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

Posted By ChiTrader2000 8 Years Ago

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

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Posted Saturday May 09 2009
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:

  1. Folder: Root Watchlist Item for My Project
    1. Folder: Indexes
      1. Folder: ES (Our e-mini S&P symbol)
        1. Symbol: ESH07
        2. Symbol: ESM07
        3. ... and many, many more ES contracts.
      2. Folder: NQ (Our mini-Nasdaq symbol)
        1. 20 different symbols, one for each month
    2. Interest Rates
      1. 2YrNote
        1. 20 different symbols, one for each month
      2. 5YrNote
        1. 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

Posted Sunday May 10 2009
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.

ChiTrader2000 (5/9/2009)
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:
  1. Folder: Root Watchlist Item for My Project
    1. Folder: Indexes
      1. Folder: ES (Our e-mini S&P symbol)
        1. Symbol: ESH07
        2. Symbol: ESM07
        3. ... and many, many more ES contracts.
      2. Folder: NQ (Our mini-Nasdaq symbol)
        1. 20 different symbols, one for each month
    2. Interest Rates
      1. 2YrNote
        1. 20 different symbols, one for each month
      2. 5YrNote
        1. 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
Posted Monday May 11 2009
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



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