Problems with CL (oil) and IB strategy

Questions about MultiCharts and user contributed studies.
gpw797
Posts: 216
Joined: 04 Mar 2006
Has thanked: 3 times
Been thanked: 7 times

Problems with CL (oil) and IB strategy

Postby gpw797 » 08 Nov 2010

The letter designation for month contract from IB (Interactive Brokers) in Multicharts are not correct.. and this has been previously documented but something else weird is going on with this futures contract. I have a chart set up for CLZ0 (december contract) and it is printing the correct prices for december BUT when I apply my strategy the executions are not happening for the charted instrument (december contract) but for the january 11 contract! Please advise on how I can fix these problems with the IB oil futures, thanks.

User avatar
Anastassia
Posts: 179
Joined: 18 Jan 2010
Been thanked: 4 times

Re: Problems with CL (oil) and IB strategy

Postby Anastassia » 09 Nov 2010

Hi gpw797,
Please go to Strategy Properties -> Autotrading -> Select Broker Plug-in -> IB settings -> Symbol Disctionary and make sure the expiration date is correct.
Thank you

gpw797
Posts: 216
Joined: 04 Mar 2006
Has thanked: 3 times
Been thanked: 7 times

Re: Problems with CL (oil) and IB strategy

Postby gpw797 » 09 Nov 2010

I looked at it and it shows the correct month (december which is the month of chart).. but signals executed are the January contract... that is not the problem

User avatar
Anastassia
Posts: 179
Joined: 18 Jan 2010
Been thanked: 4 times

Re: Problems with CL (oil) and IB strategy

Postby Anastassia » 09 Nov 2010

Gpw797,
We checked it on our end and it works fine. Can you please visit our live chat so we can check what the problem is on your end. Below is the link to access chat:
http://messenger.providesupport.com/mes ... pport.html
We work from 6:30 am to 2 pm EST, Monday - Friday.
Thank you in advance

gpw797
Posts: 216
Joined: 04 Mar 2006
Has thanked: 3 times
Been thanked: 7 times

Re: Problems with CL (oil) and IB strategy

Postby gpw797 » 09 Nov 2010

Problem solved by MC support putting answer here to help others

The contract expiration data does not come into MC correctly from IB for the CL futures contract in the symbol dictionary for autotrading. To fix go to format signals > Properties > Auto Trading > Select Broker Plugin IB Settings > Symbol Dictionary

In the symbol dictionary verify that the expiration date is correct.. in my case the december 2010 contract was showing a january 2011 expiration date causing the problem.

There is a bug with CL product data as it comes into MC, the letter month expiration designations are not correct. See attached picture...

The picture shows the december 2010 contract as CLF1 with an expiry of 12/20/10.....

The december 2010 contract SHOULD have the designation CLZ0 and an expiry of 11/19/10. See link

http://www.interactivebrokers.co.uk/con ... 1289326044

Please fix this bug in your next release. It is a bug confirmed by you yet not on the list of things to be fixed in next release. The front month CL contract changes every month so this is a pain for oil traders, thanks.
Attachments
IB_CL_contracts.png
(57.94 KiB) Downloaded 709 times

User avatar
Anastassia
Posts: 179
Joined: 18 Jan 2010
Been thanked: 4 times

Re: Problems with CL (oil) and IB strategy

Postby Anastassia » 10 Nov 2010

Gpw797,
Expiration date for the symbol is provided by IB while description of the symbol is not. We form the description based on the expiration date provided by IB. In your case, CLZ0 has expiration date 20101119 which is reflected in the symbol dictionary for autotrading. Assuming that the expiration date is not correct, which is understandable because CLZ0 symbol has Z that stands for december, you manually changed date to what you though was the correct one, 20101220. That resulted in orders getting sent for January contract. 20101220 expiration date is correct for the following January contact.
Please see attached picture
Thank you
Attachments
CLZ0.png
(1.98 MiB) Downloaded 695 times

gpw797
Posts: 216
Joined: 04 Mar 2006
Has thanked: 3 times
Been thanked: 7 times

Re: Problems with CL (oil) and IB strategy

Postby gpw797 » 10 Nov 2010

All I changed was the description from the incorrect F to the correct letter Z I did not change the date... Irregardless the CL symbols are incorrect in Multicharts... if Multicharts is assigning the designation (like you say) F to a december (or january contract) Multicharts is assigning the wrong letter designation for the contract month and creating confusion.

I have a another problem with the oil contract CL can you help with this please. I am getting an error message that states "the price does not conform to the minimum price variation for this contract" and the orders are being rejected. Please advise, thanks.

User avatar
Anastassia
Posts: 179
Joined: 18 Jan 2010
Been thanked: 4 times

Re: Problems with CL (oil) and IB strategy

Postby Anastassia » 11 Nov 2010

Gpw797,
We understand your point. It is logical to have the letter in the symbol, Z for example, match the description and expiry. However, in reality, it doesn't work that way because IB provides to us 20101119 expiration date for December contract CLZ0 which looks like the expiration date for November. And since IB doesn't provide description to us we form it from the expiry. So mismatch of symbol letter designation with expiration date and description causes all of the confusion. Even though, the expiration date might look strange to All, it is correct because that is what IB provides to us. So once you add the symbol, do not manually change either symbol name or expiration date and you will have no problems.
Regarding "the price does not confirm to the minimum price variation for this contract" message, you need to check symbol settings for the symbol in QuoteManager. Rigth click on CL in QuoteManager -> Edit Symbol -> Settings. Make sure Min. Movement, Big Point Value and Price Scale are correct.
Price scale 1/100
MinMove 1
BigPointValue 1000
Thank you


Return to “MultiCharts”