UMC stock futures: specs, code, rolls and backtesting

Contents

1. What are the specs of UMC stock futures?
2. How much is one tick worth, and why does it change?
3. When do UMC futures expire, and when should you roll?
4. How do ex-dividend dates affect a UMC futures backtest?
5. How much slippage should you assume?
6. Where do you get UMC futures data for a backtest?
7. Which settings should you check before the first run?
8. Frequently asked questions

What are the specs of UMC stock futures?

UMC single-stock futures (聯電股票期貨, TAIFEX product code CCF) cover two thousand UMC shares per contract. A tick is worth 100 TWD below a price of 50 TWD and 200 TWD from 50 TWD up. Contracts are cash-settled and expire on the third Wednesday of the contract month. Backtests need planned rolls, dividend-aware prices and slippage counted in ticks.

A single-stock future is an exchange-traded contract that tracks the price of one listed company's shares. You never take delivery of the shares. At expiry the contract settles in cash against the stock's price. The underlying here is United Microelectronics Corporation, stock code 2303 on the Taiwan Stock Exchange.

Item	UMC stock futures (TAIFEX)
Product code (聯電期貨代號)	CCF
Underlying	UMC common shares (2303)
Contract size	Two thousand shares
Value of a 1 TWD price move	Two thousand TWD per contract
Tick size	Follows the stock's price tiers: 0.05 TWD from 10 to under 50 TWD, 0.1 TWD from 50 to under 100 TWD
Contract months	The two nearest consecutive months, plus the next three quarterly months (March, June, September, December)
Last trading day	Third Wednesday of the contract month
Settlement	Cash
Trading hours (Taiwan time)	08:45 to 13:45; the expiring contract stops at 13:30 on its last trading day
Daily price limit	10% above or below the previous day's settlement price

Exchanges can change these values, so check the stock futures contract page on the TAIFEX website before you trade or fix any setting. To turn the tick size into a profit or loss for your own entry and exit prices, use the futures contract calculator. Broker quote software often shows its own symbol for the same contract, usually the product code plus a month code. Map that symbol to CCF before you merge data from different sources.

How much is one tick worth, and why does it change?

One tick is worth 100 TWD while UMC futures trade below 50 TWD and 200 TWD at 50 TWD or above, because the tick size doubles at that price. The tick value is the tick size times the contract size: 0.05 × two thousand = 100 TWD, and 0.1 × two thousand = 200 TWD.

This matters in a backtest for two reasons. First, if you set slippage as "one tick per side" in TWD, the right amount depends on the price at the time of the trade. A fixed 100 TWD understates the cost when the price is above 50. A fixed 200 TWD overstates it below 50. Second, stops and targets set in ticks cover a different price distance after the tier changes. A 10-tick stop means 0.5 TWD below 50 and 1.0 TWD above it.

When do UMC futures expire, and when should you roll?

Each UMC futures contract stops trading on the third Wednesday of its month, so a strategy that holds positions longer than a few weeks has to roll. A roll is closing the position in the expiring contract and opening the same position in the next contract month. Stock futures expire on the same third-Wednesday cycle as TAIEX futures, so the TAIEX futures settlement dates tool shows you the expiry days to plan around.

Most traders roll a few trading days before expiry. Trading tends to move to the next month as expiry approaches, and the final settlement price comes from the stock's trading on the last day, not from a fill you choose. For a backtest you also need a continuous contract. A continuous contract is one long price series built by joining the individual contract months at chosen roll dates.

1. Pick a roll rule and keep it fixed. Examples: a set number of trading days before expiry, or the day the next month's volume passes the front month's volume.
2. Build the series from the front month until each roll date, then switch to the next month.
3. Decide on price adjustment. A back-adjusted series removes the price gap at each roll, so the gap does not appear as a fake profit or loss. An unadjusted series keeps the real traded prices, which you need for price-tier tick sizes and fixed price levels.
4. Charge the roll as a trade. Each roll is a round trip in the old contract plus an entry in the new one, with commission, tax and slippage on both legs.
5. Record the roll dates so you can match backtest trades to the contract that was actually traded.

How do ex-dividend dates affect a UMC futures backtest?

Use futures prices, not UMC stock prices, around ex-dividend dates, because the futures price already includes the expected dividend while the stock drops by about the dividend on the ex-date. The basis is the futures price minus the stock price. When a cash dividend falls before a contract's expiry, the futures usually trade below the stock by roughly that dividend, adjusted for financing cost.

On the ex-dividend date the stock opens lower by about the dividend amount. The futures price does not need to make that jump, because buyers of the futures were never going to receive the dividend. The basis shrinks instead. Two mistakes follow from this:

• Testing on stock data as a stand-in for futures. The ex-dividend drop looks like a sharp sell-off. A short strategy collects it as profit and a long strategy books it as a loss. Neither would happen in the futures.
• Rolling across a dividend without back-adjustment. If the expiring contract is before the ex-date and the next contract is after it, the two prices differ by about the dividend. An unadjusted continuous series shows that difference as a price gap at the roll.

For some corporate actions, TAIFEX adjusts open contracts and announces how. An adjusted contract can then trade under a different code, next to newly listed standard contracts. Read the TAIFEX announcement for each UMC corporate action in your test period. Treat an adjusted contract as a separate instrument in your data, so its prices do not mix with the standard contract.

How much slippage should you assume?

Start with at least one tick per side in the front month and more in other months or near the session edges, then rerun with double slippage to see whether the strategy survives. Slippage is the difference between the price the backtest assumed and the price you would actually get. In a single-stock future, one tick of slippage can easily cost more than the commission and the tax combined, as the example below shows.

Liquidity is uneven across UMC futures contracts. The front month carries most of the trading. Later months can go long stretches without a trade, so their last price may be stale. Look at the daily volume and open interest per contract month on TAIFEX before you decide which months your continuous series uses. The time of day also matters. Between 08:45 and 09:00, and again between 13:30 and 13:45, UMC shares are not trading on the stock exchange. The futures still trade, but quotes can be thinner, and bars from these minutes deserve extra slippage.

The point of the exercise is the ratio, not the exact amounts. If a small change in slippage flips the result, the edge per trade is too thin for this contract. The article on trading costs in backtests and the average trade explains how to set this margin. The individual trades in the performance report of AlphaPrime (Valynox) give a result per UMC trade that you can set against your slippage assumption.

Where do you get UMC futures data for a backtest?

TAIFEX publishes daily trading data for each contract month, while intraday bars usually come from a broker's quote software or a data vendor. Daily data is enough to check volume, open interest and settlement prices. Intraday strategies need minute bars for each contract month, or a continuous series that you can rebuild with your own roll rule.

1. Get each contract month separately if you can. A vendor's ready-made continuous series uses its own roll and adjustment rules, which may not match yours.
2. Check the time stamps. Bars should be in Taiwan time and should start at 08:45. If a vendor stamps bars at their close instead of their open, every signal shifts by one bar.
3. Check the session. Bars before 08:45 or outside the sessions listed on the TAIFEX contract page point to a time zone error or to a different product mixed in.
4. Look for gaps and stale prices in thin months, and compare a few daily closes with TAIFEX's published data.
5. Mark corporate-action dates and adjusted contract codes, so they do not leak into the standard series.

The checks for gaps, bad ticks, time zones and rolls are covered step by step in backtest data quality.

Which settings should you check before the first run?

Set the contract, the session, the roll and the costs before the first test, because each of them changes which strategies rank highest. The table lists the settings this article covered and a sign that each one is wrong.

Setting	What to use	Sign that it is wrong
Point value	Two thousand TWD per 1 TWD move	Profits look about two thousand times too small or too large, or off by a fixed factor
Tick size	By price tier: 0.05 below 50 TWD, 0.1 from 50 TWD	Fills at prices the contract cannot trade at
Session	08:45 to 13:45 Taiwan time	Bars before 08:45 or outside the sessions listed on the TAIFEX contract page
Roll	Fixed rule, a few days before the third Wednesday	Trades on the last trading day, or price jumps at each expiry
Dividends	Futures prices, back-adjusted at rolls	A large move on UMC's ex-dividend date each year
Costs	Commission, 0.002% tax per side, at least one tick of slippage per side	Many tiny trades rank at the top
Execution	Fill on the next bar after the signal	Entries at the exact close of the signal bar

AlphaPrime handles the costs and execution items in this table inside each test. AlphaPrime's backtesting includes fees and slippage, next-bar execution, trading sessions and the data resolution you choose. When you search for rules with strategy generation, every candidate is ranked with the same UMC contract settings.

What this means if you use AlphaPrime: enter the UMC contract's point value, session and costs once, build your continuous series with a fixed roll rule, and every strategy AlphaPrime tests and ranks is measured on the same realistic terms.

Frequently asked questions

What is the UMC futures code (聯電期貨代號)?

TAIFEX lists UMC single-stock futures under the product code CCF. The underlying stock is UMC, code 2303 on the Taiwan Stock Exchange. Broker quote software often adds a month code or uses its own symbol, so confirm the mapping in your software and on the TAIFEX stock futures list.

How much is one tick of UMC stock futures worth?

One contract covers two thousand shares. A 0.05 TWD tick, which applies from 10 to under 50 TWD, is worth 100 TWD. A 0.1 TWD tick, which applies from 50 to under 100 TWD, is worth 200 TWD.

When do UMC stock futures expire?

Each contract's last trading day is the third Wednesday of its month, and the expiring contract stops trading at 13:30 that day. The contract settles in cash. Positions you want to keep are usually rolled to the next month a few trading days earlier.

Can I backtest UMC futures with UMC stock data?

Only roughly. The stock drops by about the dividend on each ex-dividend date, while the futures price already includes the expected dividend. Stock data therefore creates moves that the futures never made, so test on futures prices whenever you can.