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Date/Time: Thu, 13 Feb 2025 22:58:16 +0000
[User Discussion] - Modifying FXCM prices to mimic the underlying futures - Possible?
View Count: 719
| [2020-12-23 10:36:07] |
| Calculus - Posts: 103 |
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Does anyone think this would be possible via some programming. I trade the 1min charts, mainly Crude. The trouble is that Crude futures on a 1m chart don't 'look' that good because of the 1 tic minimum movement. In contrast FXCM's 1m crude prices look great in comparison because they quote in 10ths of a tick. It's hard to describe unless you look at the charts. But FXCM's price is different from the underlying futures contract by 2-10 tics. So would it be possible to alter the FXCM prices (via some programming) so their prices would (almost) be the same as the underlying future when looking at the FXCM chart? Any comment as to the potential validity of this concept? Sierra is a powerful program so it could well be possible. Thanks for reading. PS. It's also the same on ES. FXCM's 1m data charts a lot better than the futures contract. |
| [2020-12-23 14:29:52] |
| Graham - Posts: 44 |
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Without knowing what algorithm FXCM are using to price their versions of the underlying it would be very difficult if not impossible to replicate. I remember a few years ago one of the UK spreadbetting firms acknowledged (on a forum I think it was trade2win) that their live pricing had multiple algorithms based on the underlying product, volatility, news, etc. When those get applied and under what conditions only they knew, and if I remember were configurable. So as an example, if there were multiple news related events that would likely affect a market, the parameters would be changed. Date Time Of Last Edit: 2020-12-23 14:32:02
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| [2020-12-23 14:48:47] |
| Calculus - Posts: 103 |
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Thanks G. I get your points re their pricing but what about if you just took the price of their feed (however they priced it) and then added a set number of ticks to the price, say 4 ticks if the FXCM price was a 4 tick premium to futures? Of course that premium (or discount) would change overtime so there would have to be a feature within the programming where I could set the premium/discount if it needed updating. To summarise, take the FXCM price, add/subtract x ticks to make a new price. Then chart that new price. Thanks a lot. |
| [2020-12-23 14:57:17] |
| Graham - Posts: 44 |
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Not sure if it could be done via a custom study in ASCIL, maybe someone with coding experience could answer. The issue I see is knowing when FXCM change their pricing and by what, as per my original post that could be quite fluid. Interesting concept to get it to work though. |
| [2020-12-23 15:12:43] |
| Calculus - Posts: 103 |
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Appreciate your input G. Have a nice xmas! |
| [2020-12-23 15:49:28] |
| User365411 - Posts: 192 |
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I don't know if it's possible via ACSIL, probably yes and it will be great .. but for now try to follow these steps: - open an intraday 1' minute CL future chart - add the "add another symbol" study and choose USoil from fxcm data feed - add the "study subgraphs divide/ratio" and divide CL and USoil (or the inverse) - add a 60 period simple moving average to the "study subgraphs divide/ratio" study (or less then 60, it's only to get an avg result) - write down the Avg result (something like 0.9685.....) then - open another USoil chart - go to chart setting - advanced setting 2 and write that Avg value in Rel-Time pice multiplier and Historical Priece Multiplier fields Now you have, in this new chart, (almost very close ) futures price on the fxcm USoil candlestick (or TPO or other charting method) Repeat at the start of the new trading day the calculation of the ratio and modify again in the "advanced setting 2" fields Date Time Of Last Edit: 2020-12-23 15:59:55
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| [2020-12-23 17:43:40] |
| Calculus - Posts: 103 |
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WOW! Thanks a lot G, that's going to give me something to play around with over the holidays. Have a good one yourself. |
| [2020-12-30 14:23:11] |
| Calculus - Posts: 103 |
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User36 Just wanted to say it worked like a damn charm! Yes, the diff between futures/CFD moves around a touch over the day, but re how the charts look, I've now got 'better looking' CFD charts using the same prices as the futures. I've also used the hack for the ES/FXCM S&P price, pretty damn good there as well. User36 = Sierra Buddha! |
| [2020-12-31 17:37:29] |
| User365411 - Posts: 192 |
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Well, I'm glad that the trick works to you too. Happy New Year. |
| [2021-01-02 17:42:05] |
| Calculus - Posts: 103 |
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For anyone else that trades the 1m charts, check out this hack as I really think it charts the 1m so much better. Especially with Crude and ES. |
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