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RE: Need to see many contract months for each futures product in WatchList

ChiTrader2000 — Mon, 11 May 2009 11:20:19 GMT

Thanks billb.

This makes sense to me now. I now have a watch list of "Folders" for each product (e-mini S&P, CBOT Corn, etc.), that each have a bunch of contracts with different months beneath them. I am able to download the data from our database directly for each separate month. Everything works great.

Thanks again,

ChiTrader2000

RE: Need to see many contract months for each futures product in WatchList

billb — Sun, 10 May 2009 13:59:43 GMT

If I'm reading you correctly, I think we do exactly what you're looking for. You would setup 20 different symbols for each expiration. The symbol root + exp date + asset type + contract type, etc = symbol uniqueness.

So you would run 20 ES symbols per backtest if you're not using continuous contracts. RightEdge will "pad" each symbol with empty bars if there is no bar for the specified date. Naturally, there will be dates where multiple contracts are trading.

[quote][b]ChiTrader2000 (5/9/2009)[/b][hr]Hello,

I am setting up a very big Watchlist hierarchy of futures contracts that will 1) only be used in backtest mode and 2) will only be using our own 1 minute bar data via acustom plugin (which I have yet to write) and 3)must not use continuous contract data. We need to test each contract month separately,and would like to set it up this way:

Folder: Root Watchlist Item for My Project

Folder: Indexes

Folder: ES (Our e-mini S&P symbol)

Symbol: ESH07
Symbol: ESM07
... and many, many more ES contracts.

Folder: NQ (Our mini-Nasdaq symbol)

20 different symbols, one for each month

Interest Rates

2YrNote

20 different symbols, one for each month

5YrNote

20 different symbols, one for each month

The help documentation for setting up Watchlists for futures seems to me to be saying that for a given futures product (ES), you assign it a single contract month. Does this mean that I can't have 20 ES contract months as 20 different independently backtestable symbols underneath a folder called "ES", as shown above?

Thanks,

ChiTrader2000[/quote]

Need to see many contract months for each futures product in WatchList

ChiTrader2000 — Sat, 09 May 2009 13:51:29 GMT

Hello,

I am setting up a very big Watchlist hierarchy of futures contracts that will 1) only be used in backtest mode and 2) will only be using our own 1 minute bar data via a custom plugin (which I have yet to write) and 3) must not use continuous contract data. We need to test each contract month separately, and would like to set it up this way:

Folder: Root Watchlist Item for My Project

Folder: Indexes

Folder: ES (Our e-mini S&P symbol)

Symbol: ESH07
Symbol: ESM07
... and many, many more ES contracts.

Folder: NQ (Our mini-Nasdaq symbol)

20 different symbols, one for each month

Interest Rates

2YrNote

20 different symbols, one for each month

5YrNote

20 different symbols, one for each month

Thanks,

ChiTrader2000