Futures Dictionary Format

The Futures Dictionary is stored on disk as an ASCII Text file called "FuturesInfo.txt". This file contains information about the exact name and location of the data file, the description, contract size, as well as number of digits to display for graphs and trade listings. It must be placed in the top level of the futures data folder you are using. Please contact technical support to see if your vendor's data is supported, or for assistance with your data vendor.




Futures Data Folder

In Trading Blox, the folders containing futures price data files are set using the Data and Folder Preferences section of the Preferenceseditor.


The default folder setting for futures data is:


C:\Trading Blox\TradingBlox\Data\Futures\



FuturesInfo.txt is a very important file stored in the Futures Data Folder, and it contains all the pertinent information about a particular futures market. An example line in this file might be:


GC,Gold,TechTools,GC___53A.TTD,COMEX,GJMQVZ,"100 troy ounces",USD,100,2025,HG:,SI:,1,0.1,1,820


Moving left to right, Trading Blox knows that:

The trading symbol for this market is GC

The futures market name is Gold

The file is in the TechTools format

The folder\filename is "GC\GC_53A.TTD" which means that it's full pathname is: C:\Trading Blox\TradingBlox\Data\Futures\GC\GC_53A.TTD

The exchange is COMEX

The months traded are GJMQVZ

The trading unit is 100 troy ounces

The price is quoted in USD

The big point value is 100

The current exchange mandated initial margin requirement is $2025

Gold is closely correlated with SI (silver)

Gold is loosely correlated with HG (high grade copper)

Gold should display with one digit of accuracy

The minimum tick unit is in tenths or 0.1

The minimum tick is one tenth or 1 * 0.1

The sort for order generation is 820.        


Position 3 and 4 will likely be different from data vendor to data vendor because each generally has a different naming convention for futures data. This is especially for back-adjusted continuous contracts. CSI even names their files differently depending on the exact back-adjusting algorithm used to join the various individual contracts.


The colons at the end of the mapping separate the markets within a loosely correlated or closely correlated group. The correlated groups themselves are delimited by commas. For instance, Soybean Meal is loosely correlated to Corn, Oats, and Wheat, and is closely correlated to Bean Oil and Soybeans:


SM,"Soybean Meal",TechTools,SM___53A.TTD,CBOT,FHKNQUVZ,"100 tons",USD,100,675,C:O:W:,BO:S:,2,0.1,1,1030


The symbol defined in the first column must be identical to the symbol used in Portfolio Files. Portfolio Files use the symbol to lookup markets in the Futures Dictionary.


Edit Time: 9/20/2017 07:56:26 AM

Topic ID#: 145


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