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Contract Specifications
Posted: Wed Nov 17, 2004 9:57 am
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!
Posted: Wed Nov 17, 2004 6:00 pm
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.
Posted: Wed Nov 17, 2004 11:27 pm
by eminime
thanks!
Posted: Thu Nov 18, 2004 1:46 am
by Roscoe
daveineagan: may I ask what software you are using for your automated system testing? TIA!
Posted: Thu Nov 18, 2004 9:31 am
by daveineagan
TS2000i Roscoe. It's all new to me too!
Posted: Thu Nov 18, 2004 9:34 am
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
Posted: Thu Nov 18, 2004 4:49 pm
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?)
Posted: Thu Nov 18, 2004 5:24 pm
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
. 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.