Search found 4 matches
- Tue Oct 04, 2016 8:45 pm
- Forum: Data Providers and other non testing software
- Topic: Creating Nearest and 2nd_Nearest series in CSI
- Replies: 1
- Views: 3364
Creating Nearest and 2nd_Nearest series in CSI
I want to generate two CSI continuous contact series, “Nearest” and “2nd_Nearest”, such that for any given date, the price in “Nearest” corresponds to the near-expiring contact while the price in “2nd_Nearest” corresponds to the contract expiring after Nearest. This is straightforward for markets wi...
- Mon Nov 14, 2011 12:17 pm
- Forum: Futures Markets
- Topic: Russian Ruble
- Replies: 3
- Views: 3158
Russian Ruble
Anyone noticed that the CME Russian Ruble is starting to becoming tradable? I see 167 contracts of the Dec have traded today. Sometimes I see a market only a few ticks wide (apparent market maker), other times a wide two sided market, but at least there *is* a two sided market, unlike CME's SA Rand....
- Mon Sep 06, 2010 5:19 pm
- Forum: Testing and Simulation
- Topic: "roll your own" LME futures contracts
- Replies: 0
- Views: 2826
"roll your own" LME futures contracts
Here’s an idea for backtesting LME contracts. Specifically, generating a price series that matches what you would actually trade in the real world. I have no experience actually trading LME, but from my understanding of how it works, it seems like the following would be possible. If you had access...
- Fri Jul 23, 2010 1:54 am
- Forum: Testing and Simulation
- Topic: How do YOU handle full size and mini contracts?
- Replies: 6
- Views: 5526
I do what Chris67 suggests, test and run daily order generation on fullsize contract (with corresponding adjustments for big point val) but execute on mini. I actually trade QH and QU (miNY) that sluggo mentioned. Usually there is NO(!) bids or offers. However, I have discovered that if I submit my ...