Hi there,

I am trying to understand how you would set PIP, PIPCost, Lots, Margin, Multiplier, etc for futures contract in order to get valid backtest results and performance metrics. I am a bit confused and looking for help.

If I take the CME Euro Fx futures contract as an example, 6E (https://www.cmegroup.com/markets/fx/g10/euro-fx.contractSpecs.html):

Contract size is 125,000 Euros:
PIP = 0.00005
PIPCost = 6.25
LotAmount: 1 since you can only trade multiples of one contract
Lots: multiples of one contract - trade size
Margin: whatever your broker margin is
Multiplier: is this 125,000?

Is my understanding correct, or is it all missed up

Appreciate your help.

I was confusing Margin and MarginCost.

I am using data from 2010 to 2022. However, I found out that the PIP size was 0.0001 up until Jan 9th, 2016, and it was reduced to 0.00005 onwards. Is it reasonable to inspect the date per ar, and change PIP after that date? what is the best way to deal with changing the PIP size in historical data so that the performance metrics are accurate?

Thanks

Just stick with the smaller pip size because it supports larger pips.

I see. Thanks.