Search found 4 matches

by trader20
Tue Oct 04, 2016 8:45 pm
Forum: Data Providers and other non testing software
Topic: Creating Nearest and 2nd_Nearest series in CSI
Replies: 1
Views: 421

Creating Nearest and 2nd_Nearest series in CSI

I want to generate two CSI continuous contact series, “Nearest” and “2nd_Nearest”, such that for any given date, the price in “Nearest” corresponds to the near-expiring contact while the price in “2nd_Nearest” corresponds to the contract expiring after Nearest. This is straightforward for markets wi...
by trader20
Mon Nov 14, 2011 12:17 pm
Forum: Futures Markets
Topic: Russian Ruble
Replies: 3
Views: 1733

Russian Ruble

Anyone noticed that the CME Russian Ruble is starting to becoming tradable? I see 167 contracts of the Dec have traded today. Sometimes I see a market only a few ticks wide (apparent market maker), other times a wide two sided market, but at least there *is* a two sided market, unlike CME's SA Rand....
by trader20
Mon Sep 06, 2010 5:19 pm
Forum: Testing and Simulation
Topic: "roll your own" LME futures contracts
Replies: 0
Views: 2066

"roll your own" LME futures contracts

Here’s an idea for backtesting LME contracts. Specifically, generating a price series that matches what you would actually trade in the real world. I have no experience actually trading LME, but from my understanding of how it works, it seems like the following would be possible. If you had access...
by trader20
Fri Jul 23, 2010 1:54 am
Forum: Testing and Simulation
Topic: How do YOU handle full size and mini contracts?
Replies: 6
Views: 3396

I do what Chris67 suggests, test and run daily order generation on fullsize contract (with corresponding adjustments for big point val) but execute on mini. I actually trade QH and QU (miNY) that sluggo mentioned. Usually there is NO(!) bids or offers. However, I have discovered that if I submit my ...