/ZB tracking
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I found a workaround for now until i come up with something better
I used this formula =RIGHT(RTD("tos.rtd",,"mark",A11),2)/100 this eliminates the quote marks and just uses the last 2 digits than I divide that by 100 to get the decimal point
Of course this will be a problem when it goes over 1.00 but it's good enough for now
To get the p/l I changed the multiple of 100 to 1000
I used this formula =RIGHT(RTD("tos.rtd",,"mark",A11),2)/100 this eliminates the quote marks and just uses the last 2 digits than I divide that by 100 to get the decimal point
Of course this will be a problem when it goes over 1.00 but it's good enough for now
To get the p/l I changed the multiple of 100 to 1000
DaveN
Member
The 30 year bonds are going to be trading in 1/32nds, or ticks. Each point in /ZB is $1000, so a tick is valued at $31.25. This will be a bit confusing at first, but will shortly become second nature. I suspect your quote is showing 14 ticks or the zero handle (120?) plus 14/32nds, or 0.4375. The quoting will vary a bit from broker to broker, some using dashes, plus signs (for 1/64, so 1/2 a tick). See an example at https://www.cmegroup.com/education/...easuries/calculating-us-treasury-pricing.html
You are right about that
That 0"14 I mentioned was for the option price so I think that would be different from the futures price as I got filled at 0.21875 which is about half of the 0.4375
In the end it still gets converted to decimals so why not quote it in decimals to begin with ? I guess they got used to it and don't want to change it
At the moment I am not even using the 31.25 multiplier as I have an opposing trade so the 2 multipliers cancel out so the individual p/l is wrong but the combined trade is close enough to the value shown on TOS
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The formula I came up with is not going to work because when the price goes below 0"10 it becomes 0"085 for example so if I than take the right 2 digits it will be 0.85 which is wrong so I have to come up with something else
When I got my futures statement they calculate the price in 1/64 for options so the price would be 14/64 or 0.21875
I found a glitch on tos which is kind of annoying when I have the 7 dte option on the analyze tab with the symbol ZB1M23(WK1) if I close tos and reopen for some reason it switches to ZB3M23(WK3) just to make things more confusing
When I got my futures statement they calculate the price in 1/64 for options so the price would be 14/64 or 0.21875
I found a glitch on tos which is kind of annoying when I have the 7 dte option on the analyze tab with the symbol ZB1M23(WK1) if I close tos and reopen for some reason it switches to ZB3M23(WK3) just to make things more confusing
I found something unexpected
I tried to do some work with this problem so I needed some live data so I switched to OnDemand but to my surprise the option prices in OnDemand show up in decimal format so I don't see why the live data could not be shown in decimal format
Actually looking at the spreadsheet the prices that had the 2 single quotes are also in decimal format so even though I am looking at a different date in OnDemand somehow the prices are converted to decimal format
I think the SUBSTITUTE formula would work better to get rid of the single quotes
I tried to do some work with this problem so I needed some live data so I switched to OnDemand but to my surprise the option prices in OnDemand show up in decimal format so I don't see why the live data could not be shown in decimal format
Actually looking at the spreadsheet the prices that had the 2 single quotes are also in decimal format so even though I am looking at a different date in OnDemand somehow the prices are converted to decimal format
I think the SUBSTITUTE formula would work better to get rid of the single quotes
I asked TD about this OnDemand quote format and this was their response
"The OnDemand platform is a simulated platform and the developers just did not price the /ZB options in 64ths, they just quoted in decimal system, but you can not use decimals in live trading through the actual exchange. "
While that is true using OnDemand with RTD can show the prices in decimal format it's just that OnDemand data is not available during live trading
"The OnDemand platform is a simulated platform and the developers just did not price the /ZB options in 64ths, they just quoted in decimal system, but you can not use decimals in live trading through the actual exchange. "
While that is true using OnDemand with RTD can show the prices in decimal format it's just that OnDemand data is not available during live trading
I hit a new snag with this /ZB futures and options pricing on the spreadsheet
When the futures reaches 127'32 the next higher price is 128 using the /ZB pricing but the spreadsheet by using the decimals it goes to 127.33 which should be equivalent to 128'1 on TOS so when the actual price is 128'1 on the spreadsheet it's 33/32 higher on the spreadsheet and similarly on the options every 64th is one point
So I have to find a fix for this now
When the futures reaches 127'32 the next higher price is 128 using the /ZB pricing but the spreadsheet by using the decimals it goes to 127.33 which should be equivalent to 128'1 on TOS so when the actual price is 128'1 on the spreadsheet it's 33/32 higher on the spreadsheet and similarly on the options every 64th is one point
So I have to find a fix for this now
I managed to fix the problem
I used the TRUNC formula to separate the integer from the fraction than I multiplied the integer by 1000 and the fraction by 3125 and it seems to match so far
The option is below 1 so I did not have to change it yet but at least I know how to do it now
I used the TRUNC formula to separate the integer from the fraction than I multiplied the integer by 1000 and the fraction by 3125 and it seems to match so far
The option is below 1 so I did not have to change it yet but at least I know how to do it now
Here's the excel formula to translate from the exchange price to decimalized (where {price} is the exchange number (using a dash instead of the ")):
and here's the excel formula to go from decimalized to the exchange price (again, using a dash as the separator):
(If your version of Excel doesn't have the LET function, please see the posts below)
=LET(FRACTION,SUBSTITUTE(SUBSTITUTE({price},"-","."),"'","."),IFERROR(INT(FRACTION)+((FRACTION-INT(FRACTION))/0.32),0))
and here's the excel formula to go from decimalized to the exchange price (again, using a dash as the separator):
=INT({price})&TEXT(({price}-INT(BD40))*320, "-000")
and, in fact, I've attached a worksheet calculator in case it helps. (If your version of Excel doesn't have the LET function, please see the posts below)
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Thanks for the effort but it doesn't seem to work
I am getting NAME? where you have the formula I have excel 2010 so perhaps that is the cause
I am pretty sure I don't have the Fraction function in my version so I think that's why it's not working besides I would have to modify it for the 2 single quotes in my case for the /ZB prices
I am getting NAME? where you have the formula I have excel 2010 so perhaps that is the cause
I am pretty sure I don't have the Fraction function in my version so I think that's why it's not working besides I would have to modify it for the 2 single quotes in my case for the /ZB prices
Ah, with Excel 2010 there is no "LET" function, so here's what it would look like instead:
=IFERROR(INT(SUBSTITUTE(SUBSTITUTE("127-23","-","."),"'","."))+(( SUBSTITUTE(SUBSTITUTE("127-23","-","."),"'",".")-INT(SUBSTITUTE(SUBSTITUTE("127-23","-","."),"'",".")))/0.32),0)
notice I've used "127-23" as {Price}...you'll need to refer to whatever cell location your exchange price is in there. This function above equates to: 127.71875
Don't forget to format up to 6 decimal places so that the display doesn't round your result.
=IFERROR(INT(SUBSTITUTE(SUBSTITUTE("127-23","-","."),"'","."))+(( SUBSTITUTE(SUBSTITUTE("127-23","-","."),"'",".")-INT(SUBSTITUTE(SUBSTITUTE("127-23","-","."),"'",".")))/0.32),0)
notice I've used "127-23" as {Price}...you'll need to refer to whatever cell location your exchange price is in there. This function above equates to: 127.71875
Don't forget to format up to 6 decimal places so that the display doesn't round your result.
PS - I noticed from the original post that it looks like your broker (or data feed) may use double-quote as the separator, instead of dashes or single quote marks like mine does...to convert the double quote to a dash in excel, use this (see attachment as the forum won't post the formula as text)