Buying Futures Using MarketOrder by Chris Andreou

Chris Andreou INVESTOR

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Could someone tell me how I can place a Market open order for a Future on Natural Gas?

I am trying to back test the following Natural Gas Future from Quandl SCF database "SCF/CME_NG1_OB".

Should my code be using either:

MarketOnOpenOrder("SCF/CME_NG1_OB", numberOfContracts*ContractSize);

MarketOnOpenOrder("SCF/CME_NG1_OB", numberOfContracts);

another method?

If i use numberOfContracts*ContractSize then the number becomes a long not an int, since for natural gas the contractSize is 10,000,000,000.

Appreciate the help.

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Chris Andreou

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Alexandre Catarino

Quandl data is a special kind of custom data since it is a build-in custom data. Nonetheless, it is custom data and the engine does not know that 1 contract has a given lot size. Therefore, we should use

MarketOnOpenOrder("SCF/CME_NG1_OB", numberOfContracts);

Knowing the lot size, we can round of the number of contracts and only submit trades with multiples of lot size (10 000, 20 000, 30 000, etc in Natural Gas case).

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In this case, the data is not custom and has information about the asset (lot size, minimum price variation, etc). For instance, if you buy 1 lot of /NG, you are buying 10 000 units of it.
Note that at this moment we just have minute resolution data for futures. You will need to write some extra logics to set a MarketOnOpenOrder.

Chris Andreou INVESTOR

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