Basic contract on Interative Brokers TWSI API
Someone who went through my API course sent me this
Thanks to him
http://interactivebrokers.github.io/tws-api/basic_contracts.html#gsc.tab=0
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[igp-video src=”https://quantlabs.net/blog/wp-content/uploads/2016/08/Shift-from-long-term-contract-in-liquid-natural-gas.mp4″ poster=”https://quantlabs.net/blog/wp-content/uploads/2016/08/Shift-from-long-term-contract-in-liquid-natural-gas.jpg” size=”large”]
Notes on Reading futures contract price quote tables
The closing price is what is used by the clearinghouse to adjust all open positions to at the end of the trading day.
Open interest is the number of open outstanding positions of not been liquidated yet. If I buy today and the short one position to reverse position, you have a trader sells a position who was long, Both are getting out the trade so open interest will fall.Open interest will rise before expiry has to go back to zero.
For pricing on tbond December 03 contract up 111_10 size of the contract is $100,000 The points are 32% of 100% in the contract with trade at par. This is a deliverable contract. If you look at the exchange you’ll find it could have a 15 year maturity with 6% interest. If the long-term interest rates are below 6% it will trade above par. The long-term interest rate is at 6% trade at exactly 100%. There is an indirect relationship between interest rates and bonds. When you look at the 111_10 the point of each 10th is worth $31.25. 31.25 x 32 is equal to $1000. The 111_10 is an interest-rate of par so what is trading above par value since interest rates are below 6%. The 111 is the percent of par since interest rates are below 6%, so it could be at 100 if it was at exactly 6% . It really is a percentage.so the 111_10 is really $111,000 +31.25x10equaling $111,312 which is the value of this contract.
If you see the change of -24 or 24÷32 which equals $750. That changes from the previous day close.
Some participants will do a market squeeze to spike the price if there’s not enough inventory physically to meet demand with the future is about to expire.
Euros per US dollars $125,000 in euro per contract. This is priced US dollar per euro.most currencies are listed Price of foreign-currency against the US dollar. So you could have The euro at 117 open settle that 116.67 so it went down. So that is €116 times the size of the contract of 125000 this will give you a total value of $1.16 per euro times €125,000 equals $145,000. This is the approximate value of the contract. Because it is dollars per euro, if a dollar get stronger that price will fall.
For index futures The S&P has minis. It’s a $250 times the index which could be slightly above the index, if it settles at 109.60 the s&p size of the comtract is slightly higher than 1000. Contract could be 250 times thousand which makes the contract value of $250,000. Small price changes can wipe you out. The mini is only 50 times the index. Is 1/5 of the value which makes the contract $50,000. The Dow is 10 times the size of the contract which makes it $100,000. The change of the index is only in increments of $10.
For Eurodollar as a face value 1 million and the price quotes are in 1/100 cents. Price quotes are 100 minus interest rate. If the price settle is at 9.986 then will be 1.14 becomes yield. 98.86 equals 100-1.14. Each point of the yield is worth $25
If movement of 1.24-1.14=10 pts x $25 =$250 for profit or loss
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Note on an Options Contract
This is the third video from that course
Holder of the futures contract has the obligation to either deliver or accept delivery of the underlying assets are instrument to settle a cash price. Some allow delivery some do not. The holder of an option has a right to but not the obligation to either buy or sell the underlying futures contract.
Short=sell
Long=buy
If you sell option we need to provide the futures position if the option is exercised.
The risk is lower for those of buy options versus those up buy futures. Pay for the premium and that is the most u risk with options. If you buy or long a futures contract. With an option you know the amount that you’re putting at risk. Futures have unlimited risk.
Call option gives the buyer the right but not the obligation to purchase a futures contract at a specified strike price and during a specified time.
Put option gives the buyer the right not the obligation to sell futures contract that I specified strike price and during a specified time.
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Notes on futures contract Second video set of notes: As speculator you try to find intrinsic value on asset using fundamental view. Value of gold based on supply and demand characteristic. Technicians focus on past price behaviour based on past patterns. Options are written on futures contracts. 80% of speculators lose Money. Uses candlestick chart to visually see contracts. You can liquidate the position to sell and reverse. Buy low sell high contract. Ypu only put up a margin deposit pf The total value of the futures contract. EG $2000 on a $28 per barrel of 1000 equaling $28,000. Based on your broker u can get lots of leverage. Join my FREE newsletter tosee how I automate thisNOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
Quandl: Futures Contracts and Forex Rates
These guys are getting more impressive
This is a database that has been requested many many times by our users. Stevens Reference Futures offers comprehensive price histories for every individual historical contract, for 50 different futures accounting for over 90% of North American futures trading volume . This database is reference grade, carefully audited to be error and gap free, clearly documented, and beautifully structured.
Exchange Data International is one of the world’s leading institutional data vendors, with customers including banks, brokerages, hedge funds and universities. Their first offering on Quandl is a reference forex database covering 168 currencies, constructed by aggregating synchronized executable quotes from major investment banks and FX dealers.
Synchronization, accuracy, daily updates and 15 years of history make this database an excellent resource for daily mark-to-market procedures, as well as an accurate reference for back-testing.
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!Trader is Suing JPMorgan over typographical error in contract that… hedgeho.comJPMorgan Chase & Co. (JPM) is being sued by a trader who says he accepted a contract from the investment bank because a typographical error made him be…
==How could such a law-suit succeed? Was all the compensation back-end/commission based? If you are contracted as an employee and your bi-weekly check is missing zeros would you wait until year-end to say something? Most would notice after the first paycheck. Looks like his attorney just squeezed him for some $$$$, what serious chance is there for this law-suit to succeed? Please enlighten me.
==He is either English; or does not believe in common sense.
Which is the best USD Index futures contract to trade?
I want to trade USD Index futures. However I am not sure which is the best contract – ICE or CME. I am more familiar with the ICE contract, but the CME seems a new arrival on the scene and looks quite good. – Has anyone got any familiarity with trading or using these? Or has an opinion or view regarding these contracts?
==
I’m not sure whether there is any volume in the CME contract… It seems to be there, but can not see the volume==
Thank you for that …You are quite right,,, there is no volume on CME…. Any reason for that???
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How to use Matlab simple code for submitting a limit order on a contract
There seems to be a new project on the horizon. Here is how the author explains his project:
This is IbMatlab version 0.0.4 (svn revision 327). This release adds very simple code for submitting a limit order on a contract. We have now broken up the demo code into three scripts in order to test the three elementary tools provided:
(1) Historical Data Requests
(2) Market Data Requests
(3) Entering Limit Orders
This looks quite interesting. One comment was posted stating:
ave been trying to build an IB interface class on my own and things were going well, EXCEPT for one thing: when I pass a class method as a callback handler to the activex component, the class can not be destructed afterwards. ‘clear classes’ gives a warning that the class still exists.
I am personally excited to this type of development with Matlab and C++. It makes me feel I am not the only one. This particular project may expand as more and more people are contributing to it. It also very recent meaning it is not like a year old project you find on something like Source Forge. I give this project an A+. Also, this is what Riggster said on his site:
Lately I have been working on writing some matlab functions to connect Matlab and Interactive Brokers via their ActiveX API. Recently I found someone had written some very nice code and posted it at leptokurtosis. You have to create a login to download the code, but that takes about 30 seconds. It is called IbMatlab, and the most recent version he has posted is 0.0.4. The guy that wrote it says that it is rough, but after looking at his code, I would say he is no novice. I just started using his functions a couple days ago, and would be interested to hear what other people think of them.
http://matlab-ib-trading.blogspot.com/2010_11_01_archive.html
Alos, find this project over at:
http://leptokurtosis.com/main/node/15
Once again, I must congrats to all involved in this one. Matlab is once again proving itself as the master in Quant.
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