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----- Original Message -----
From: vandal <lazar223@xxxxxxxxxxx>
To: James F. Mazzulla <tagteam@xxxxxxxxxxxxx>
Cc: <chrisbak@xxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Sunday, June 20, 1999 12:41 PM
Subject: Re: Mini modifications
> Thanks for the clarifications on the new E-Mini Nasdaq. This is very
helpful.
> Could you also provide the correct settings for the E-Mini S&P. This will
be
> most appreciated.
>
> Vandal
You can do it yourself very easily and probably more accurately then Omega.
You can also read any additional information the CME provides about the
E-Mini S&P 500. First go to CME Contract Specs.
http://www.cme.com/clearing/spex/cscover.htm
then Click on Equity Indices.
Look up the contract your interested, in this case ES, and you will find the
Month's the contract trades. This corresponds directly to the Month's in
the Symbol Universe.
The CME lists a "Minimum Fluctuation in Price" for all contracts. This
provides the Symbol Universe's "Price Scale" (1/10, 1/100, etc.) and the
Symbol Universe's "Minimum Movement". For example if the CME's "Minimum
Fluctuation in Price" is .05, then the Symbol Universe's "Price Scale" is
1/100 and the "Minimum Movement" is 5. Therefore the Symbol Universe's
Price Scale times the Minimum Movement should equal the CME's "Minimum
Fluctuation in Price".
The Symbol Universe's "Big Point Value" is provided in the CME's Commodity
Size (50 in the case of ES).
You can enter the contracts Daily Limit if you want, I just use 1000.
For the Symbol Universe's "Collect Daily Quotes", I usually use something
like 30 minutes and 30 minutes for the most important contracts I follow and
perhaps 60 minutes and 60 minutes for the less important ones. Omega
usually provides very small time limits, but if you happened to take your
computer down in that period, the Symbol Universe may not collect Daily
Values.
The CME provides the session times for the Rth (Day) session. Omega's
"Session 1" times are used to specify the times to collect Daily values,
therefore for ES that would be 8:30am to 3:15pm. All Session times are in
the local exchange times.
One important thing to note in the contract specs is to note for which
months a Futures Contract or Futures Option settles in cash and when it
settles in a Future contract. This is especially the case for Futures
Options where someone might let a contract expire in the money thinking it
settles in cash and then later find they are long or short a contract.
All the futures exchanges provide similar contract specs to the CME.
However I have found Omega often has errors in their Symbol Universe where
the Symbol Universe doesn't have the correct Contract information. As
Mark Brown as posted about several times, sometimes I wonder who at Omega
maintains their Symbol Universe. The TS 2000 Symbol Universe may be even
worse than for TS 4.
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