How to set CSV for 10-Year T-Note Futures?

Posted By: TedMar

How to set CSV for 10-Year T-Note Futures? - 09/16/21 10:06

Hi, any one know how set 10-Year T-Note Future specifications in CSV file?

Quote

10 Year Treasury Note (ZN)

Tick SizeOne half of 1/32 of a point ($15.625 per contract) rounded up to the nearest cent per contract; par is on the basis of 100 points

Point Value$1,000

Posted By: AndrewAMD

Re: How to set CSV for 10-Year T-Note Futures? - 09/16/21 13:16

Asset Lists are described here:
https://zorro-project.com/manual/en/account.htm

Convert fractions to decimals as needed. If you don't know the meaning of the quotes in your feed (in relation to par value), you should read up on how bond quotes work, and use that as a basis for your Asset List configuration.

Posted By: TedMar

Re: How to set CSV for 10-Year T-Note Futures? - 09/18/21 14:23

sorry, but i not understand why Zorro write in LOgfile a price with 2 dezimal places only.
csv setup

Code

Name,Price,Spread,RollLong,RollShort,PIP,PIPCost,MarginCost,Leverage,LotAmount,Commission,Symbols,Type
ZN,132,0.015625,0,0,0.015625,15.625,1000,1,1,3.5,ZN

History prices example (gen with CSVfromHistory)

Code

2021-09-15T20:01:00,133.39063,133.39063,133.39063,133.39063,2.00000,2.00000
2021-09-15T20:00:00,133.37500,133.39063,133.37500,133.39063,7.00000,10.00000
2021-09-15T19:59:00,133.39063,133.39063,133.39063,133.39063,1.00000,1.00000
2021-09-15T19:58:00,133.39063,133.39063,133.39063,133.39063,1.00000,1.00000
......

and Zorro (LOGFILE)

Code

Test: Chart ZN_2021 2000..2021

[1: Mon 21-01-04 00:00cf] 137.84/137.88\137.83/137.86 -0.01
[2: Mon 21-01-04 01:00cf] 137.86/137.89\137.86/137.86 -0.01
[3: Mon 21-01-04 02:00c] 137.88/137.92\137.86/137.88 -0.01
[4: Mon 21-01-04 03:00c] 137.88/137.91\137.84/137.91 -0.01
[5: Mon 21-01-04 04:00c] 137.91/138.06\137.88/138.00 -0.01

what's wrong?