Contract Specifications

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daveineagan
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Contract Specifications

Post by daveineagan »

I'm just beginning my automated system testing and wondered if someone could point me to their "favorite" site which outlines futures contract specifications? I will need to enter this info into my testing program to indicate min. move and what a full point move is worth for each futures contract.

thank you!
Roscoe
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Post by Roscoe »

Welcome to a real fun subject! The links below are worthy of a look, and I have attached an Excel speadsheet containing the full contract specs for everything supplied by Pinnacle Data.

http://www.usafutures.com/commodityprices.htm
http://www.pfgbest.com/traders_tools/re ... _specs.asp
http://www.mandirect.com/back-office/contracts2.htm
http://www.merchantcapitalinc.com/contractspec.html
http://www.tsagroup.com/conspec.html

c.f. was looking into developing a uniform data standard viewtopic.php?t=1780 but the project may have stalled, so until that happens this is the best that I can offer.
Attachments
Pinnacle Data Symbols.xls
Contract Specifications for data supplied by Pinnacle Data rev2.
(21.54 KiB) Downloaded 970 times
Last edited by Roscoe on Thu Nov 18, 2004 5:10 pm, edited 3 times in total.
eminime
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Post by eminime »

thanks! :P
Roscoe
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Post by Roscoe »

daveineagan: may I ask what software you are using for your automated system testing? TIA!
daveineagan
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Post by daveineagan »

TS2000i Roscoe. It's all new to me too! :roll:
Austrian
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Post by Austrian »

Did you know that for YX (Pinnacle Data)
YX NYSE COMP NYBOT Indexes 01/03/83 USD 500 0.05 25 9th of DM H,M,U,Z

NOTE:
No OLD NYSE Composite Index® Futures will be listed after the Sep. 2003 Contract

http://www.nybot.com/specs/yx.htm

As I pointed out you can not be sure .....

Helmut
Roscoe
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Post by Roscoe »

Austrian wrote:Did you know that for YX (Pinnacle Data) No OLD NYSE Composite Index® Futures will be listed after the Sep. 2003 Contract
Sorry Helmut, my bad - I should have deleted it along with TB , and in fact I thought I had. Rev 2 above reflects those changes. You are absolutely right though - the whole contract data thing is a mess overall - different symbols for the same future in many cases, lack of uniformity in decimal placement.

daveineagan: Now I'm real curious - how will you manage automated system testing with TS20001? (I am assuming that by 'automated system testing' you mean to test a system using varying parameter sets across a universe of markets?)
eminime
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Post by eminime »

Roscoe. This is my first use of ANY system testing platform. I have no idea what my next plans are with regard to testing :idea: . All I know is I bought a bunch of data and I've been testing single markets with simple breakout systems and I'm really enjoying it. So, any combination of systems and markets will have to be considered at some point in the future. Also, if I wanted to ultimately stay w/ts, I know a guy up here that has a utility to combine systems and markets in TS.
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