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Custom (or user-defined) Instruments
Also See: Tutorials: Pairs Trading: Creating Spreads
Investor/RT allows the user to create instruments which reflect some arithmetic combination of other instruments. The feature is useful for tracking spreads and straddles in the futures or options markets, or for tracking industry group performance, or simulating the value of a mutual fund.
Investor/RT allows the user to setup user-defined instruments which are defined as:
The weighted sum of one or more instruments, called the component instruments.
The weighted difference between any two component instruments.
The weighted ratio of any two component instruments.
The components of a user-defined instrument may themselves be user-defined instruments.
Therefore, arbitrarily complex calculations are possible.
For continuous feed users, each user-defined instrument is recalculated each time any of
the underlying components of that instruments changes price. User defined instruments are
also recalculated automatically whenever quotes on the underlying components are
downloaded from Dial/Data. Values are calculated for open, high, low, last, bid, and ask.
Volume for user-defined instruments is a count of the number of times the indicator has
been recalculated during the trading session.
User-defined instruments have all of the properties of Investor/RT instruments: they may
appear in quote pages, charts (any timeframe), quick quotes, ticker tapes, trading notes,
etc.
When defining spreads where the strategy is to either sell both or buy both legs of the
spread, define the spread custom instrument using the "sum" type.
When defining a spread where the strategy is to buy one instrument and sell another, setup
the user-defined instrument for the spread as a "difference" type where the buy
side leg is the first component and the sell side component is the second. When
calculating the bid/ask of the difference type spread, Investor/RT assumes the buy side
leg is the first component.
To create user-defined instruments, choose Setup:Custom Instrument. Makeup a ticker symbol
for the custom instrument. Do not use a ticker symbol that might be confused with ticker
symbols arriving on your data feed. Ticker symbols may be up to 24 characters in length.
Specify whether the custom instrument is a sum, a difference, or a ratio. Choose the
components from the instrument selector. Double-clicking adds the component to the
component list on the right using the multiplier currently in the multiplier box, usually
1. To change a multiplier after adding a component, remove the element from the right hand
list by double-clicking, change the multiplier and add it back again. Difference and ratio
custom instruments may have only two components. The sum type may have two or more. When
the specification is complete, press "Save" to store the definition in the
database. If you wish to track the custom instrument intra-day, use the Setup:Ticker
Symbols window to mark the newly defined instrument for intra-day data collection.
Investor/RT now has the ability to derive historical data of any periodicity for a custom instrument using the historical data of the components of the custom instrument. Custom Instrument data generation is accomplished in a chart window by clicking the data download button in the lower right corner of the chart window. Investor/RT will notice if the instrument in the chart is a custom instrument and will derive historical data for the chart’s periodicity and viewing period. If automatic data downloading is turned on, simply inserting a custom instrument into the chart will cause data to be generated for the custom instrument. Similarly, you may use the Data Download window, accessible from the main toolbar, to request data generation for a particular custom instrument. First specify “Historical Data” as the download type and select the periodicity and starting date. Use the “One Instrument” box to specify the custom instrument. Note that data is generated for the custom instrument using the data currently on file for each component instrument. The data download window can also be used to generate data for a list of custom instruments in a quote page. This feature only applies to quote pages that consist entirely of custom instrument tickers. The built-in system defined quote page, “.Custom Instruments”, is one such quote page. You may create user-defined quote pages listing any number of custom instruments and reference such pages from the data download window to generate historical data for the entire list.
Investor/RT uses precise date/time synchronization during the data generation process so that the “price” of each component is determined for each bar, even when the time series of each component do not completely overlap or when there are gaps in the time series of one or more of the components. The generated historical data will begin with the first date/time that all component instruments have in common for the desired periodicity. Generation will proceed forward in time to the current time based on the periodicity specified. The “session” of the custom instrument is used to determine the time span of each day’s trading when producing historical bars.
The data produced by this process is a time series of prices. For daily charting, the resulting instrument data is best views as a line or connected line since there is no open, high, low to use for drawing bars or candlesticks. When generating intra-day data, we recommend using one minute periodicity in the data download window so that the output time series will have a value for each minute. When viewing this data is one minute charts, view it as a line. Higher periodicities, e.g. five minute can be viewed as bars or candles since Investor/RT produces open,high,low,last five minute bars from the one minute
data.
The Custom Instrument Setup window has been enhanced to facilitate automatic generation of historical data when you define or modify the definition of any custom instrument. If the box titled “Generate historical data on save” is checked when you save the custom instrument definition, Investor/RT will generate both daily and intra-day data using the historical data then on file for the underlying components of the custom instruments (see item #2 above).
A “Save and Close” button has been added to the the window. This button has the combined effect of saving the custom instrument definition, generating historical data if requested, and closing the setup window.
A View Chart button has been added to facilitate viewing a chart of the custom instrument currently being setup. For example, you could define a new custom instrument, click Save to save it and generate historical data, then click View Chart to see a chart, revise the definition, save again, view the revised chart, etc.
The instrument selector has some features that may be of interest when working in the Custom Instrument Setup window. If you right-click on the ticker or name column title in the instrument selector, a popup menu appears for changing the list of tickers in the selector. You can, for example, choose “.Custom Instruments” and the instrument selector will list all of (just) your custom instruments. If you double-click on any custom instrument ticker in the instrument select, the definition of that custom instrument will be displayed in the setup window. Double-clicking on an custom instrument is equivalent to single-clicking to select a custom instrument and then clicking the “Select” button. Thus you can double-click on any custom instrument and then click view chart to see both the definition and chart window.
Finally, a new button titled “View Summary” has been added to the bottom of the custom instrument setup window. Clicking this button opens a text window showing the formulas for all of the custom instruments defined to Investor/RT. Here is a sample of what the text window looks like:
Custom Instrument: Testing 456, Session 6
TEST456 = 5.41522 MSFT+ 0.577433 CA+ 7.33491 CSCO+ 0.331131 NTAP+ 0.48169
---------
Custom Instrument: My Index, Session 6 MYINDEX = ADBE+CA+COMPX+CSCO+IBM+IP+JNPR+MSFT+NEWP+NTAP+ORCL+QQQ+SBUX+T+VNO
----------
Custom Instrument: Ratio plus a constant, Session 6
CAIBM = 4 CA+IBM+ 15.5 +INDU(lo)
----------
Custom Instrument: Focus Stock Index, Session 6
$FOCUS = ADBE+CSCO+ORCL+QQQ+IBM+T+CA+MSFT+SBUX+VNO+JNPR+NTAP
----------
Note that multipliers of 1.0 are implied when the multiplier is not shown. A number followed by a ticker means that number times the price of that ticker. The close price is implied if the ticker is not followed by a price indicator, i.e. INDU means the last price of INDU while
INDU(lo) means the low price of INDU. When the price indicator is 1.0, the multiplier becomes a constant so its value is listed in the formula without a ticker. See the third example above.
A checkbox has been added to the Custom Instrument Setup window for marking
custom instruments for intra-day data monitoring and data retention.
Formerly, this option had to be adjusted in a less convenient manner using
the Setup: Instruments window.
When setting up custom instruments there is a new checkbox option titled
"Monitor Only When Session is Open". Check this box if you wish
updating of the custom instrument to end when the session closes. When this
box is unchecked, any pricing change in any of the component instruments of
the custom instrument will cause the value of the custom instrument to be
updated.