Micro JPY futures

[jvanelli]

Not able to see historical data for M6J 06-22 and M6C 06-22 via Ninjatrader Continuum CQG feed, NT8.0.25.0 with default instrument definitions, etc. Note USD denominated MIJY was working last year but the JPY denominated M6J only shows latest quotes, no history. Also note something seems botched in the M6J default instrument definition. Currency is specified as USD with point value of 10,000. But at current price ~127 that implies contract notional value $1,270,000 USD (!). Should this not be specified currency as JPY? I note that historical charts via IB TWS are all working as expected for this instrument and also the M6C 06-22. Similar questions re M6C specification. Hoping someone can clarify.

[NinjaTrader_Manfred]

Hello jvanelli,

Thank you very much for your post.

The M6J and M6C are traded on the CME exchange and are traded in US Dollars, at a point value of 10,000 US Dollars. This is indeed correct.

You may find detailed information on the instrument's contract specifications on CME's publicly available website below:

https://www.cmegroup.com/markets/fx/g10/micro-usd-jpy.contractSpecs.html

The reason you don't receive data for the MIJY is due to this instrument's delisting. You may find CME's press release below:

https://www.cmegroup.com/notices/ser/2021/12/SER-8890.html

When viewing this contract on CME's charts, you may also confirm the volume reported as correct:

https://www.cmegroup.com/apps/cmegroup/widgets/productLibs/esignal-charts.html?type=p&code=M6J&title=JUN_2022_Micro_USD%2FJPY_&venue=0&monthYear=M2&year=2022&exchangeCode=XCME&interval=1

If you don't receive data for the M6C - please ensure this contract is included in your subscription. If you are in doubt, please reach out to our Brokerage Team at brokeragesupport (at) ninjatrader (dot) com, they can then best assist you further.

Should you have any further questions, please don't hesitate to let me know!

[jvanelli]

Thanks, but I'm sure my data subscription is adequate. I am receiving historical data for the M6A, M6B, M6E. The only ones I am not receiving historical data for are the ones that are priced in native currency (per USD) by by the CME; i.e. the M6J, M6C, M6S. That is my primary concern.

And of course I understand that the M6J contract size is $10000 USD and that it is traded in USD. However, it is quoted in JPY/USD and the minimum price change is 0.01 JPY/USD which equals 100 JPY (per the CMEGroup website). Thus if the contract price changes by one whole point, say from 25.5 to 26.5, then the contract notional value changes by 100 X (0.01 JPY/USD) = 10000 JPY (not 10000 USD). I had always taken point value to reflect how much a contract's value changes per point change in quoted price, but that does not seem to be the case with these M6J, M6C, M6S contracts.

[NinjaTrader_Emily]

Hello jvanelli,


Thank you for your reply.


To address your primary concern regarding historical data, please send me your log and trace files so that I may look into what occurred.

You can do this by going to the Control Center-> Help-> Email Support

Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.

Please include a link to this forum thread and reference the following ticket number in the body of the email: Support forum 3575967 ATTN Emily C


As for the point value of $10,000 USD, this is correct. The contract specs page for M6J on the CME website shows the contract unit value of 10,000 US Dollars. It gives the example of "If JPY/USD = 93.00 then contract = ¥930,000 (= $10,000 x 93.00¥/$)"
If we take that same calculation but say the contract price changes by one point from 93.00 to 94.00, we could run the calculation of $10,000 x 94.00¥/$ which equals ¥940,000. This is a difference of 10,000 Yen, although the contract units are calculated based on multiples of $10,000 USD. Since the minimum price fluctuation is 0.01 JPY/USD, which equals ¥100, it appears to be more of a 1:1 calculation.


I look forward to receiving your diagnostic files and assisting you further.

[jvanelli]

Upon further inspection, the data issue is specific to NT Continuum (CQG) connection only. When I configure for futures data from IB the charts update and refresh as expected. Note this only affects the M6J, M6C, M6S. The M6A, M6B, M6E work as expected regardless of data provider.

[jvanelli]

Thanks again. Understand re M6J pricing and so forth.

I've isolated the data problem to historical data only on these three contracts from CQG. Since the real time data from CQG is OK (including depth), and since historical data as well as real time data from IB is working OK then I conclude this is not an NT problem. Looks like something is amiss at CQG. I will just wait a day or two and see if they get it sorted.