Inconsistent Forex Point Values on JPY

[frantic]

I noticed that my strategy was opening tiny positions in JPY Forex Pairs. I have tracked this down to incorrect Instrument data in the Ninjatrader Instrument database for the PointValue of all the JPY Pairs.

As you will see from the attached screenshot, the non-JPY pairs correctly use "1" as the point value; representing 1 whole unit of the quote currency per 1 Point move. 1 Dollar and 1 Canadian dollar in the screenshot.

https://www.investopedia.com/ask/answers/032615/what-difference-between-pips-points-and-ticks.asp

The JPY pairs incorrectly use 0.01 as the point value. This isn't actually the point value; its the PIP value.

Seems like a trivial issue to report, but it has caused me problems as I use the PointValue property to calculate my risk/position sizes in common code across all asset classes; Futures, CFDs and Forex. My code fails for Yen due to this inconsistency; so I need to write an edge-case into my code for JPY, but have resorted to correcting the data in my local copy of Ninjatrader; and its fixed the problem.

Please could you report this discrepancy to your QA department so that they can validate my report and raise a ticket to have the data corrected?

[NinjaTrader_Jim]

Hello frantic,

Thanks for your post.

After reviewing this with others in the office, we have gotten some further insight on these instrument definitions. Specifically we are referencing USDJPY as well as differences between NinjaTrader 7 and NinjaTrader 8.

NinjaTrader 8 quotes forex instruments in a tenth pip format. NinjaTrader 7 had these instruments quoted in whole pip format. For NinjaTrader 7, the point value was based on trading a full lot. NinjaTrader 8's point value was changed to be consistent with other instruments for a quantity of 1.

So the NinjaTrader 8 tick size of 0.001 is for tenth pip and the point value of 0.01 is how much JPY you would have with a 1 point move if you placed an order of 1.

If you have a workaround for your strategy to manage the point value differently for your needs, I recommend moving forward with that workaround.

Please let us know if there is anything else we can do to provide further assistance.

[frantic]

Hey Jim, That doesn't make any sense at all. Why are the Yen pairs different to all the other Forex pairs? Every other Forex pair has a Point value of 1; despite also being tenth-pip.

If the value of a Yen trade increases by 1 point from ¥77.00 to ¥78.00 then I have acquired or Lost 1 Yen of profit. That is the point value. ONE..... a 1 Yen move is worth one Yen. Currencies are simple like that. Unlike futures, where the point value of Crude Oil, for example, is 1000 (representing the fact that the contract spec is for 1000 barrels so any price change is multiplied by 1000).

We don't have this with Forex; a yen is worth a yen; a dollar is worth a dollar and a pound is worth a pound - there's no contract multiplier. That is why the point-value for all other Forex Instruments is ONE. Except for the yen it would seem??

I remain adamant that this is an error in the Instrument data.

[NinjaTrader_Jim]

Hello frantic,

After some conversation in the office, this item is now being reviewed by our QA team.

I'll update this post as more information becomes available.

[frantic]

Thanks Jim I appreciate you investigating this further.

[NinjaTrader_Jim]

Hello frantic,

This matter was reviewed further internally and the issue has been recognized. It is being tracked with the ticket ID NTEIGHT-12745. This can be noted in the help guide of a new release of NinjaTrader that includes the fix. Since the fix for this issue would affect users with R13 and below, it is being considered for the next major/mandatory update to NinjaTrader.

Release Notes can be found here: https://ninjatrader.com/support/help...ease_notes.htm

Thanks for bringing this matter to our attention.

[frantic]

Hi, what is the status on the point value issue with JPY Pairs. I noticed that it wasn't included in the previous release.

Furthermore, if I change the Point Value to the correct value of 1 Ninjatrader reports my position PnL incorrectly by a factor of 100. So when my Pnl is $60 Ninjatrader reports $6000.

This means that for now I need to write custom code just for JPY pairs to correct this.

[NinjaTrader_Jim]

Hello frantic,

As I understand the issue, code will have to be changed and the Tick Size definition would have to be changed. Since the Tick Size definition change could impact users having different versions of NinjaTrader 8 that have the code changed, this was determined to be addressed in the next major point release. For example, a version 8.1 or a version 9.