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Re: HELP NEEDED - $SPX as proxy for SP and ES Futures


  • To: Phil Lane <accumulator@xxxxxxxxxxxxxx>
  • Subject: Re: HELP NEEDED - $SPX as proxy for SP and ES Futures
  • From: "Gary Fritz" <fritz@xxxxxxxx>
  • Date: Sun, 11 Jul 1999 20:23:16 -0700
  • In-reply-to: <199907101924.MAA10616@xxxxxxxxxxxxxx>

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> >There is no way in TS4 (as far as I know) to run a system 
> >on the index and report actual fills on the future.  
> 
> Actually you CAN do this! At least I think you can. Hope I'm not
> missing the point here.. Just use the SPX as data2 and generate
> signals from that. Use the futures for data1, and it will do the
> actual trading on the futures. 

That can work OK if you only enter/exit at the close of the bar.  But 
you can only set stops on Data1.  If you want to enter/exit on stops -
- which you almost certainly will, or the market might tank on you 
between bars -- then your system will have to trigger those stops 
based on the futures prices in Data1.  Which are a lot noisier than 
the SPX prices in Data2.

E.g. I could generate my system signals using SPX in Data2, but if I 
want to enter on stops, I have to set my stops on Data1.  And if 
Data1 is SP, it's going to swing a lot more wildly than SPX, and hit 
the stops when it "shouldn't."  Thta is, it will hit the stops in SP 
when it *wouldn't* have hit the equivalent stops if Data1 was SPX.

What you'd like is an ability to run your system on SPX in Data1, 
including hitting the stops on Data1.  But the actual buys/sells 
should happen on another data series (SP).  If TS4 notified you when 
your market position changed, you could at least print out the 
current price of Data2, and simulate "real" SP fills that way.

I don't know if TS2K has any way to solve this, but I don't think 
it's possible to work around it in TS4.

Gary