Q: How to backtesting Micro-Futures

[KingKnecht]

When trading Micro-Futures

1. there is a fixed commission say 0.77€/contract. As I understand it's not possible to have fixed commission with this framework?
2. one tick (0.25) in price is worth 1.25€. Is there a way to simulate this?

Thx

[kernc]

1. there is a fixed commission say 0.77€/contract. As I understand it's not possible to have fixed commission with this framework?

Indeed, duplicate of #113. Something simple adversarial as this might work:

commission = ceil(0.77 / data.Close.mean() * 1e3) / 1e3

2. one tick (0.25) in price is worth 1.25€. Is there a way to simulate this?

I don't quite get it. One tick (1/4) in price is worth 1.25€? So four ticks (4/4) signify a move of 5€? Can you show a sample of your data?

[KingKnecht]

I don't quite get it. One tick (1/4) in price is worth 1.25€? So four ticks (4/4) signify a move of 5€? Can you show a sample of your data?

Exactly.

See here:
CME Group

[KingKnecht]

Here are same trading examples. Red lined example is 2 ticks ( tick size 0.25) which is then 2.50€.

[kernc]

If you get 5€ per every unit of price, seems to me simply multiplying data by 5 should do it.