US index futures for Taiwan traders: ES, NQ and SGX Taiwan

Contents

1. What do people mean by 美股台指期 or 美國台指期?
2. How does the SGX Taiwan contract differ from TAIFEX TAIEX futures?
3. How big are the contracts, and in which currency?
4. When do these markets trade in Taiwan time?
5. Why does the same idea backtest differently on each contract?
6. Are your CME and TAIFEX bars on the same clock?
7. Should you test regular-session or full-session bars?
8. How do different roll dates change a continuous contract?
9. Which data should you use for your research?
10. Frequently asked questions

What do people mean by 美股台指期 or 美國台指期?

When Taiwan traders say 美股台指期 or 美國台指期, they can mean one of three things: the Taiwan index futures listed on Singapore's SGX, the TAIFEX night session that trades while US markets are open, or US index futures such as ES and NQ. Each has its own index, currency, sessions and roll dates, so each needs its own backtest.

The phrase is informal, so first find out which market a person means. The table shows the three usual meanings.

Meaning	Exchange	What it tracks	Why people link it to the US
Taiwan index futures listed abroad	SGX (Singapore Exchange)	FTSE Taiwan Index	Priced in US dollars
TAIEX futures, night session	TAIFEX (Taiwan Futures Exchange)	TAIEX	Trades during the US stock market session
US index futures	CME	S&P 500 (ES), Nasdaq-100 (NQ)	The US markets that Taiwan traders watch overnight

TAIEX futures are futures contracts on the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), listed on TAIFEX. This contract is what most Taiwan traders mean by 台指期. The other two meanings use the name loosely.

How does the SGX Taiwan contract differ from TAIFEX TAIEX futures?

The SGX contract and TAIFEX TAIEX futures follow different indexes on different exchanges, so they move together but they are not the same instrument.

SGX FTSE Taiwan Index Futures are futures on the FTSE Taiwan Index, listed on the Singapore Exchange and priced in US dollars. The FTSE Taiwan Index covers large and mid-sized Taiwan companies chosen by the index provider's rules. The TAIEX covers the stocks listed on the Taiwan Stock Exchange, weighted by market value. The two indexes hold many of the same large companies, but the members and their weights are not the same.

Think of two weather stations in the same city. Their readings rise and fall together, but they are different instruments. A rule tuned to one station will read the other one slightly wrong. The same is true for a strategy tuned on SGX prices and traded on TAIFEX, or the other way around.

In practice the differences show up in four places:

• Price level. The two contracts quote different numbers, so price levels and point distances do not carry over.
• Money per point. One contract settles in New Taiwan dollars and the other in US dollars.
• Trading calendar. Each exchange follows its own holidays.
• Expiry schedule. Each exchange sets its own contract months and last trading days.

How big are the contracts, and in which currency?

Each contract has its own point value and currency, so the same 100-point move means very different money on each one.

A point value is the amount of money that a move of one full index point is worth for one contract. The tick is the smallest price step the exchange allows. You find both on the exchange's contract page.

Contract	Exchange	Currency	Value of one index point	Minimum tick
TAIEX futures (TX)	TAIFEX	TWD	NT$200	1 point = NT$200
Mini-TAIEX futures (MTX)	TAIFEX	TWD	NT$50	1 point = NT$50
Micro-TAIEX futures (TMF)	TAIFEX	TWD	NT$10	1 point = NT$10
E-mini S&P 500 (ES)	CME	USD	US$50	0.25 point = US$12.50
E-mini Nasdaq-100 (NQ)	CME	USD	US$20	0.25 point = US$5.00
FTSE Taiwan Index Futures	SGX	USD	See the SGX contract page	See the SGX contract page

Exchanges can change contract sizes, ticks and hours. Check the exchange's own contract page before you set up a test. To turn these values into the profit or loss of one trade, use the futures contract calculator.

When do these markets trade in Taiwan time?

TAIFEX and SGX use the same clock as Taiwan. CME hours in Taiwan time move by one hour twice a year because of US daylight saving time.

Daylight saving time is the US practice of moving clocks one hour forward in spring and one hour back in autumn. In the US it starts on the second Sunday of March and ends on the first Sunday of November. Taiwan and Singapore do not change their clocks. So every CME session lands one hour earlier in Taiwan during the US summer.

Session (Taiwan time)	US winter (standard time)	US summer (daylight time)
TAIFEX regular session	08:45–13:45	08:45–13:45
TAIFEX after-hours session	15:00–05:00 next day	15:00–05:00 next day
ES and NQ on CME Globex	07:00–06:00 next day	06:00–05:00 next day
ES and NQ daily break	06:00–07:00	05:00–06:00
US stock market regular session	22:30–05:00	21:30–04:00

The CME trading week opens on Monday at 07:00 Taiwan time in winter and 06:00 in summer. SGX publishes its own session times on the contract page. Because Singapore and Taiwan share the same clock, you can read those times directly as Taiwan time.

One detail matters for night-session research. In winter, the US stock market closes at 05:00 Taiwan time, which is the same minute the TAIFEX night session ends. In summer, the US market closes at 04:00, and TAIFEX keeps trading for one more hour. A rule that reacts to the US close behaves differently in the two halves of the year. The futures market hours tool shows each session in your own time zone, so you can check the current week.

Why does the same idea backtest differently on each contract?

Results differ because the index, currency, session, expiry calendar, holidays and costs all differ, and each one changes which trades a rule takes and what they cost.

Factor	TAIFEX TAIEX futures	CME ES and NQ	Effect on the backtest
Underlying index	TAIEX	S&P 500, Nasdaq-100	Different price paths and trends
Currency	TWD	USD	Profit and loss in different units
Sessions	Regular plus after-hours	Nearly 23 hours a day	Different bar counts, gaps and overnight moves
Expiry	Monthly, third Wednesday	Quarterly, third Friday of March, June, September, December	Different roll dates in a continuous series
Holidays	Taiwan calendar	US calendar	Missing days fall on different dates
Costs	Commission, exchange fees, Taiwan futures transaction tax	Commission, exchange and regulatory fees	Different cost per trade

The SGX contract adds its own index, US-dollar pricing and Singapore calendar. Treat it as a fourth market, not as a copy of TAIFEX.

Are your CME and TAIFEX bars on the same clock?

Many data vendors stamp CME bars in Chicago time or New York time, while Taiwan data uses Taiwan time. The US cash open at 08:30 Chicago time is 22:30 in Taiwan in winter and 21:30 in summer. If you join two data sets without converting the clocks, the bars line up wrong for part of the year.

Should you test regular-session or full-session bars?

A TAIEX futures test on regular-session bars and a test on full-session bars are two different strategies. The night session adds trades and overnight moves and changes where each bar starts. See day-only vs. full-session bars in night-session backtests.

How do different roll dates change a continuous contract?

A continuous contract is a price series that joins expiring contracts into one long history. TAIFEX rolls every month and CME every quarter, so the joins fall on different dates and create different jumps. The guide to backtest data quality: gaps, bad ticks, time zones and rolls covers how to check these joins. For the CME side, the article on ES and NQ futures backtesting lists the settings to fix first.

Which data should you use for your research?

Use the data of the exact contract you plan to trade, in its own session and currency. Use other markets only as inputs that you align with care.

1. Name the contract. Write down the exchange and code, for example TAIFEX TX or CME NQ, and test that contract's own price history.
2. Fix one clock. Record each data set's time zone and convert everything to Taiwan time or UTC before you compare markets.
3. Choose the session. Pick regular-only or full-session bars, and use the same choice you will trade with.
4. State the roll rule. Decide how and when the continuous series switches contracts, and keep that rule for the whole test.
5. Set costs in the contract's currency. Enter commission, fees, tax and slippage in ticks for that contract.
6. Check the calendar. Look at holiday weeks and the weeks when US clocks change for missing or shifted bars.
7. Keep results in the contract currency. Convert to New Taiwan dollars only when you look at the whole account.

Some traders test the idea that US moves lead the TAIFEX night session. For that test, put both series on one clock. Let the TAIFEX rule use only US bars that had already closed when it decides. Then fill the trade on the next TAIFEX bar. A US bar that closes even one minute after the TAIFEX decision is information the rule could not have had.

AlphaPrime (Valynox) works with your own historical bar data and supports TAIEX futures and other futures markets. Its backtesting lets you set the trading session, fees and slippage, data resolution and next-bar execution for each research setup.

What this means if you use AlphaPrime: build one research setup per contract, with that contract's own session, costs and data. Compare strategies only within the same setup. That way, a difference in results comes from the rules, not from mixed sessions or currencies.

Frequently asked questions

Is 美國台指期 a Taiwan index contract listed in the United States?

The phrase usually does not mean a US-listed contract. The widely traded Taiwan index futures are listed on TAIFEX in Taiwan and on SGX in Singapore. People also use the phrase for the TAIFEX night session or for US index futures such as ES and NQ. Ask which exchange and contract code a person means.

What time does the TAIEX futures night session trade?

The TAIFEX after-hours session runs from 15:00 to 05:00 the next day, Taiwan time. The regular session runs from 08:45 to 13:45. These times do not change with US daylight saving time. Check the TAIFEX contract page for the current hours.

Can I use SGX Taiwan data to backtest a TAIFEX strategy?

Not as a replacement. The SGX contract follows the FTSE Taiwan Index, is priced in US dollars and has its own calendar and expiry schedule. You can use it as an extra input, but the trades in your test should come from TAIFEX data.

Why do ES and NQ hours shift by one hour in Taiwan time?

CME hours are set in US time, and the US moves its clocks for daylight saving time while Taiwan does not. From the second Sunday of March to the first Sunday of November, every CME session starts and ends one hour earlier in Taiwan. The daily break moves from 06:00–07:00 to 05:00–06:00 Taiwan time.

Do ES and NQ trade when TAIFEX is closed for Lunar New Year?

CME follows the US holiday calendar, so ES and NQ trade on normal US trading days while TAIFEX is closed for Taiwan holidays. A test that links the two markets must handle the days when only one of them has bars. The TAIFEX price can gap when Taiwan reopens.

What AlphaPrime does here

AlphaPrime's backtesting evaluates strategies with the session, fees, slippage and next-bar execution you set for each contract, on your own bar data for TAIEX futures and other futures markets.

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