How build a continuos future for ZQ (fed fund future)

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danilo
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How build a continuos future for ZQ (fed fund future)

Postby danilo » 02 May 2010

I'd like to build a continuos future for the 'FED funds future' symbol ZQ quoted on ECBOT, the problem is that the future code is built as follow:
'ZQ mmm yy' (I have used the microsoft's symbols' date), i.e. the future expirying in Jun is called 'ZQ JUN 10' insted of ZQM0, there is a solution to use more general naming futures specifications ?

thanks,
Danilo

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Anastassia
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Postby Anastassia » 05 May 2010

Hi Danilo,
Can you please tell me what version of MultiCharts you use and also, your data provider?
Thank you in advance

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danilo
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Postby danilo » 07 May 2010

I'm using the last beta 3 of MC and IB as data provider.

Regards,
Danilo

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Mobiius
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Postby Mobiius » 08 May 2010

I have the same MC and IB so I tryed to do a custom futures with ZQ to see if i can help and it came up with a message when I pulled up the chart:

Message: To construct Custom Futures please add contracts with the following properties:
FF root, CBOT exchange, Interactive Brokers datafeed.
Instrument: ZQ Fed Funds (what I named it)
Resolution: 1 Day.

is that what you got too?

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Mobiius
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Postby Mobiius » 08 May 2010

whoops, looks like im not subscribed to it... that would be problem one. sorry didn't mean to complicate matters :-)

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danilo
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Postby danilo » 08 May 2010

Mobiius,

The naming for the FED Fund futures quoted on CBOT is "FF mmm yy" and doesn't change the problem. Moreorever CBOT is an "open outcry" or "pit trading" market, while ECBOT is the "equivalent" electronic market and should be preferred.

Regards,
Danilo

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Anastassia
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Postby Anastassia » 10 May 2010

Hi all,
I am attaching the screenshots that will help you in adding the continuous futures for 'FED funds future' symbol ZQ. Below is a short instructions to the pictures provided:

1. Add symbols that you want your continuous futures to be constructed out of.
QuoteManager->Instrument->Add symbol->From data source->Interactive Brokers.

2. Add Custom Futures.
QuoteManager->Instrument->Add Custom Futures. Please see all of the settings in the second screenshot.

3. Check all of the settings in QuoteManager to see if the exchange, data source and root of futures that you added match the Custom futures you have built.

4. Plot a chart.

Thank you
Attachments
4 - building chart.PNG
Step #4
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3 - checking settings.PNG
Step #3
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2 - adding custom futures.PNG
Step #2
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1 - adding futures.PNG
Step #1
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danilo
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Postby danilo » 10 May 2010

Ok, is working fine.

Thanks,
Danilo

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Anastassia
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Postby Anastassia » 11 May 2010

You are welcome Danilo.

brendanh
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Postby brendanh » 11 May 2010

I'm having trouble adding custom futures for IB's Globex currency futures. Unless I'm mistaken, there are no symbol roots for them in QuoteManager.

Eg IB's symbol root for the EuroFX contract (Euro vs USD) is EUR. This does not exist in QuoteManager. I tried following your instructions above, and created CF with root 6E, but it does not match IB's root for the contracts so I get an error when plotting:

"To construct Custom Futures please add contracts with the following properties:
6E root, GLOBEX exchange, Interactive Brokers datafeed. Instrument EUR..."

See screenshots attached. Please advise.
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t.gif
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t1.gif
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t2.gif
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Anastassia
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Postby Anastassia » 13 May 2010

Hi Brendanh,

1. Add symbols that you want your continuous futures to be constructed out of.
QuoteManager->Instrument->Add symbol->From data source->Interactive Brokers.

2. Add the root for eSignal in Symbol Dictionary of QuoteManager.

3. Add Custom Futures.
QuoteManager->Instrument->Add Custom Futures.
Please see all of the settings in the third screenshot.

4. Check all of the settings in QuoteManager to see if the exchange, data source and root of futures that you added match the Custom futures you have built.

5. Plot a chart.

Thank you
Attachments
5 - building chart.PNG
#5
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4 - checking settings.PNG
#4
(159.62 KiB) Downloaded 1041 times
3 - adding custom futures.PNG
#3
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2 - adding Root for eSignal datafeed in Symbol Dictionary.PNG
#2
(73.04 KiB) Downloaded 1068 times
1 - adding futures.PNG
#1
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KeyDiver
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Postby KeyDiver » 29 May 2010

I am trying to create a Continuous Contract which will duplicate what I am already doing with the eSignal application. In that program, they have predefined the symbol "6A 1!" to retrieve continuous contract data using the same rollover rules as are in MC's QuoteManager Tools->Symbol Dictionary. When "6A 1!" is requested, eSignal combines the data using the rule and sends it to the application in realtime.

I'd like to set up a Continuous Contract in MC beta 3 that does the same thing using eSignal data and the eSignal Dictionary rule. Could you please outline the steps to accomplish this?

Thanks.


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