Custom settings or Echange and ECN's Settings?

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Splint
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Custom settings or Echange and ECN's Settings?

Postby Splint » 22 Mar 2012

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.

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Splint

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Dave Masalov
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Re: Custom settings or Echange and ECN's Settings?

Postby Dave Masalov » 23 Mar 2012

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.

Splint
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Re: Custom settings or Echange and ECN's Settings?

Postby Splint » 25 Mar 2012

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

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JoshM
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Re: Custom settings or Echange and ECN's Settings?

Postby JoshM » 25 Mar 2012

Splint wrote: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.

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)


Splint wrote: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.

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).

Splint wrote:Also, should the settings for the live data exactly match the settings of the historical ascii data?

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.

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JoshM
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Re: Custom settings or Echange and ECN's Settings?

Postby JoshM » 25 Mar 2012

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?)..

Image

But those from Zen-Fire 6A seem correct to me:

Image
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Splint
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Re: Custom settings or Echange and ECN's Settings?

Postby Splint » 25 Mar 2012

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.
Pinnacle.jpg
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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.
CME.gif
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I also included screen shots of what IB came up with for futures contracts matching AN, AU and AUD.
AN.gif
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AU.gif
AU.gif (12.7 KiB) Viewed 135 times

AUD.gif
AUD.gif (24.02 KiB) Viewed 133 times

What do you think?

David

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JoshM
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Re: Custom settings or Echange and ECN's Settings?

Postby JoshM » 25 Mar 2012

Splint wrote:I also included screen shots of what IB came up with for futures contracts matching AN, AU and AUD.

Looking at IB Contract Information (here), AN are the futures on AutoNation stock:
scr.25-03-2012 12.08.28.png
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AU is the symbol for the futures on AngloGold Ashanti Ltd:
scr.25-03-2012 12.09.33.png
scr.25-03-2012 12.09.33.png (19.46 KiB) Viewed 128 times


The symbols AD, KA and 6A turned up nothing (from searching on Symbol).

However, looking at the margin page from IB (here):
scr.25-03-2012 12.14.23.png
scr.25-03-2012 12.14.23.png (9.49 KiB) Viewed 137 times


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. :)

Splint
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Re: Custom settings or Echange and ECN's Settings?

Postby Splint » 25 Mar 2012

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

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TJ
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Re: Custom settings or Echange and ECN's Settings?

Postby TJ » 25 Mar 2012

Splint wrote: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.


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