I need a simple solution to a complex issue.

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TradingCoach
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I need a simple solution to a complex issue.

Post by TradingCoach » Tue Oct 21, 2003 5:41 am

I have finished with one applicaton to back test the PGO on a portfolio.
I need a simple formula to compute win loss on different contracts I have the tick value - i.e. some refer as the point value in dollars for each but the handle is different for each commodity I suppose most have 100 points in a handle so is there a way to compute some algorithm from the MINIMUM FLUCTUATION and POINT VALUE what the big handle value i.e. 1.0 move equals?
Right now I just multiply the points gained/loss with the POINT VALUE and a 100 it works for most but I am afraid the bonds and some others may yield an error. Any ideas?
Say I have 0.75 gain in crude (I know the big handle (1.0 is $1000)
the point value = 10.0
and the min fluct = .01
I just use the point value but there must be a better way to figure out the P/L for a multitude of contracts.

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Post by Forum Mgmnt » Tue Oct 21, 2003 8:33 am

There is no easy answer to your question.

The problem relates to the numerical units as quoted by the data vendor and the contract size.

For example, some vendors quote the Japanese Yen as 85.37 while others have that same price as 0.8537. Some, Heating Oil as 85.35 (or cents), others as 0.8535 (or dollars). For Heating Oil, there are 42,000 gallons in a contract. So the Big Point Value for Heating oil in the former case is $420 (42,000 gallons / $0.01/gallon) and in the latter case $42,000 (42,000 gallons / $1.0/gallon).

Since the contract size is potentially different for each market and each data vendor quotes in different units, you will need to develop a dictionary of values for each market specific to your particular data vendor.

Some of them are not particularly easy to figure out. Try looking at the Eurodollar or Libor contract, for example.

Who are you using as your data providor? They may have this information available.

Troy at OOWDG has this information for his data. We could not get official values from CSI despite several discussions and attempts so we built our own dictionary from scratch.

- Forum Mgmnt

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Post by Bondtrader » Tue Oct 21, 2003 8:53 am

Try the Australian Government Bonds (CSI symbols YTC and YTT) on the Sydney Futures Exchange. Their point value changes continuously as the underlying moves. That's right, the BigPointValue is not a constant!

http://www.sfe.com.au/content/sfe/trading/con_specs.pdf

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HQuotes I find easy to use

Post by TradingCoach » Tue Oct 21, 2003 11:17 am

HQuotesPro and I coded to accept that data format and others that take txt or csv files.
I think I only have to account for the interest rate products as "special cases" for now..

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Post by Ted Annemann » Tue Oct 21, 2003 1:28 pm

I found the summary page on ZapFutures's website to be extremely detailed and helpful:

http://www.zapfutures.com/html/contractspecs.shtm

They've got practically all the contracts you'd ever think of trading, and they express the "handle" / "point" / "mintick" value in a sensible way (better than the exchanges themselves).

And I don't even have an account at ZF!

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CSI data Big point value

Post by Karakoram » Tue Oct 21, 2003 11:48 pm

"We could not get official values from CSI despite several discussions and attempts so we built our own dictionary from scratch. "

Forum Mgmnt, I also use CSI. Would you mind e-mailing me your dictionary file, or posting it here?

Thanks!

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Post by Forum Mgmnt » Wed Oct 22, 2003 9:26 am

Chris,

I've attached two copies of the dictionary for the liquid U.S. Futures. One for VT 1.1 and the other for VT 1.5.

The column for Big Point Value is the same and follows the currency column, which is USD for all these markets.

- Forum Mgmnt
Attachments
VT 1.1 FuturesInfo.txt
(3.68 KiB) Downloaded 883 times
VT 1.5 FuturesInfo.txt
(3.78 KiB) Downloaded 1203 times

Demon

Post by Demon » Wed Oct 22, 2003 9:43 am

Hi Forum Mgmnt, I have just looked through the file for V1.5 and notice that for the Dollar Index you have no correlated markets listed. With the composition of the index I would have thought it would be at least correlated with the Euro. I am very interested to know how you reached the decision to not correlate the DX with any other currency.

Best regards.

Darran :)

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Post by Forum Mgmnt » Wed Oct 22, 2003 10:37 am

Darran,

Sorry but I didn't mention that I just added the DX and several of the stock indices and didn't update any of the correlations for those. I uploaded this to show the CSI Big Point Values not for the other values.

The DX is negatively correlated with the other currencies and the stock market indices are obviously very highly correlated with each other.

The correlations in the dictionary are only valid for those futures which made up the set that the Turtles once traded.

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This thread had been great help....

Post by TradingCoach » Tue Oct 28, 2003 2:15 am

but I am still struggling with currency P/L..
This may be a dumb quesiton but it apprears that currency P/L calc must be different from the rest due to the normal big handle division yields results in non USD where we need P/L in USD...
My progammer is in Poland and English is as alien to him as the .NET...

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Post by Kiwi » Tue Oct 28, 2003 4:53 am

Assuming you are talking about the globex futures contracts like JY, SF, EC, BP, AD and even NE :-)

The way it is expressed is confusing but in fact each contract is in USD. So the biggies move USD12.50 per small point (for a 0.0001 point move) not some number of JY or SF or EC. So for JY the big point is 125,000 (for a 1.0000 point move)

I guess that when they say the contract size for JY is 12500000 JPY they mean that it is USD125,000.00 worth of yen when 100 yen = 1 usd. If 100 yen is worth 0.6 USD then there is still a value of 125,000 yen but the contracts value in USD is now only 75,000 USD. Despite this a 1 big point move is still going to be 125,000 USD :-)

Did that make sense? Did it even answer your question? Do you remember a crazy TV program called Soap?

John

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It makes sense.

Post by TradingCoach » Tue Oct 28, 2003 12:30 pm

Thanks Kiwi,

It does but my intended P/L now just makes a division for most everything (EXCEPT currencies) and gets the bigpoint value so the profit loss can be just computed and multiplied by the big point value. Actually (NOW) I compute the number of ticks and multiply the tickvalue(in dollars) and multiply 100
(usually there are 100 ticks in the pigpoint) except interest rate vehicles..

Now this works for Yen etc but I want to change the computation to the other way so interest rates compute right....

For YEN if divide $12.50 by 0.000001 = 12500000 !!!!! I thought that for some reason this is in Yen only to find out here that I just screwed up by the data vendor inconsistency and my own math challenge. :-)

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Post by Kiwi » Tue Oct 28, 2003 4:19 pm

You seem to be mixing the yen and usd up again. That factor of 100 (because a yen is really a cent) seems to creep in.

Divide USD12.50 by 0.0001 (the tick that Globex and CSI is using for yen) to get USD125,000 per contract big point. I know that with IB they use 0.000001 for their tick but I dont understand why they do that - it just makes it harder for your IB Front Ends and Graphing Packages.

John

Acutally just looked at the globex quotes and they skip the decimal point all together and quote it as 9997. lol, no wonder we get confused.

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Post by Bondtrader » Wed Oct 29, 2003 12:14 pm

Maybe the thing to do is - - - - - - - - hire a coach :lol: to teach you about it.

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I did

Post by TradingCoach » Wed Oct 29, 2003 12:16 pm

My programmer in Poland suppose to know this, but you get what you pay for. :cry:

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