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software for backtesting/sim of size Pro Rata?
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software for backtesting/sim of size Pro Rata?

  #1 (permalink)
Trading Apprentice
Cookeville, TN
Trading Experience: Advanced
Platform: R|Trader, Thinkorswim
Favorite Futures: CL, RB, 6E, ZB, DX
Posts: 47 since Oct 2011
Thanks: 10 given, 16 received

software for backtesting/sim of size Pro Rata?

I'm looking into backtesting and live sim/paper trading of STIR fut spreads, specifically LIFFE Euribor, Sterling and Euroswiss...and also CME Eurodollars. Given the matching algorithm for all of these markets is size Pro Rata AFAIK, most trading platforms that even support the LIFFE instruments don't have a provision for sPR, just FIFO. Checked with CTS, Rithmic, Sierra...nada.

Looks like TT's software supports it for backtest & sim though. Anyone here have experience with TT or other platform in this context and care to comment?

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Trading Experience: Intermediate
Platform: Sierra Qtrader
Broker/Data: Amp and Optimus and CQG
Favorite Futures: Mainly NG and GC, Futures option selling. Spread researcher currently
Posts: 491 since May 2013
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May I ask why LiFFE euribor spreads? Profile says CL,RB so just wondering what made u take this path? I use Qtrader and no ICE feed so canít test + backtesting needs the more expensive CQG integrated client with that module

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  #4 (permalink)
Trading Apprentice
Cookeville, TN
Trading Experience: Advanced
Platform: R|Trader, Thinkorswim
Favorite Futures: CL, RB, 6E, ZB, DX
Posts: 47 since Oct 2011
Thanks: 10 given, 16 received

We'll say for portfolio diversification I used to trade them years ago, but yea, CL RB etc are preferable.

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  #5 (permalink)
Elite Member
San Diego, CA
Trading Experience: Intermediate
Platform: TT Pro
Broker/Data: Advantage
Favorite Futures: Gasoil, heatoil, crude
baywolf's Avatar
Posts: 54 since Sep 2009
Thanks: 26 given, 30 received

I don't know of any COTS based solution. But unless you are overfilling to capture a portion of pro-rata matching, I think you can assume you only get filled when the price level clears. For Eurodollars I also believe the non spread LOB orders fill first, vs the implied spread orders. So using an auto-spreader if you plan to work a pro-rata based spread is kind of important. The exchange traded spread would likely be best for trades where you need immediate execution.

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