I've just added some symbols from data source (Interactive Brokers) and I see when I right click on the instument in QM then click Edit Symbol>Settings the default raido button for Use Custom Settings is selected. Should I change this to Use Exchange and ECN's Settings?
I already changed a few but it look like I can just select the Custom Settings radio button to get it back how it was, I'm just unclear on what the settings should be.
Thanks
Splint
Custom settings or Echange and ECN's Settings?
- Dave Masalov
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Re: Custom settings or Echange and ECN's Settings?
Splint,
Normally, when you add symbols From Data Source, default settings are correct. You should change the settings only if current price scale or min movement size are not correct.
Normally, when you add symbols From Data Source, default settings are correct. You should change the settings only if current price scale or min movement size are not correct.
Re: Custom settings or Echange and ECN's Settings?
Thanks Dave,
I'm a little confused about how this all works. I've tried to set it all up correctly but there is something clearly wrong as the results produced from the backtester don't seem realistic.
I'll use the Australian Dollar as an example.
I added 6AM2 from Data Source (Interactive Brokers) and the Exchange and ECN's settings for that were Price Scale:1/10000, Min.Move:1, Big Point Value:1.
I think this is incorrect as min.move/price scale*big point value = $0.0001. If i understand correctly, it should equal $10 as per the contract specs http://www.cmegroup.com/trading/fx/g10/ ... tions.html
Is there any documentation for the settings values or how to correctly calculate them from contract spec information? I'm a little hesitant to just jump in and try and figure it out myself after seeing the dramatic changes in backtesting results from minor changes in the symbol settings.
Also, should the settings for the live data exactly match the settings of the historical ascii data?
Thanks
Splint
I'm a little confused about how this all works. I've tried to set it all up correctly but there is something clearly wrong as the results produced from the backtester don't seem realistic.
I'll use the Australian Dollar as an example.
I added 6AM2 from Data Source (Interactive Brokers) and the Exchange and ECN's settings for that were Price Scale:1/10000, Min.Move:1, Big Point Value:1.
I think this is incorrect as min.move/price scale*big point value = $0.0001. If i understand correctly, it should equal $10 as per the contract specs http://www.cmegroup.com/trading/fx/g10/ ... tions.html
Is there any documentation for the settings values or how to correctly calculate them from contract spec information? I'm a little hesitant to just jump in and try and figure it out myself after seeing the dramatic changes in backtesting results from minor changes in the symbol settings.
Also, should the settings for the live data exactly match the settings of the historical ascii data?
Thanks
Splint
- JoshM
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Re: Custom settings or Echange and ECN's Settings?
That's indeed not correct. Judging from the BPV, might you have chosen the FX or FOREX exchange (instead of CME)? (Just to rule out this possibility)I added 6AM2 from Data Source (Interactive Brokers) and the Exchange and ECN's settings for that were Price Scale:1/10000, Min.Move:1, Big Point Value:1.
There's some information about Setting Exchanges & ECNs, Symbol Dictionary for Futures, and Setting Properties (in QuoteManager), but none about how to "correctly" calculate these values. However, I think that the data from the exchange itself is always the one that you should use (even if it means changing the Symbol Settings or Symbol Dictionary).Is there any documentation for the settings values or how to correctly calculate them from contract spec information? I'm a little hesitant to just jump in and try and figure it out myself after seeing the dramatic changes in backtesting results from minor changes in the symbol settings.
It would give more similar results between backtest and live trade if both are the same in terms of BPV, trading hours, minimum move, so I would say yes.Also, should the settings for the live data exactly match the settings of the historical ascii data?
- JoshM
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Re: Custom settings or Echange and ECN's Settings?
Personally, I think the QuoteManager Symbol Root settings for AU (Interactive Brokers) are wrong (or did I looked at the wrong symbol, since they are quite off?)..
But those from Zen-Fire 6A seem correct to me:
But those from Zen-Fire 6A seem correct to me:
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Re: Custom settings or Echange and ECN's Settings?
OK,
I've included a screen shot of the documentation Pinnacle provide. The first line AD is pit traded, the second line, AN is the one I'm interested in, the electronicly traded Aussie Dollar. I also included a screen shot of the CME contract spec. I'm not clear on whether that is what I'm really looking for. I think it is the GLOBEX exchange (6A**) I should be using. I also included screen shots of what IB came up with for futures contracts matching AN, AU and AUD. What do you think?
David
I've included a screen shot of the documentation Pinnacle provide. The first line AD is pit traded, the second line, AN is the one I'm interested in, the electronicly traded Aussie Dollar. I also included a screen shot of the CME contract spec. I'm not clear on whether that is what I'm really looking for. I think it is the GLOBEX exchange (6A**) I should be using. I also included screen shots of what IB came up with for futures contracts matching AN, AU and AUD. What do you think?
David
- JoshM
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Re: Custom settings or Echange and ECN's Settings?
Looking at IB Contract Information (here), AN are the futures on AutoNation stock: AU is the symbol for the futures on AngloGold Ashanti Ltd: The symbols AD, KA and 6A turned up nothing (from searching on Symbol).I also included screen shots of what IB came up with for futures contracts matching AN, AU and AUD.
However, looking at the margin page from IB (here): So, as far as I can tell, InteractiveBrokers uses AUD on GLOBEX as the CME's 6A symbol as found on the CME page. In other words, to trade AUDUSD futures on Globex, the IB symbol of AUD is needed.
Hope this is of some help, since it's indeed quite confusing.
- TJ
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Re: Custom settings or Echange and ECN's Settings?
Thanks Josh, I was reasonably sure I had the correct symbol. I'll just have to sort out the settings now so I can backtest and trade properly.
Thanks
David
If you are using IB,
to confirm your symbol,
go to TWS, right click on the symbol,
select Contract Info.