Market Type Values
The following market types are defined in TradingSolutions.
Ä Note: If you are using data for a market which does not have a market type, select a market type that is closest to the way it trades.
· Stock/ETF
This market type is used for data which is traded like a normal stock, including stocks and exchange traded funds (ETF’s).
· Mutual Fund
This market type is used for data which is traded like a mutual fund. The primary difference between stock data and mutual fund data is that mutual fund data defaults to trading at the next day’s close. However, this can be modified in the trading styles.
· Index Data
This market type is used for data which contains index information. It is typically used only as an input to other trading and is not traded directly. Index data is not checked for outliers and other characteristics of bad price data.
Ä Note: When trading an exchange traded fund, index fund, or index future, the data associated with the pricing of that instrument should be used rather than creating signals on the underlying index.
The following market types are defined in TradingSolutions.
Ä Note: If you are using data for a market which does not have a market type, select a market type that is closest to the way it trades.
· Stock/ETF
This market type is used for data which is traded like a normal stock, including stocks and exchange traded funds (ETF’s).
· Mutual Fund
This market type is used for data which is traded like a mutual fund. The primary difference between stock data and mutual fund data is that mutual fund data defaults to trading at the next day’s close. However, this can be modified in the trading styles.
· Index Data
This market type is used for data which contains index information. It is typically used only as an input to other trading and is not traded directly. Index data is not checked for outliers and other characteristics of bad price data.
Ä Note: When trading an exchange traded fund, index fund, or index future, the data associated with the pricing of that instrument should be used rather than creating signals on the underlying index.
FOREX Spot
This market type is used for data which is traded on the FOREX spot market. Trading is done on margin based on settings in the trading style. A bid/ask spread is defined to address the spread brokers charge for this type of trading. See below for additional setting required for this market type.
· Futures
This market type is used for data which is traded as Futures contracts. Trading is done on margin based on the settings in the data series. See below for additional setting required for this market type.
Ä Note: Futures data can be imported as individual contracts or as a continuous contract. It is typically easier to use continuous contracts in TradingSolutions for developing and analyzing trading signals.
This market type is used for data which is traded on the FOREX spot market. Trading is done on margin based on settings in the trading style. A bid/ask spread is defined to address the spread brokers charge for this type of trading. See below for additional setting required for this market type.
· Futures
This market type is used for data which is traded as Futures contracts. Trading is done on margin based on the settings in the data series. See below for additional setting required for this market type.
Ä Note: Futures data can be imported as individual contracts or as a continuous contract. It is typically easier to use continuous contracts in TradingSolutions for developing and analyzing trading signals.
Market Type Settings
Futures and FOREX spot markets require additional settings in order to be traded. In many cases, default values for these settings can be assigned when the data is first imported.
· FOREX Spot
¨ Pip Size
This setting indicates the minimum amount by which the price can fluctuate. Most foreign currency pairs have a pip size of 0.0001.
¨ Bid/Ask Spread
This setting indicates the bid/ask spread your FOREX broker is using for this currency pair. All prices in the data series are assumed to Bid prices. The Bid/Ask spread is used during signal analysis whenever the Ask price is required.
Ä Note: This value will always default to 5 pips. Individual brokers may have a spread of anywhere from 2 pips to over 10 pips for individual currencies.
¨ Localization
This setting indicates which currency in the pair you will be taking your profits in.
: Example: If your account is in U.S. dollars (USD), you should specify My Currency is First for pairs such as "USD/JPY" where USD is the base currency. You should specify My Currency is Second for pairs such as "EUR/USD" where USD is the counter currency.
Ä Note: TradingSolutions currently does not support full analysis of foreign pairs. If you are using a pair in which neither currency is the currency your account is in, you should specify My Currency is First. The profits will be listed in the Base (first) currency. The effects of converting to and from this currency to your account currency will not be included.
· Futures
The following settings are required for using data with the Futures market type. These values are all specified by the exchange where the contract is being traded. For common U.S. contracts, these values will default to the values being used as of March 1, 2005.
¨ Minimum Price Movement (Tick)
This setting indicates the minimum amount by which the price can fluctuate, along with the equivalent value for a standard contract.
¨ Initial Margin
This setting indicates the minimum amount of money per contract that must be in the account at the beginning of the trade.
¨ Maintenance Margin
This setting indicates the minimum amount of money per contract that must be in the account after the trade has started. It is typically less than the initial margin, but may be equal to it.
Market Type Settings Considerations
Since the market type and the market type settings are set for each individual data series, settings will typically be uniform for all fields across that data series. However, there are cases in which you may have settings that do not match those of the data series:
· Changing Market Type
Market types were introduced in TradingSolutions v3.1. Prior to this, futures and FOREX data was analyzed as stock data. In order to preserve models developed in previous versions, the market type of existing models is maintained until otherwise specified.
· Changing Market Type Settings
There are times when it may be necessary to change the settings associated with the market type. The most common example is changing the FOREX bid/ask spread when changing brokers. In order to preserve models developed with the old settings, the settings of existing models are maintained until otherwise specified.
· Applying a Trading Solution
If you apply a trading solution to data that has a different market type than that data used to create it, any trading styles used by the trading solution will be associated with the wrong market type. Also, it may be possible that the data in the portfolio used to create the trading solution has different market settings. This is especially common for the FOREX bid/ask spread.
When you change the market type or market type settings of a data series on the Modify Data Series: Trading Settings page, TradingSolutions will offer to recalculate/re-optimize any existing fields to use the new settings. It is important to note that you should not do this if you would like to maintain the current signals or values.
If a field has been created with a market type of market type settings that are different than the associated data, any trading styles associated with the field definition will have an additional checkbox indicating the alternate settings that are being used. Un-checking this checkbox will cause the field to recalculate or re-optimize with the current data settings.
Ä Note: For fields defined for an entire group, this checkbox can be found on the Modify Field Dialog: Overview page.
Similarly, if a field is currently using a trading style associated with a different market type, it will be prefaced with the words "WRONG MARKET" in the trading style selection control.
Futures and FOREX spot markets require additional settings in order to be traded. In many cases, default values for these settings can be assigned when the data is first imported.
· FOREX Spot
¨ Pip Size
This setting indicates the minimum amount by which the price can fluctuate. Most foreign currency pairs have a pip size of 0.0001.
¨ Bid/Ask Spread
This setting indicates the bid/ask spread your FOREX broker is using for this currency pair. All prices in the data series are assumed to Bid prices. The Bid/Ask spread is used during signal analysis whenever the Ask price is required.
Ä Note: This value will always default to 5 pips. Individual brokers may have a spread of anywhere from 2 pips to over 10 pips for individual currencies.
¨ Localization
This setting indicates which currency in the pair you will be taking your profits in.
: Example: If your account is in U.S. dollars (USD), you should specify My Currency is First for pairs such as "USD/JPY" where USD is the base currency. You should specify My Currency is Second for pairs such as "EUR/USD" where USD is the counter currency.
Ä Note: TradingSolutions currently does not support full analysis of foreign pairs. If you are using a pair in which neither currency is the currency your account is in, you should specify My Currency is First. The profits will be listed in the Base (first) currency. The effects of converting to and from this currency to your account currency will not be included.
· Futures
The following settings are required for using data with the Futures market type. These values are all specified by the exchange where the contract is being traded. For common U.S. contracts, these values will default to the values being used as of March 1, 2005.
¨ Minimum Price Movement (Tick)
This setting indicates the minimum amount by which the price can fluctuate, along with the equivalent value for a standard contract.
¨ Initial Margin
This setting indicates the minimum amount of money per contract that must be in the account at the beginning of the trade.
¨ Maintenance Margin
This setting indicates the minimum amount of money per contract that must be in the account after the trade has started. It is typically less than the initial margin, but may be equal to it.
Market Type Settings Considerations
Since the market type and the market type settings are set for each individual data series, settings will typically be uniform for all fields across that data series. However, there are cases in which you may have settings that do not match those of the data series:
· Changing Market Type
Market types were introduced in TradingSolutions v3.1. Prior to this, futures and FOREX data was analyzed as stock data. In order to preserve models developed in previous versions, the market type of existing models is maintained until otherwise specified.
· Changing Market Type Settings
There are times when it may be necessary to change the settings associated with the market type. The most common example is changing the FOREX bid/ask spread when changing brokers. In order to preserve models developed with the old settings, the settings of existing models are maintained until otherwise specified.
· Applying a Trading Solution
If you apply a trading solution to data that has a different market type than that data used to create it, any trading styles used by the trading solution will be associated with the wrong market type. Also, it may be possible that the data in the portfolio used to create the trading solution has different market settings. This is especially common for the FOREX bid/ask spread.
When you change the market type or market type settings of a data series on the Modify Data Series: Trading Settings page, TradingSolutions will offer to recalculate/re-optimize any existing fields to use the new settings. It is important to note that you should not do this if you would like to maintain the current signals or values.
If a field has been created with a market type of market type settings that are different than the associated data, any trading styles associated with the field definition will have an additional checkbox indicating the alternate settings that are being used. Un-checking this checkbox will cause the field to recalculate or re-optimize with the current data settings.
Ä Note: For fields defined for an entire group, this checkbox can be found on the Modify Field Dialog: Overview page.
Similarly, if a field is currently using a trading style associated with a different market type, it will be prefaced with the words "WRONG MARKET" in the trading style selection control.
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