Is anyone familiar with how to setup futures trading with IB? I first tried to setup E-mini S&P futures. I did figure the symbol out. When using the Download script to update the assets file I get this.

Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbol
ES,3222.00,0.250000,0.0000,0.0000,0.01000,0.010000,0,2.000,1.00,0.000,ES-FUT-20200918-ES-GLOBEX

Bear with me, I am new to Futures....

From Barcharts.com for ES (S&P E-mini)
https://www.barchart.com/futures/quotes/ESU20/overview
Point Value $50
Tick Size 0.25 points ($12.50 per contract)
Contract Size $50 times Index
Point Value $50
Margin/Maintenance $13,200/12,000


When backtesting the equity is tracking the asset value. Not $12.50 per contract/0.25 value tick. Does the Download script now work for Futures on IB? Any suggestions on how to properly configure the assets file?

Hi there, did you figure this out? I'm trying to setup and backtest ES futuers for the first time as well and not sure how to do it correctly.

Thanks

You need to configure the asset list per the contract specifications:
https://zorro-project.com/manual/en/account.htm
https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.contractSpecs.html

Assuming this is a USD account, PIP should be 0.25, PIPCost should be 12.50, leverage should be zero, and MarginCost should be the maximum of initial and maintenance margin (per your broker). (Or configure MarginCost or Leverage conservatively.)

...And you would need to handle rollovers - both when backtesting and in Live.