TAIEX futures specs: TX, MTX, TMF point values and settings
TX is worth NT$200 per index point, MTX NT$50 and TMF NT$10, and all three move in one-point ticks. These numbers, the third-Wednesday settlement and the cost per contract decide what a TAIEX futures backtest really reports.
By Soren Huang · Published · updated · Editorial policy
Contents
- How much is one point of TAIEX futures worth?
- When do TAIEX futures settle, and how do rolls change a backtest?
- How do margin and position sizing differ between TX, MTX and TMF?
- How do you enter TAIEX futures specs in a backtest?
- How large is the cost per trade compared with one point?
- Which TAIEX futures contract should you backtest first?
- Frequently asked questions
TAIEX futures (TX) move NT$200 per index point, Mini-TAIEX (MTX) NT$50 and Micro-TAIEX (TMF) NT$10, and all three move in one-point ticks. The monthly contracts expire on the third Wednesday of the delivery month and settle in cash. In a backtest, these specs set the money per point, the roll dates, the size steps and the cost per trade in points.
How much is one point of TAIEX futures worth?
One index point is worth NT$200 on TX, NT$50 on MTX and NT$10 on TMF, so one TX equals four MTX or twenty TMF.
Point value is the money that a one-point move in the futures price earns or loses on one contract. Tick size is the smallest step the price can move. For all three TAIEX futures contracts, the tick is one index point, so tick value and point value are the same number. Use the futures contract calculator for tick value and point value to check any trade by hand.
| Contract | TAIFEX code | Point value | Tick size | Value of one tick | Equal to one TX |
|---|---|---|---|---|---|
| TAIEX Futures (台指期) | TX | NT$200 | 1 point | NT$200 | 1 |
| Mini-TAIEX Futures (小台) | MTX | NT$50 | 1 point | NT$50 | 4 contracts |
| Micro-TAIEX Futures (微台) | TMF | NT$10 | 1 point | NT$10 | 20 contracts |
All three contracts track the same TAIEX index and trade in the same sessions. The regular session runs from 08:45 to 13:45 Taiwan time. The after-hours session runs from 15:00 to 05:00 the next morning. A backtest in points therefore looks almost the same on all three contracts. The results in money differ by the point value. Exchanges can change contract specs and trading hours, so confirm the current values on TAIFEX's contract specification page before a large research run.
When do TAIEX futures settle, and how do rolls change a backtest?
The monthly contracts end on the third Wednesday of the delivery month, so any backtest longer than a few weeks must decide how to join one contract to the next.
On that last trading day, the expiring contract stops trading at 13:30, which is 15 minutes before the regular close. It settles in cash. The final settlement price is the simple average of the TAIEX index values during the last 30 minutes of the cash market on that day. Nobody delivers shares. The position simply closes at that price. Use the TAIEX futures settlement dates tool to see each month's last trading day.
A contract roll is closing a position in the expiring month and opening the same position in the next month. Most traders test on a continuous series. A continuous series joins the near-month contracts into one long price history. At each roll date the price can jump, because the old and the new contract trade at different prices. In Taiwan this gap is often largest in the summer dividend season, because the futures price reflects the dividends that the index is expected to lose.
The roll affects a backtest in three ways:
- False signals at the roll. An unadjusted series shows the roll gap as a price move. A breakout or stop rule can trigger on a jump that no trader could have traded.
- Trades held across expiry. A real position closes at the final settlement price, and you pay costs again to open the next month. A backtest on a continuous series often skips both of these steps.
- The last-day session. On settlement day the near-month contract stops at 13:30. Bars after that time in a continuous series come from the next month.
The article 台指全 and continuous TAIEX futures data explains how to choose and check the series.
How do margin and position sizing differ between TX, MTX and TMF?
Margin roughly follows point value, so the main difference between the contracts is how finely you can set your size.
Margin is the deposit your broker holds for each open contract. It is not a cost, and it is not the most you can lose. TAIFEX sets the minimum levels and changes them when volatility changes. Brokers can ask for more. Because MTX is a quarter of TX and TMF is a fifth of MTX, their margins are roughly in the same ratios. Check the current figures with the TAIEX futures margin calculator.
For a backtest, the important difference is the size step. With TX, every extra contract adds NT$200 of risk per point. With TMF, every extra contract adds only NT$10 per point. When the account is small or the stop is wide, a TX-only test may have no size that fits your risk limit. Use the position size calculator to find how many contracts fit your account risk and stop distance.
Hypothetical example
An account of NT$500,000 risks 1% per trade, which is NT$5,000. The stop is 40 points away. One TX risks 40 × 200 = NT$8,000, which is too much, so the correct TX size is zero. One MTX risks NT$2,000, so 2 contracts fit (NT$4,000). One TMF risks NT$400, so 12 contracts fit (NT$4,800). The same strategy can be traded at this risk only with MTX or TMF, and TMF comes closest to the limit.
If your backtest trades a fixed one TX, its drawdown in money is four times the MTX drawdown and twenty times the TMF drawdown for the same trades. Set the account size in the test from that drawdown and from the margin, not from the margin alone. The performance report in AlphaPrime (Valynox) puts drawdown beside equity and trades, so a fixed one-TX run shows the money drawdown you need to size the account from.
How do you enter TAIEX futures specs in a backtest?
Enter the point value, tick, session and costs of the contract you will actually trade, even when the price data comes from a different contract.
Many traders research on TX data because it has the longest history. That works if the settings below match the contract you plan to trade. Data vendors often label the series as TXF or as a near-month name such as 台指近.
| Setting | TX | MTX | TMF | Common mistake |
|---|---|---|---|---|
| Point value (often called "big point value") | 200 | 50 | 10 | Leaving the default of 1, which shows results in points as if they were NT$ |
| Tick size (minimum move) | 1 | 1 | 1 | Using a decimal tick copied from another market |
| Session | Regular 08:45–13:45, or regular plus after-hours 15:00–05:00 | Mixing a day-only rule with full-session bars | ||
| Commission | Your broker's rate per contract | Entering a per-side rate where the platform expects a round trip, or the reverse | ||
| Transaction tax | A percentage of contract value, converted to NT$ per contract | Forgetting the tax, or keeping an old conversion after the index has moved far | ||
| Slippage | At least one tick per side for market and stop orders | Zero slippage on stop entries | ||
Two more checks are useful. First, run a single trade by hand: 10 points × NT$50 should show NT$500 gross on MTX. Second, look at the trade list around one third Wednesday. Confirm that no trade comes from the roll gap.
How large is the cost per trade compared with one point?
Commission is charged per contract, so the smaller the contract, the more index points each trade must earn just to pay its costs.
The cost of a trade has three parts. The commission is a fixed NT$ amount per contract. The futures transaction tax on stock index futures is a percentage of contract value, currently 0.002% per side (two in 100,000), so it grows with the point value. Slippage is measured in ticks, so it also grows with the point value. Commission does not grow with the point value. On a small contract, the commission is therefore a larger share of each point.
Hypothetical example
The index is at 20,000. Commission is NT$50 per side for TX, NT$30 for MTX and NT$15 for TMF. Slippage is one point per side. Tax is 0.002% of contract value per side. A round trip then costs:
TX: commission 100 + tax 160 + slippage 400 = NT$660, which is 3.3 points.
MTX: commission 60 + tax 40 + slippage 100 = NT$200, which is 4.0 points.
TMF: commission 30 + tax 8 + slippage 20 = NT$58, which is 5.8 points.
A strategy that makes an average of 5 points per trade before costs keeps 1.7 points on TX and 1.0 point on MTX, but loses 0.8 points on TMF.
This is why a short-term strategy can pass on TX and fail on TMF with the same entries and exits. Ask your broker for the real commission of each contract and enter it separately. Then rerun the test with double the slippage to see how much room the edge has.
Which TAIEX futures contract should you backtest first?
Backtest the contract you would trade at your account size, because the size steps and the cost in points both depend on it.
- Work out the size you could trade with the position sizing method in the margin section above.
- If one TX is too large for your risk limit, test MTX or TMF.
- Enter that contract's point value and costs, and run the strategy over full history, rolls included.
- Check that the average trade is several times the round-trip cost in points.
- Check that the drawdown in NT$ fits the account, with margin on top.
AlphaPrime supports TAIEX futures bar data. Its backtesting evaluates every candidate with fees, slippage, next-bar execution and the trading session you choose. The contract specs you enter are therefore part of the ranking from the first run.
What this means if you use AlphaPrime: enter the point value, session and costs of the contract you will trade before you start a search. The strategies that rank highest will then be ranked on what that contract would really have earned after costs.
Frequently asked questions
How much is one point of TAIEX futures (台指期一點多少錢)?
One index point is worth NT$200 on TAIEX Futures (TX), NT$50 on Mini-TAIEX (MTX) and NT$10 on Micro-TAIEX (TMF). The tick size of all three is one point, so one tick has the same value as one point. A 50-point move is therefore NT$10,000 on one TX, which is the same as on four MTX or twenty TMF.
What does TXF mean for TAIEX futures?
TXF is a label that many quote platforms and data feeds use for TAIEX futures. TAIFEX's own product code is TX. Whatever the label, check that the series is the contract and session you want, and set the point value to 200 for TX.
When do TAIEX futures expire?
The monthly contracts expire on the third Wednesday of the delivery month. On that day, the expiring contract stops trading at 13:30 and settles in cash at the average of the TAIEX index over the last 30 minutes of the cash market. Positions you want to keep must be rolled to the next month before then.
Can I backtest on TX data and trade MTX or TMF?
Yes. All three contracts track the same index, so a TX price history gives you almost the same results in points. Change the point value to 50 or 10, and enter that contract's own commission, tax and slippage. Without this change, the costs in points are understated, most of all for TMF.
Does margin belong in a TAIEX futures backtest?
Margin is not a trading cost, so it does not reduce backtest profit. It decides how much capital you need for each contract. Set the account size from the margin plus the backtest's largest drawdown in NT$, and use the current TAIFEX levels, because they change over time.