which would account for the issues I'm describing but I wanted to verify before trading it. I don't know about anyone else but I've never seen anything move up and down 1%, 2%, 3% before reversing 10 times a day. Trading in SIM is one thing, but in a real account I can feel my heart beating in my chest when my hand is on the Buy @ Bid, Sell @ Offer buttons. Anyone with more courage then myself actually trading this beast?

thank you

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[NinjaTrader_Jason]

Hello demarcog,

Unrealized PnL is calculated by your average entry price and the current last traded price. Is the unrealized PnL correct if you check your average entry price and the current last traded price? When I test a Sim101 position for the BTC ##-## while connected to Kinetick, it reports unrealized PnL as expected.

[brownsfan019]

I started to look into this as well since NT doesn't support crypto trading.

The BTC futures contract is decent, would be nice if volume were higher. There is a micro coming out in May, perhaps that will help volumes.

https://www.cmegroup.com/trading/micro-bitcoin-futures.html#contract-specifications

My suggestion: use limits, I wouldn't think of a market order w/ the spread.

As for SIM trading on this with NT, it's bad. The fills are very inaccurate, but I assume that's due to the spread. I tested a few things on SIM just to get a feel and was getting fills that didn't exist at the time.

[demarcog]

brownsfan019,

I was looking at that today and bid/ask spread cost you $150 a round turn so agree completely.

That raises a important question how do they calculate P&L for a position.

I thought it was and the most accurate would be if you are long, the latest bid, or short the latest offer.

That would explain the P&L on a position moving $500+ up or down if it uses the bid/offer, but recently someone in support said it used the last.

In that case there shouldn't be this big difference between where the market is visually trading and the trade P&L.

The micro will be interesting as every strategy I have does better on BTC then anything else.

Doesn't support crypto but there was a post recently where the poster was attached to some BitExch and trading a bazaar symbol @BTCUSXX@ or something similar.

I asked in the post and Chelsea commented NT doesn't support Crypto and I believe her but it's a bit confusing.

Don't know anything about crypto, but my guess is if someone want to arb the same instrument that trades on different exchanges I doubt they can jump ahead of a large firm with servers across the street from the exchanges.

If you ever want to talk strategies/ automates algos etc I'm always interested it's my passion and although it's a lot harder then I imagined, it's not impossible.

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