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Hello,
I am currently looking for how to manually set tick movement dollar amounts for custom data classes. I have an algorithm that requires doing analysis on continuous futures contracts. After reading a few posts it seems the QC either does not yet support continuous future contracts or the work arounds seem more convoluted than is needed for my case. I have opted, for the time being, to just pull the necessary data from a local file or remote source and build it into a custom data object to "trade" while back testing my algo.
My problem is that I have been unable to find documentation on how to set a custom symbols Minimum Tick Movement and Tick Values so that the end of algo stats and risk management procedures work correctly and show the correct profit and loss calculations.
For example, I have compiled externally the SP500 custom continuous futures data as is needed for my algo and built and added that custom data type. I need this custom data type to have a 1 point move that is equal to $50 instead of $1. I am sure I can keep track of the trades manually to do my own calculations, but am just looking as to how to do this with QC.
Any info or references to documentation as to how to set these values manually would be great!
Thank you,
Derek Melchin
Hi Leland,
To accomplish this, adjust the continuous futures data so that each value is divisible by $50 and set the `minimumPriceVariation` of the data source to 50. Here is an example of the latter.
Best,
Derek Melchin
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Leland Procell
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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