RE: [amibroker] trading futures

Fri, 21 Jul 2006 10:34:25 -0700

I use the NDX as a proxy as you saw in my screen shot. Based on testing the ER2 (Russell 2000 futures for which I have historical data), the Close is fairly consistent with the ER2 and thus $RUT makes a good proxy. The Open varies much more and really needs back-adjusted futures data to test. I am "assuming" the NQs are the same. They "should be" because they are tracking the index.

 

There are sources of back-adjusted futures contracts. I am trying to get CSI Data to provide this directly to AB. They have the data. I'm pretty sure they can export this data to Metastock and you can read Metastock data with that plug-in.

--

Terry

-----Original Message-----
From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of emp62
Sent: Friday, July 21, 2006 09:08
To: [email protected]
Subject: Re: [amibroker] trading futures

 

thanks Terry for your detailed answer.  One more basic question on this. What data do you use to test a system. I mean for every contract you are limited to the data for that contract, so there is not much to work with. Or do you use the NDX index for testing?

 

regards, Ed

 

 

----- Original Message -----

From: Terry

Sent: Friday, July 21, 2006 4:38 PM

Subject: RE: [amibroker] trading futures

 

If you're keeping the contract overnight, the margin is 3750.

Tick size relates to how much movement is required to get paid. It is 0.25.

I set those values in the Symbol Information window.

Commission is 2.40 per side or 4.80 round trip. You use 2.40
per contract. (The 1.65 you saw was for OPTIONS on futures.)

You can find contract details here and margin deposit on the IB page you have:

http://www.cme.com/clearing/clr/spec/contract_specifications.html?type=idx

 

    SetOption("CommissionMode", 3); /* Modes explained next...

        0 - use portfolio manager commission table

        1 - percent of trade

        2 - $ per trade

        3 - $ per share/contract    */

    SetOption("CommissionAmount", 2.40);

 

Be sure to check the Futures box in AA->Settings.

This is necessary even when you use this line of code,
which I always include when testing Futures.

 

    SetOption("FuturesMode",True);

 

--

Terry

-----Original Message-----
From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of emp62
Sent: Friday, July 21, 2006 07:14
To: [email protected]
Subject: Re: [amibroker] trading futures

 

thank you.

 

So in the Symbol inofrmation window I fill in:

 

Round Lot Size: 1        Margin deposit: 1500

Tick Size:  5        Point value: 20

 

am I right?  What number do you use for the margin deposit?

 

thank you,

 

regards, Ed

 

 

 

----- Original Message -----

Sent: Friday, July 21, 2006 2:52 PM

Subject: Re: [amibroker] trading futures

 

Point value for NQ is $20.00 - (Tick value = $5.00).

IB commissions are $2.40

----- Original Message -----
From: emp62 <[EMAIL PROTECTED]>
Date: Friday, July 21, 2006 3:11 am
Subject: [amibroker] trading futures
To: [EMAIL PROTECTED]ps.com

> hi,
>
> am am testing some systems on futures (have experience with stocks
> only) and I want to check if my settings are set up properly for
> trading NQ E-mini Nasdaq 100 futures at Interactive Brokers.
>
> For trading 10 contracts I add into my system:
>
> NumContracts = 10;
> PositionSize = NumContracts * MarginDeposit;
>
> Further:
>
> tick size = 0.25
> Point value = 12.5$ / 0.25 = 50
>
> Margin deposit ?? Do I need to get this number from IB? I find a
> list here:
>
>
http://www.interactivebrokers.com/en/trading/marginRequirements/margin_
amer.php
>
> what do I use? 1500?
>
> Commision I use 1.65$ per contract.
>
> if somebody could check the setup I would appreciate,
>
> thanks, Ed

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