OsEngine Tester. Composite Futures. Setting Non-Trading Periods.

OsEngine Tester. Composite Futures. Setting Non-Trading Periods.

For tests on the futures market of MOEX, the so-called "Composite Futures" are often used, which brings about a number of issues. Some users have requested the functionality to set non-trading periods, so that part of the chart is not traded at all. Let's discuss this functionality.

1. The Problem with Composites.

When trading in the tester at the boundaries of the composite, you may receive incorrect testing results. A quick search will reveal a great image explaining this phenomenon. A picture is worth a thousand words:

Therefore, many algorithmic traders block entries into positions several days before the actual composite. We have automated this process.

 

2. How to Set Non-Trading Periods for the Tester.

Open the exchange emulator in the tester:

Currently, we have the composite future Si selected, which we downloaded from Finam for 2023.

Open the "Order Settings" window. Here, we will be interested in the table titled "Non-Trading Periods":

Next, we search for the expiration schedule for the Si futures for 2023:

1. SIH – March 16, 2023

2. SIM – June 15, 2023

3. SIU – September 21, 2023

4. SIZ – December 21, 2023

Set up the table of non-trading periods to prohibit trading 10 days before expiration and for one day thereafter. It looks like this:

3. Let's See How It Works.

Now, during the configured periods, entries into trades are not made:

Good luck with your algorithms!

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