Variables for futures and options
Type and expiration date (YYYYMM format) of the selected contract, or 0 when no valid contract was selected.
Current ask, bid, underlying, and strike price, and trade volume or open
interest of the selected contract. 0 when no valid contract was selected,
or when the parameter is not available. In historical
data, ContractAsk or ContractBid can be 0 with
illiquid or worthless contracts; such contracts should not be traded.
ContractVal contains the multiplier retrieved from the broker API in [Trade]
mode. For retrieving the ask and bid prices, the underlying,
and the volume in [Trade] mode, contractPrice must be called before.
The currently selected contract. In [Trade] mode,
(string)ThisContract - the first element of the
CONTRACT struct - contains the trading class retrieved from the broker
The option or future chain for the current bar, asset specific, downloaded by contractUpdate. A list of CONTRACT structs of the size NumContracts.
The number of contracts in the chain, 0...10000.
The row number of the selected contract in the historical .t8
dataset in Test and Train mode, and in the options chain
in Trade mode. Can be used to retrieve further data belonging
to the contract from additional datasets in the backtest.
int, read/only, asset specific.
Number of underlying units per option / future contract, for calculating the trade volume, selecting a contract, and filtering the options chain (default 0 = download all options). Asset specific; set it after selecting the asset and before buying contracts.
Combination of flags that determine which option or futures prices in historical data or live
data are given in cents instead of dollars (default 0 = all
prices in dollars). Prices are then automatically converted to dollars when
loading history or retrieving data from the broker API. Centage
flags can be combined by adding them up. Asset specific; to be set after selecting the
asset and before buying contracts.
1 - strike in cents, in live contract data
- strike in cents, in contract history
4 - underlying in
cents, in live contract data
8 - underlying in cents, in
16 - ask/bid in cents, in live contract
- ask/bid in cents, in contract history
64 - underlying
prices and spreads in cents, in live and historical price data (similar to
HedgeRatio = 0.01).
Example: Centage = 59
(= 32+16+8+2+1) for ask/bid always in cents, underlying history in cents but
live in dollars, and strike always in cents.
int, asset specific
The exchange for the contracts. Automatically set up when a contract chain is
loaded from the broker; otherwise set it up manually through this variable.
string, asset specific.
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