Futures - the contract size missing
Author: RuneHS
Creation Date: 1/14/2010 10:30 AM
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RuneHS

#1
For the input series that users define as "futures" in the "Symbol Info Manager" (SIM), why isn't there any field for the contract size?

It is typically 100.000 nominal for bond futures but 1.000.000 for eurodollars, so it varies. For commodities it's a bit more tricky (fixed number of bushels or gallons or whatever - i.e. a "floating" value), but the principle is the same: there is an invested or contracted amount behind the cash that derive from the point-per-value numbers.

The "Profit %" is not right in the "Trades" report for because of this. To get this right (again, for futures) I have to use the "Point Value" in SIM and relate it to the contract size - but the contract size is not here. I would like "Profit %" to be correct.

I figure you don't want to have the system to rely on a big "stem data" table for futures, but the contract size - any chance of getting that in?

It is possible to trick the system I guess (use/steal the field "Margin" in the SIM), but that's a workaround
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Cone

#2
Contract size isn't required. You must express only the Point Value for the contract size. The Point Value is the dollar value that you gain (or lose) when 1 contract moves 1 full point.

Example: Eurodollar
Contract Specs - $1,000,000
Minimum Price Fluctuation (Tick) - .0025 = $6.25/contract for spot-month contract;
0.005 = $12.50/contract for all other contracts

So, the point value is:
1 / 0.005 * $12.50 = $2,500

Likewise:
1/0.0025 * $6.25 = $2,500
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RuneHS

#3
Yes, I know about point values and cash, but looking at the "Trades" table and the "Profit %" column when running a futures trade, do you find that that gives the correct return in per cent terms?
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Cone

#4
It does if Futures Mode is enabled. Enable it in the SIM toolbar.
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RuneHS

#5
Well, on my machine it doesn't. The point value, defined in the "SIM", comes out right (to do this, the "Futures Mode" has to be enabled I agree, yes), but the per cent return on futures is just "(EX - EN) / EN" (EXit price, ENtry price), is it not?

Of course, we could say that the per cent return on futures is a bit of an art really, it depends on whether you want to use "ROM" (return on margin money, btw. defined in the "SIM") or return on underlying contract cash amount (not defined anywhere).

Ok, I will leave it there, no problem. Seems to me that this is something that I am "into" and therefore it might be less of a general problem. The issue for me is to be able to run trades over a range of instruments (futures, fx, comodities) and then compare "apples to apples". That is why I need the futures returns relative to some cash invested. But I have found a work-around, so I am fine!
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