Search found 48 matches

by jklatt
Tue Mar 09, 2010 4:05 pm
Forum: Data Providers and other non testing software
Topic: Big Point Value Calculation
Replies: 5
Views: 3199

I did. For whatever reason, I'm still confused. "Simply put, the Big Point Value is the amount of money you will make if you buy one contract and it goes up by one full point. That is one number to the left of the decimal. So Gold going from 401 to 402..." So... the way I read things, if CSI symbol ...
by jklatt
Tue Mar 09, 2010 3:21 pm
Forum: Data Providers and other non testing software
Topic: Big Point Value Calculation
Replies: 5
Views: 3199

Big Point Value Calculation

I wanted to post this in the newbie section because it's a pretty newbie question, but it was locked. I'm wondering exactly what the big point value is for a commodity? Using CSI symbol ATF for example. http://www.adex.ase.gr/AdexHomeEN/index.html According to the exchange, the multiplier is EUR5 an...
by jklatt
Mon Mar 08, 2010 6:37 pm
Forum: Data Providers and other non testing software
Topic: Rolling on OI etc
Replies: 10
Views: 6026

Here is a peak into what I want to eventually do (and I'm close!). Attached is a file. The left data set that is unbold is my continuous data set, using the individual contract data from CSI for KW. This data set was built with the ability to see the future and it represents, what I believe to be, t...
by jklatt
Mon Mar 08, 2010 2:19 pm
Forum: Data Providers and other non testing software
Topic: Rolling on OI etc
Replies: 10
Views: 6026

I've been getting involved in this type of stuff the past 2 months. This is exactly the sort of issue that I eventually want to be able to handle with my stitching scripts. Is the first notice date fixed or defined somehow so that you would know when it is going to occur many weeks in advance? Much ...
by jklatt
Sun Mar 07, 2010 6:23 pm
Forum: Testing and Simulation
Topic: Contract Information You Track That CSI Does Not
Replies: 2
Views: 1584

Contract Information You Track That CSI Does Not

I wasn't too sure where to post this. This section seemed like the best. Below is an excerpt from my diary/blog. I'm curious, what data points about an instrument do you guys keep track of that CSI does not and why? ------------------------------ I'm almost finished with my tradeable futures list. T...
by jklatt
Tue Mar 02, 2010 2:30 pm
Forum: Futures Markets
Topic: CSI symbols MW, MW1, MW2 confusion
Replies: 3
Views: 2186

I called CSI and asked why the volume for the combined contract MW2 did not equal the volume for MW + the volume for MW1. He said that the MW contract volume is zero, but because customers don't like contracts with zero volume, they dummy a number in there and use the electronic product's volume num...
by jklatt
Tue Mar 02, 2010 12:38 pm
Forum: Futures Markets
Topic: CSI symbols MW, MW1, MW2 confusion
Replies: 3
Views: 2186

CSI symbols MW, MW1, MW2 confusion

I downloaded quite a few symbols from CSI and ran some initial liquidity screens to generate a starting point for possible tradeable instruments. MW, MW1 and MW2 all made the cut. When going through on my second pass to prune out some of the duplicate markets, I became rather confused about a lot of...
by jklatt
Sun Jan 31, 2010 12:51 pm
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7864

The blog is pretty much private. There's not a whole lot of interesting stuff in there right now anyway. The goal of all of this is to come up with a way to roll contracts for my eventual trading system and to familiarize myself with CSI and its data. If you really dig deep into the individual contr...
by jklatt
Fri Jan 29, 2010 10:45 pm
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7864

Another excerpt from tonight. ----- I finally got most of the program up and running. Right now, I'm able to do the following: 1) Read through every file in the historical data directory and organize the files into chronological order based upon symbol, contract year and contract month. 2) I look at...
by jklatt
Fri Jan 29, 2010 10:44 pm
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7864

I've made some pretty good headway in this project. I'm not sure this "software" (it's really just a script) will ever be available to the public, but I thought I'd share some of the thought process in all of this so far and maybe some more new ideas will emerge. For a while now I've been frustrated...
by jklatt
Sat Jan 16, 2010 12:04 am
Forum: Custom C++ or Java Platforms
Topic: What's your favorite programming platform?
Replies: 15
Views: 25619

"Please define "platform" as used in " Programming language -- I should have used the word language, not platform. I have yet to trade a suite of systems on a well diversified basket of foreign and domestic futures interests let alone doing so on a daily basis, but it seems that some independent tra...
by jklatt
Fri Jan 15, 2010 1:59 pm
Forum: Custom C++ or Java Platforms
Topic: What's your favorite programming platform?
Replies: 15
Views: 25619

What's your favorite programming platform?

I just upgrade my Windows machine to 64 bit Windows 7 and when trying to reinstall my version of Matlab (it's OLD -- from the early 2000s), it no longer works. I've been thinking of switching platforms for a while now and I think this might be a good time to look into doing so. I have some experienc...
by jklatt
Tue Jan 12, 2010 5:59 pm
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7864

Thanks for the comments all. I've implemented some of the suggestions and I'm working on implementing others. I've been real busy with being sick, buying a new house and renting out the old one on top of being an expected dad! I wouldn't have any problems sharing the code when it's finished, but I d...
by jklatt
Thu Dec 24, 2009 6:35 pm
Forum: Custom C++ or Java Platforms
Topic: Dreaming up the ultimate contract stitching software
Replies: 13
Views: 7864

Dreaming up the ultimate contract stitching software

I'm currently writing some custom software in Matlab to stitch together futures contracts for me. I'm curious what some of the users on this forum WISH they could do but cannot. Right now I've covered most of the basic things like: 1) How to stitch together the contract? Close to Close? Close to Ope...
by jklatt
Sat Dec 05, 2009 2:32 am
Forum: Data Providers and other non testing software
Topic: First Notice, Expiration, Settlement Type and CSI
Replies: 6
Views: 3720

First Notice, Expiration, Settlement Type and CSI

I've looked through CSI's manual to see if they're able to output first notice dates, expiration dates and settlement types alongside the normal OHLC, etc. outputs. I've read through their manual pretty throughly and it looks like they don't have that type of functionality. I called them and they co...
by jklatt
Thu Oct 01, 2009 2:39 pm
Forum: Testing and Simulation
Topic: Support & Resistance
Replies: 5
Views: 3673

I started working on this last night and came across a problem when looking at all support/resistance levels below/above the current price. Do any of you guys have any ideas on how to determine if the support/resistance level is "meaningful". That's a pretty loaded question, but ultimately what I'm ...
by jklatt
Sat Sep 26, 2009 4:13 pm
Forum: Testing and Simulation
Topic: Support & Resistance
Replies: 5
Views: 3673

After going through the numbers and looking more closely at the data, I wonder if my conclusion about there being no edge (compared to a random entry) at support/resistance areas is correct. I think part of the problem is the way in which I set up the test. I only tested the most newly formed suppor...
by jklatt
Wed Sep 23, 2009 2:50 pm
Forum: Testing and Simulation
Topic: Support & Resistance
Replies: 5
Views: 3673

Last week I was wondering the same thing. So... I ran some numbers in Matlab (I haven't taken the time to put it into TB). I have a volatility based "swing" indicator. It looks for and finds peaks and valleys in price. It behaves a lot like the typical "50 day swing" indicator or zig-zag (I'm not 10...
by jklatt
Tue Sep 15, 2009 1:10 pm
Forum: Trend Indicators and Signals
Topic: Pattern Recognition/Computer Artificial Intelligence
Replies: 6
Views: 6955

I've actually been working on this the past few months. I've been normalizing the data into coordinates on an imaginary rectangular "cork board" to mimic what I typically see on the screen when I look at a chart. From there, I looked at a lot of different charts and I took examples of the pattern I'...
by jklatt
Fri Jan 09, 2009 12:53 am
Forum: Money Management
Topic: Dynamic Portfolio Balancing Project
Replies: 6
Views: 5463

Thanks for the kind words... I wish I was more energetic about the project. Maybe I'm really just making life difficult by limiting myself to "lousy" markets but for whatever reason I feel like if I can get past the "profitable/flat in 90% of the lousy markets" hurdle, the end product will be someth...