Variables for futures and options

The following variables are valid after loading a contract chain and selecting a contract.

ContractType

ContractExpiry

Type and expiration date (YYYYMMDD format) of the selected contract, or 0 when no valid contract was selected.

Type:

int, read/only

ContractAsk

ContractBid

ContractUnl

ContractStrike

ContractVol

ContractVal

Current ask, bid, underlying, and strike price, and trade volume or open interest of the selected contract. 0 when no contract chain was loaded, or no valid contract was selected, or when the parameter is not or not yet available in the selected contract. In historical data, ContractAsk or ContractBid can be 0 with illiquid or worthless contracts; such contracts should not be traded. ContractVal includes 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.

Type:

var, read/only

ThisContract

The currently selected contract by the last contract call. In [Trade] mode, (string)ThisContract - the first element of the CONTRACT struct - contains the trading class retrieved from the broker API.

Contracts

The current option or future chain loaded by the last contractUpdate call. A list of CONTRACT structs of the size NumContracts.

Type:

CONTRACT*

NumContracts

The number of contracts in the chain, up to 20000, or 0 when no chain was loaded..

ContractRow

The row number of the selected contract in the historical .t8 dataset  that holds the contract chain history of the current asset in Test and Train mode; the row number of the selected contract in the options chain (Contracts pointer) in Trade mode. Can be used to retrieve further data belonging to the contract from additional datasets.

ContractHandle

The handle of the historical .t8 dataset that holds the contract chain history of the current asset in Test and Train mode. Can be set to a specific dataset before calling contractUpdate; otherwise it is automatically set.

Type:

int, asset specific.

 

The following variables are used to set up asset specific contract parameters:

Multiplier

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. If at 0, contractUpdate will in [Trade] mode automatically set this variable to the multiplier of the first contract when available via broker API.

Centage

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
2 -  strike in cents, in contract history
4 -  underlying in cents, in live contract data
8 -  underlying in cents, in contract history
16 - ask/bid in cents, in live contract data
32 - 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.

Type:

int, asset specific

ExpiryTime

The hour in HHMM format at which contracts expire; default 1200 (UTC). Used for contractDays. The contract will at that time on its expiration day be removed from the open trade list, and its profit or loss will be booked to the account. Set this to a higher value for checking contract expiration with the contractCheck function in live trading. Note that some exchanges have restrictions to trading or exercising contracts at their expiration day.

Type:

DATE, global for all assets

Exchange

The exchange for the contracts in live trading. Automatically set up when a contract chain is loaded from the broker; otherwise set the exchange symbol manually through this variable. The list of valid exchange symbols can be obtained from the broker website.

Type:

string, asset specific.
 

Remarks:

Examples: see Options and Futures

See also:

enterLong/Short, Contract, Combo

 

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