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<SPAN
class=281385910-14122003>Yuki,
<SPAN
class=375131306-12122003>
<FONT
color=#ff0000>S&P 500 Futures Contract
Specifications
$250 times the Standard & Poor's 500 Stock
Price Index
Cash Settled
1 point = .01 index points = $2.50
Months Trade, H (March), M (June), U
(September), Z (December)
Last Day of Trading Rule: The business day
immediately preceding the day of determination of the Final Settlement Price
(normally, the Thursday prior to the 3rd Friday of the contract month).
New Contract Listing Rule: The day
after the front month expires.
Product Codes: Clearing=SP Ticker=SP
Limits (Floor): Price Limits corresponding to a
5.0%, 10.0% and 20.0% decline below the Settlement Price of the preceding RTH
session.
Limits (GLOBEX): Price limit corresponding to a 5%
INCREASE or DECREASE from the Reference RTH price. If the market is limit bid
two minutes prior to the opening of RTH, the 5% limit above the reference RTH
price shall be removed.
Fluctuations: 0.10 = $25.00
NASDAQ 100
Futures Contract Specifications
$100 times the Nasdaq-100 Index®
Cash Settled
.01 per index point = $1.00 per contract
Months Trade, H (march), M (june), U
(sept.), Z(dec.)
Last Day of Trading Rule: The business day
immediately preceding the day of determination of the Final Settlement Price
(normally, the Thursday prior to the 3rd Friday of the contract month).
New Contract Listing Rule: The day after
the front month expires.
Product Codes: Clearing=ND Ticker=ND
Limits (Floor): Price Limits corresponding to a
5.0%, 10.0% and 20.0% decline below the Settlement Price of the preceding RTH
session.
Limits (GLOBEX): Price limit corresponding to a 5%
INCREASE or DECREASE from the Reference RTH price. If the market is limit bid
two minutes prior to the opening of RTH, the 5% limit above the reference RTH
price shall be removed.
Fluctuations: 0.50 = $50.00, Calendar Spread 0.05
= $5.00
E-MINI S&P
500 Contract Specifications
$50 times the Standard & Poor's 500 Stock
Index
Cash Settled
1 point = .01 index points =$.50
Months Trade, H (march), M (june), U
(sept.), Z(dec.)
Last Day of Trading Rule: The business day
of determination of the Final Settlement Price (normally, the 3rd Friday of
the contract month).
New Contract Listing Rule: The day the
front month expires.
Special Notes: Trades on GLOBEX2 Only
Product Codes: Clearing=ES Ticker=ES
Limits: Price limit corresponding to a 5% INCREASE
or DECREASE from the Reference RTH price. If the market is limit bid two
minutes prior to the opening of RTH, the 5% limit above the reference RTH
price shall be removed.
Fluctuations: 0.25 = $12.50, Calendar Spread 0.1 -
$5.00 <FONT
color=#ff0000>E-MINI NASDAQ 100 Contract Specifications
$20 times the Nasdaq-100 Index
Cash Settled
.01 index points =$.20
Months Trade, H (march), M (june), U
(sept.), Z(dec.)
Last Day of Trading Rule: The business day
of determination of the Final Settlement Price (normally, the 3rd Friday of
the contract month).
New Contract Listing Rule: The day after
the front month expires.
Special Notes: Trades on GLOBEX2 Only
Product Codes: Clearing=NQ Ticker=NQ
Limits: Price limit corresponding to a 5% INCREASE
or DECREASE from the Reference RTH price. If the market is limit bid two
minutes prior to the opening of RTH, the 5% limit above the reference RTH
price shall be removed.
Fluctuations: 0.50 = $10.00, Calendar Spread 0.25
- $5.00
Mr
Valley
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
<SPAN
class=375131306-12122003>-----Original
Message-----From: Yuki Taga
[mailto:yukitaga@xxxxxxxxxxxxx]Sent: Sunday, December 14, 2003 1:43
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
futures mode
I am interested in pitting my wits against the S&P 500
futures, atleast from an academic standpoint. Can anyone tell me
what realisticnumbers I should use in the 'Futures' section of
'Symbol-Information'for ^GSPC, and what numbers I should watch out for in
the backtester?YukiSend
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