S&P 500 Futures Trading Simulator

Simulator.xls: ES E-Mini Futures trading simulator.

    • Simulator mode – Simulates real-time futures trading
    • Replay mode – review entire day in a few minutes
    • Runs on tick data (available for download in sidebar)
    • Configurable time frames.
    • P/L is updated constantly and visible under the Chart.
    • No passwords to view/edit VBA
    • completely free
    • In two minutes from now you can be Sim trading ES S&P futures!

Below are instructions for Simulator.xls:

sim

Instructions:

1. Download Data.xls :
-data.xls from most recent trading day is updated and available each day from the sidebar menu
– Over a year of older data.xls files are located in the archives folders (see sidebar).
2. Download Simulator.xls
3. Save and open both files.
4. You can set the time frame for the charts on the “Settings” sheet. (default is two minutes).
5. Adjust the chart to fit your screen using Excel’s Zoom feature in the toolbar.
6. Click the Start Button on the “Main” worksheet in Simulator.xls.

Buy button – buys the number of contracts you have listed in the setting page
Sell button – sell the number of contracts you have listed in the setting page
Reset button – stops the simulation and resets all Buys Sells and Chart Data
Stop button – stops the Simulation but does not delete the Trades or Chart Data
P/L is updated constantly and visible under the Chart.

Simulator can also be run in “replay” mode. Instead of the “start button Press the “replay” button to replay all tick data with no delay between each tick. In replay mode it is not possible to enter orders unlike simulator mode. Replay displays an entire days data in few few minutes.

replay

Troubleshooting:

If you open but do not save data.xls and there is a previous data.xls in your temp folder data.xls will be renamed data1.xls and the simulator will not work.

You can set the macro security settings so that Excel does not show the macro dialog. To do this, goto TOOLS/MACRO/SECURITY and set the Security Level to low. This will allow the loading of workbooks which contain macros, without any dialog prompting.

In the unlikely event there is an error that causes the workbook to freeze press CTRL+Pause/Break to stop the script.

Like all of my files, simulator.xls works best with windows XP and Office 2003. Windows Vista/office 2007 users may find the Simulator difficult to run due to inherent performance issues with that version of the software. See Benchmark.xls for further information.

FAQ:

What is the Multiplier? (on the setting page)
Futures have their own multiplier and relates the contracts inherent leverage. The multiplier for the S&P500 e-mini is 50. The multiplier for both the Russell 2000 and S&P 400 e-mini’s is 100. Therefore you should not change the multiplier to anything other than 50 when running the simulator to trade the ES. As an example, one tick in the ES in dollar value is (multiplier*tick size) or 50 *.25= $12.50.

What about Slippage?
Slippage can be set on the Settings sheet. The amount you enter will be added to the last price (to approximate a buy price) and subtracted from the Sell price. So if you enter .25 in B7 on the Settings then slippage per round trip is 2*$12.50=25.00 plus commissions. (you can set commission on the setting page).

I downloaded and ran your excel files, but I get an error “Unable to set the Minimum scale property of the axis class.”
Sounds like you are running Excel 97. If so try this Excel 97 compatible version.

What would be involved in plotting a 20 period EMA on a 5-minute candlestick chart in the simulator for ES futures?
This version has a SMA in place.

How can I make other data series appear on the chart?

This version has a new button added on the Settings sheet so that you can easily add a data series to the chart (a code based version of the method described here). After pressing the button you will be prompted to enter the column letter where the data is located.


Change Log

Comments

  1. I'm using the s&p 500 futures simulator and kind find where to get other days data.

  2. ExcelTrader says:

    It's in the right sidebar under "Free ES tick Data"

  3. tradermischa says:

    Can you please tell me: what is the third column in data.xls? Is that integrated volume?

  4. ExcelTrader says:

    cumulative volume at each price change

  5. Hi, I am looking at your tick data for Friday August 27th from 8:30AM CT to 4PM CT and comparing it to data from a different source for the same data and finding that the other source has about 6000 more entries for that time period. Your data has 10228 rows and the other source has 16796. Are some transactions not picked up by your data source?

  6. ExcelTrader says:

    The data source, (IB) is not of the same quality that you are comparing. The data is in snapshot form updated a few times a second and does not always capture every tick. Although the data is fine for my uses it may not be sufficient for your needs.

  7. Thanks for the great simulator. Just a quick question is there away to add a speed factor to speed up/down the playback?

  8. My Son is doing a lot of paper trading to try and be good enough to do it for real and would like to know if there is a place to get data on " 5 minute intraday S&P E-mini data " . Any web site would be good to know

  9. Please how i can update the Data.Xls to become any new 5 min Data?
    Best regards and nice tool !!

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