Creating a Continuous Spot File (for Interactive Brokers)

Author: Optuma Team Last updated: Sep 13, 2022 14:01

Overview

Optuma is compatible with data supplied via Interactive Brokers. By default, the IB data feed does not include a continuous “Spot” file for futures or commodities contracts. For longer term analysis this can be problematic. There is, however, a solution available. Optuma allows you to manually add codes into various exchanges using Interactive Brokers as the source. This article will take you through the procedure of creating a custom Spot code for the SFE SPI200 and how to maintain it as each contract expires.

Requirements

  • You must have already setup the Sydney Futures Exchange to source data from Interactive Brokers. For information on how this is done, click here.
  • You must be online.

Step 1 - Creating the Spot Code

  1. Open Optuma.
  2. Press F3 on your keyboard. The Data File Selector window will display.
  3. Go to the Sydney Futures Exchange Folder and expand down to the SPI 200 Continuous Folder.

  4. Right-click on the Files window on the right-hand side, and in the menu displayed select Add Code.

    Creating a Continuous Spot File 1

  5. The Add Custom Code window will open.

    Creating a Continuous Spot File 2

  6. Set the Code as SPISpot.
  7. Set the Name as SPI 200 Cont File.
  8. Set the Market to (SNFE) Sydney Futures Exchange
  9. Set the Symbol as the current SPI 200 Contract (SPIU15, for example, is the SPI 200 September Contract for 2015).
  10. Set the Sec Type to Future
  11. Set the Multiplier to 25
  12. Set the Currency as AUD.
  13. Set the Decimal Places to 0.00.
  14. Click the OK button.
  15. You will be taken back to the Data File Selector with the newly created code now displayed in the list. Double-click it to open a 1 Day chart for this code.

Step 2 - Maintaining the Spot File

For the SPI 200 Spot file, the source code will need to be updated once every 3 months as the contracts expire. To do this:

  1. Open Optuma.
  2. Press F3 on your keyboard. The Data File Selector window will display.
  3. Go to the Sydney Futures Exchange folder, and locate the custom code SPISpot.

  4. Right-click on the code and select Edit Code option in the menu displayed.

    Creating a Continuous Spot File 3

  5. The Add Custom Code window will open.

  6. Locate the Symbol field and replace the old contract code, with the new contact code (SPIU11 with SPIZ11 for example).

    Creating a Continuous Spot File 4

  7. Click the OK button.

Once this has been done, the next time you open the chart, the latest data will be sourced from the new contract.

Comments

Below are the IB Symbols and the main contracts for the SFE SPI 200 for 2022:

  • March 2022 SPIH22
  • June 2022 SPIM22
  • September 2022 SPIU22
  • December 2022 SPIZ22