ES Price Format

I was hoping someone could clarify something for me. I had been auto-trading ZB (bond futures) and my code works in ticks so my OCO order is EntryPrice plus X ticks and EntryPrice minus Y ticks for the stop and or limit.

Today I started auto-trading ES and the OCO order was rejected. I use TT and EDF for the connection / broker and they write the ES value of 1872.25 for example as 187,725. So the simplest thing for me to do is change how I calculate the OCO and rather than say 5 * TickSize for example which is 1.25, I need to say 125.

Perhaps this is the case auto-trading all products based in decimals versus fraction, but it seems like the conversion would still be the same since my script is referencing ticks. I do assign a variable for the limit and another for the stop so the limit is var45 = 5 * TickSize but I simplify it and say var45 = 1.25. Perhaps just leaving it 5 * TickSize would work.

I'd be curious if anyone has seen this before.

Thank You -

Hello tony,

Since different data feeds vs. TT broker in MC can work with prices of different formats, the multiplier feature has been introduced to match the prices. Please read attentively how to use it and you should not apply any changes in your code, since MC will multiply/divide everything itself.

Thanks Andrew. If I do not use the multiplier then I assume I can do the "multiplier" myself in my code. My signal uses an OCO order that is entryprice + var1 (limit) and entryprice - var2 (stop);

All other orders to enter or exit a position are market orders so there is no specified price requiring a multiplier.

These two variables var1, and var2 are the only places where I have defined tick size in ES as 25 whereas the rest of my code tick size is .25.

So I assume this is OK along as I am NOT using the multiplier. I use IQ for data in and TT for my broker connection.

Thank You,

Tony

Tony,

without multiplier feature no matter what you do in code precision of prices can be lost for order generation. Please use the feature and avoid any price multiplication/division in code as if the prices of the security are the same on IQFeed and TT ends.

Understood. In reading the URL you posted on the multiplier it uses the example of converting from all integers (TT) to integer and 2 decimals and has the multiplier of *.01 to do the opposite and go from integer and 2 decimals to all integers it would be *100 for the multiplier is this correct? I ask because the only way of testing is via live in an automated, funded account. Thank You -

...I use TT and EDF for the connection / broker and they write the ES value of 1872.25 for example as 187,725.

Actually the numbers seems to be right from the article and the example described there should match your case.

The example on the Wiki uses the following which is taking data from TT in XXXXXX format and converting to XXXX.XX

"To get 4 integer and 2 decimal digits price format for ES symbol from Trading Technologies, add *0.01."

My data is from IQ in the format of XXXX.XX and TT is using XXXXXX. Seems the multiplier should be *100 if I want to take a price in XXXX.XX format and send an order to TT.

Tony,

Both for this thread and in the wiki instruction:
1. IQFeed symbol has price format = X(,)XXX.XX - on ES example the price 1,825.75
2. TT (same) symbol has price format = XXX(,)XXX. - on ES example the price 182,575.
3. It means that the *0.01 multiplier should be added to the description of the TT ES symbol root
4. After it is done the symbol mapping should be manually reset.
5. Close MC completely, make sure all MC processes are ended in TaskManager and then restart it.

Please test it by placing some limit orders far from market from ES chart fed by IQFeed before start automation.