|Q:||I use CSI as my primary data vendor. Is there a quick way to set up my Symbol Properties for their Futures data?|
|A:||From the Mechanica Forums under "Data" download the latest importable CSI symbol properties file. From your Symbol Properties screen click Import and navigate there to select the downloaded file. Best efforts have been made to ensure the accuracy of all the provided symbol properties, but as the result of contract specification changes or human error the properties in the provided file may not be correct. It is always a good idea to verify contract specifications and data file properties periodically, since exchanges can and do alter them. |
|Q:||I seem to be missing some symbols that were downloaded from CSI. They don't appear in my tag list.|
|A:||Mechanica only recognizes data file names with 8 or fewer characters to the left of the dot. So it will find ytc20_10.csv but not ytc20_10b.csv. Fortunately CSI has facility to overcome this limitation. It has the ability to run a user's .bat file after distribution is complete. We use this .bat file to rename the 9 character files to Mechanica-legal 8 character names. Check the Mechanica Forums under "Data" to download example file Rename.bat. You'll need to tell UA to run this file after each distribution. To do that, in UA, go to Preferences>>General Program Settings>>Account>>Distribution2>>After Daily Distribution is complete. In the input box type c:\ua\files\Rename.bat. Make sure to put Rename.bat in this path. After your next distribution run (you can run that now manually), check to see that the files have actually been renamed as planned. Click Refresh Symbols for each Mechanica Data Page and all missing symbols should show up in the tag list.|
|Q:||How does forex conversion work, internally?|
|A:||For each instrument with an associated forex conversion file, Mechanica multiplies the point value times the foreign exchange rate value using the CMP record for that date, to arrive at the correct end of day profit/loss, in dollars. |
Here is the internal calculation, when no reciprocal is specified in the “R” field under Edit Symbol Properties (R = N):
POINTVALUE = (1 Pt Move) * (Most Recent Forex value) * DPMult
When the reciprocal is specified (R = Y):
POINTVALUE = (1 Pt Move) * (1 / Most Recent Forex value) * DPMult
|Q:||How about risk and position sizes?|
|A:||Entry day risk is calculated using the previous day’s CMP[n] record, since that is the value used when determining position size.|
If your sig code passes POINTVALUE derived information to your sizing code for use in position sizing, be certain that you employ a one day offset with the POINTVALUE, as shown in the examples above.
|Q:||Where can I obtain historical forex data?|
|A:||A number of data vendors provide forex data, although their histories are often incomplete. As a starting point, check out:|
|Q:||What if my forex data is missing data (due to holidays, for example)?|
|A:||Mechanica automatically aligns the forex dates in the CMP file with the trading dates for the associated symbol. Any missing dates are padded with data from the most recent prior date(s).|
|Q:||The ‘Exit’ column of the Grid says “No Forex.“ What does that mean?|
|A:||This message is displayed if an instrument has been set up for foreign currency conversion, but the CMP[n] file containing foreign currency rates begins at a later date than trades showing in the grid. |
An example of this can be seen when using cash Euro forex data to backtest trading the DAX.
The DAX traded for many years before the Euro was created, and as a result, no trades will appear in the Grid during the time the No Forex message is displayed.
To avoid this in backtesting, use back adjusted Euro futures data, which will often have DMark data in the early years before the Euro was created. This provides Forex conversion data for the early trades in the DAX, and avoids the ‘No Forex’ message.
After the presence of forex data is detected, Mechanica begins calculating indicators, and will not take its first trade until after that process is complete. For example, if the longest look back in your system is 40 days, then the earliest date Mechanica will take a trade, is 40 days after forex data is present.
|Q:||I have quite a few different data tables with all the different tick sizes, store values, etc. Is there an easy way to transfer all these tables to a new computer (other than with the Symbol Properties import export function)?|
|A:||The files that Mechanica uses to hold all data related information resides in \My Documents\Mechanica\DataTables. Simply copy all of these files over to the same directory on the new machine and you will have the mirror image of your Data Pages, Symbol Properties, etc.|
|Q:||Why do I get different results when I process my trades from a batch file vs when I just run them from standalone SIG and SIZ files? I've checked all the data setup variables. |
|A:||This can happen when your batch.SIG file points to a different Data Page than you have checked in your Data Page List in symbol properties.|