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Hi!
I have a question about some of the futures contracts.
Lumber, for example, has these parameters in QuantConnect SymbolProperties:
- Contract Multiplier=110,000
- Price today: 630
- QuoteCurrency: USD
Holding 1 contract in QuantConnect shows a nominal valuein the backtest of 69.3 MM$. But the actual nominal value of 1 contract is 69300 USD. See table below from CSI data
- Units= USD/1000ft
- Contract size=110,000ft
Am I missing something? How can I adjust my backtest so it uses the the right nominal contract size?
Cheers,
Carlos Mata
Derek Melchin
Hi Carlos,
To calculate the notional value of a futures contract, we multiply the spot price by the contract multiplier. Therefore, in the example above
630 * 110,000 = 69.3MNotice how the 630 isn't divided by 1000ft. See the attached backtest logs for reference.
Best,
Derek Melchin
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.
Laurent Crouzet
Hi Derek,
Carlos is right: the 69.3 millions should be divided by 1000 to get the real Notional Value of the contract. If not, the trader will probably send orders of 1/1000th of what is intented in his/her account... which will most often by rounded down to 0 (as sending real /live orders (especillay market orders!) of more than 500 contracts to the ILLIQUID MARKET OF LUMBER could never be deemed to be a good idea!))
Derek Melchin
Hi Laurent,
Thanks for confirming. Track our progress on resolving this here.
Best,
Derek Melchin
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.
Laurent Crouzet
Yes, the Interactivebrokers multiplier of 110 is correct (as it is 110,000 / 1,000).
Thanks for the future correction!
Darren Lim
Hi All ,
Good day! I recently run my backtest and my code has utilise SymbolProperties and its methods,
However, I got this error of " TypeError : Property is read-only. " when i backtest,
Before 3rd December, it was running ok without any error and I believe that QC has updated its version.
May I check whether you have any error running your backtest with this SymbolProperties class being used?
Thanks!
Derek Melchin
Hi Darren,
Updating the SymbolProperties is no longer supported. Those properties are security features that should not be edited.
Best,
Derek Melchin
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.
Carlos Mata
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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