Reply To: Help with testing a strategy: going from idea to script.

Optuma Forums Optuma Scripting Help with testing a strategy: going from idea to script. Reply To: Help with testing a strategy: going from idea to script.

#61733
AvatarFrancesco
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PS: there has been research done on whether futures lead spot in fx prices, of which I only saw these two fairly recent studies:

https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr262.pdf
file:///C:/Users/tetra/Downloads/Do%20Futures%20Lead%20Price%20Discovery%20in%20Electronic%20Foreign%20Exchange%20Markets.pdf

What the market tool from CME shows is that the same currency pair in futures and spot can have more or less beneficial spreads (top of the book)
therefore it may sometimes be better to trade spot for a futures trader, and vice versa. The size of the futures fx market is tiny in comparison to the spot fx one
but the latter is decentralised and if one could not trade straight from futures it could be worth taking a look at testing this idea of volume and levels on the futures side – and then basing trading decisions on those findings when trading spot.

Take care
F

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