Cross Order Instrument Map: Supported Futures and Tiers

This is the full list of the 36 futures families that Cross Order supports out of the box starting with Replikanto 1.7.0.0, and which instruments a follower can cross into for each one. For how the three-state Cross Order square works, see Cross Order Now Has Three Instrument Tiers (1.7.0.0). For step-by-step setup, see How to use Cross Order between Mini, Micro and Nano.

How to use this reference

• Every symbol in a row can cross into every other symbol in the same row. For example, with ES as the tab's instrument a follower can trade MES or NES; with MES, it can trade ES or NES; with NES, it can trade ES or MES. Cross Order never crosses between two different rows.
• 12 families have three tiers and 24 have two (36 in total, up from 26 before 1.7.0.0).
• The tier columns are positions, not sizes. The first, second and third positions are called mini, micro and nano (the same names used in the instrument file), but the third position is not always the smallest contract. In Crude Oil and Natural Gas the third position is the E-mini (QM, QG), and in Soybeans, Corn and Wheat the second position is the mini contract (XK, XC, XW) and the third is the micro (MZS, MZC, MZW).
• The follower trades the same contract month as the tab's instrument. Tiers that list fewer contract months (such as 1OZ, SIC, FDXS and FSXE) may not be available in every month.
• A tier that NinjaTrader can't find is left out. If your connection doesn't list one of the symbols in NinjaTrader's Instrument Manager, the Cross Order square simply skips it, and a three-tier family behaves like a two-tier one.
• Same price increments? When the two instruments price in different increments, Replikanto rounds the copied order's price to a valid price on the follower's instrument, so the broker doesn't reject it. Buy prices are rounded down and sell prices up, so a follower's limit order is never more aggressive than the leader's (it may not fill where the leader's filled), and a follower's stop sits at or closer to the market than the leader's. Each adjustment is written to the Log tab as [Copier] Rounded a cross-tier follower price onto the destination instrument's tick grid.

1 = the tab's instrument (ES). 2 = Sim102 has Cross Order off (grey square), so it trades the tab's own ES. 3 = Sim103 trades MES. 4 = Sim104 trades NES.

Instrument map

E-nano contracts

The third tier of the S&P 500, Nasdaq-100, Dow and Russell 2000 families is CME's E-nano contract: NES, NNQ, NDOW and N2K. Replikanto can cross into them where your data provider lists them in NinjaTrader's Instrument Manager. If an E-nano symbol isn't available on your connection, that family behaves as mini/micro only, and the Log tab may show No cross order instrument is mapped for this instrument, so Cross Order followers will be skipped. instrument='NES' (with that symbol); only that one tier is left out.

Legacy pairs

Four families in the map (ICD/MICD, IJY/MIJY, ISF/MISF, and NF/MNF) use older naming that doesn't match a current CME product name. If you already have one of these set up, it will keep working — just be aware the symbols are legacy naming rather than a currently confirmed CME listing.

A note on new and thin markets

A number of the newer tiers (MZC, MZS, MZW, MZM, MZL, PLM, PAM, QM, QG, VXM) are real, tradable instruments, but they can have noticeably less liquidity than their standard-size counterpart. Crossing into them works normally — Replikanto will simply warn if the instrument can't be resolved — but whether a thinner market is the right choice for your trading is worth considering before turning Cross Order on for one of these.

Using your own instrument file?

If the file Documents\NinjaTrader 8\bin\Custom\ReplikantoCrossOrderRelationship.json exists on your computer, Replikanto uses only that file and ignores this map completely. Replikanto never overwrites that file when it updates, so any copy from before 1.7.0.0 — customized or not — still holds the old 26-family map with no nano tiers. If this map already covers what you need, delete the file; otherwise replace it with the 1.7.0.0 file and re-add your changes. See How to customize the Cross Order instrument map? for the file format and the full steps.

After changing the tab's instrument

When you change the tab's instrument with Cross Order on for the tab, each follower that has a Cross Order target keeps the same tier in the new instrument's row. For example, a follower set to MES on an ES tab trades MNQ when the tab moves to NQ. The Log tab shows the Information line Cross Order target carried over to the new leader instrument at the same size tier.

The same followers after the tab moved to NQ. 1 = the new tab instrument (NQ). 2 = Sim103, set to MES, now trades MNQ. 3 = Sim104, set to NES, now trades NNQ.

If the new instrument has no equivalent at that tier, Replikanto turns that follower Off instead of letting it trade the tab's own, possibly much larger, instrument. For example, a nano target such as NES has no equivalent when the tab moves to CL or NG, because the third tier of Crude Oil and Natural Gas is a larger E-mini (QM, QG), not a nano. The Log tab then shows a Warning that starts Turned the follower account Off because its Cross Order target has no equivalent on the new leader instrument and says "Pick a Cross Order target for it, or turn Cross Order off for it, and check it again." So before you turn that follower back on, choose a Cross Order target for it, or turn Cross Order off for it.

After the tab moved to CL. 1 = the new tab instrument (CL). 2 = Sim103 now trades MCL. 3 = Sim104, set to NES, has no equivalent in the Crude Oil row, so Replikanto turned it Off.

The chosen target is kept: moving the tab back to the target's family restores it. A follower that was turned Off stays Off until you check it again. The same check runs when you load followers with Import... in the follower grid menu and when you turn Cross Order on for the tab; there the Warning says no equivalent on the leader instrument instead of on the new leader instrument. A follower whose connection was down when the tab's instrument changed is turned Off too, and comes back Off when it reconnects.

The Cross Order column shows, next to the colored square, the instrument that follower will trade; click the square until it shows the instrument you want, or until it shows the tab's own instrument (grey square) if that follower should trade the tab's own instrument.