Canada CPI

Pair: Canadian Dollar Futures
Result: Buy

Prior: 0.1
Expected: 0.3
Actual: 0.7

Well, I went shopping with my wife and missed the trade. Won’t do that again. Nice buying opportunity on canadian dollar futures for a peak move of about 50 ticks within a half hour. Not bad at all. Canadian Dollar futures move in $10 increments, giving a potential max profit of $500 per contract for this trade.

Tape

Description
The Consumer Price Index (CPI) measures the rate of inflation (i.e., the rate of price changes) experienced by consumers when purchasing goods and services. A rising trend has a positive effect on the nation’s currency. The primary objective of the central bank is to achieve price stability; when inflation rises above an annualized rate of approximately 2%, they will respond by raising interest rates to bring prices down. Higher interest rates attract foreign investment, thus increasing demand for the nation’s currency. CPI is one of the most closely watched indicators and will usually have a high impact upon release.

UK CPI (month on month)

Pair: British Pound Futures
Result: No Trade

Prior: -0.8%
Expected: 0.3%
Actual: 0.4%

Set my deviation to 0.2% so got a no trade. The year on year figure was released at the same time which was also better; this had a big effect on the trade which pushed the pound up over 100 pips within half an hour or so. Shame I missed that with my conservative triggers.

As this is such a popular report to trade, there was some big slippage with it today – up to 35 ticks if filled within 3 seconds. The worst fill I’ve had has been 3 seconds so I need to be pessimistic.  Here’s the start of the tape run:

Here’s the worst fills at the end of 3 seconds:

Could still have made at least 60 pips on this with a good exit strategy. Oh well, next trade…