Kitchen Sink Portfolio Creation

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Anthony Marsland
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Kitchen Sink Portfolio Creation

Post by Anthony Marsland » Wed Feb 08, 2012 10:48 am

Firstly thanks to so many members of this forum for all they have shared. I feel so much gratitude for all your thoughts, suggestions advice and code.

Please find below a process for creating a large portfolio of tradable futures. It seems so simple to me now but took nearly a month of research and checking to create it... If I have missed anything please do tell...

Purchase CSI full history offering and make sure that the rest of the process below is carried through in the 30 days you have full access to the whole database. Let CSI know that you are a TB user and will need API access turned on - This allows the UA Sync button to work in the Futures Dictionary.

Create a virtual folder, I use DropBox, and point both UA and TB to the this folder. This will allow you to keep one data set for all your copies of TB to reference. It will also allow you to use as many UA accounts as you have to process your daily data needs in the future.

Use the roll settings in UA as per the image below so that the file names correspond to those in the futuresinfo doc supplied in MarketPlace here viewtopic.php?t=9334. This is an update to Ratio's share that includes some London metals.

Rename the original futuresinfo file and place the comprehensive futuresinfo file in the virtual folder created earlier. Make sure the portfolio you choose has all the instruments checked. Remember the Futures Dictionary dictates what instruments are available to be ticked in the portfolio selection. The Portfolio SET file dictates which of these instruments are ticked.

I have added a Block in MarketPlace here viewtopic.php?t=9333 to help check each file that loads for volume today or average volume over n trading days. The block will create a print output of all the instruments trading on this day. Optionally it can also print instrument, description, volume. When using this block be careful to check that the global volume filter is set to 0.

You will find the output of this block in file/results/print output. Create a new portfolio file (.SET) from TB and then open it in textedit. Copy the print output into the .SET file.

I set the min volume to a 28 day average of 300 contracts. This weeded the 1000+ futuresinfo list down to about 210 instruments. There were plenty of duplicates that I unchecked in the portfolio manager. This created a Kitchen Sink portfolio of 163 instruments. I went for combined (Pit/Day/Electronic/Evening) files. I'd be interested in any views for/against this choice...

I then used Excel to weed out all the unnecessary instruments in my futuresinfo. You may want to keep it. I found it confusing when working through the correlation, group cells and general checking of data with brokers.

When the checking is complete for all fields in the Futures Dictionary now is the time to consider whether the default roll rule as suggested by TB is for you. If it is... perfect... if not then the file names will change and you will need to reattach these new files to the pertinent Futures Dictionary entry.

Once roll rules are complete you can, with ease, create portfolio files with different liquidity considerations using the supplied block.

Thanks especially to Ratio and Sluggo for their contributions to this area of research.
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Tim Arnold
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Post by Tim Arnold » Thu Feb 09, 2012 8:59 am

Great stuff -- thanks so much for posting!

Anthony Marsland
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For the less curious...

Post by Anthony Marsland » Thu Feb 09, 2012 10:14 am

So you're feeling a little lazy and happy to trust my slap dash ways... here's the UA portfile for my kitchen sink futures portfolio not inc metals, fx futures and minis and the UA portfile for FX Futures, Metals and Spot Currencies: viewtopic.php?p=53375#53375 They are presented as separate portfiles so that you can use two licenses for UA because your gonna go over the 150 daily download limit after you have finished your 30 day all access. You will find other options suggested elsewhere on the forum for combatting this challenge!

To overcome some error messages when using the full futuresinfo file you will need a more comprehensive forexinfo file. Here ya go:viewtopic.php?t=9337&highlight= I've updated most of the spreads using Oando data as per the image below.
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Anthony Marsland
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Posts: 83
Joined: Thu Jan 13, 2011 5:33 am
Location: London
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For the less curious...

Post by Anthony Marsland » Thu Feb 09, 2012 10:23 am

So you're feeling a little 'pushed for time' and happy to trust my slap dash ways... here's the UA portfile for my kitchen sink futures portfolio not inc metals, fx futures and minis and the UA portfile for FX Futures, Metals and Spot Currencies: viewtopic.php?t=9338 They are presented as separate portfiles so that you can use two UA licenses because your gonna go over the 150 daily download limit after you have finished your 30 day all access. You will find other options on the forum for combatting this challenge!

To overcome some error messages when using the full futuresinfo file you will need a more comprehensive forexinfo file. Here ya go: viewtopic.php?t=9337 I've updated most of the spreads using Oando data as per the image above.

Anthony Marsland
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Posts: 83
Joined: Thu Jan 13, 2011 5:33 am
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CSI discounts

Post by Anthony Marsland » Tue Feb 14, 2012 7:15 am

Nearing the end of my 30 day CSI full access history subscription I decided to invest in a Gold daily update subscription. CSI were happy to discount the Gold subscription using the history payment plus any other discount codes I had... Result!

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