Futures Position Sizer

Futures Position Sizer

Overview

Shapiro pipeline step 4: convert a direction, entry price, and stop-loss into a contract count, given an account risk budget and a verified contract spec (multiplier, tick size, tick value). This is a NEW, separate skill from position-sizer -- futures contracts are leveraged, multiplier-based instruments with wildly different dollar-per-point values (a $0.25 move is $12.50 on ES but $5.00 on NQ and $31.25 on ZB); reusing the equity share-count sizer for futures would silently produce wrong position sizes.

Two ways to size a trade:

• Mode A (explicit): supply --symbol --direction --entry --stop directly.
• Mode B (gate handoff): supply --gate-json <contrarian-setup-gate report> --entry. Direction and stop (the gate's invalidation_level) come from the gate's READY_FOR_PLAN report -- the sizer never sizes a setup the gate has not confirmed as READY, and never accepts an explicit --direction/--stop alongside --gate-json (the gate is authoritative when provided).

--entry is ALWAYS required, in both modes -- neither this skill nor the gate ever derives an entry price; the operator supplies it.

When to Use

• After contrarian-setup-gate reaches READY_FOR_PLAN and you need a contract count for the confirmed direction and stop
• User asks "how many ES/NQ/GC/CL/... contracts should I trade?"
• User has a futures trade idea with a known entry and stop and wants risk-based sizing
• User wants to check the verified contract spec (multiplier/tick size/tick value) for a symbol before sizing (--list-specs)

Prerequisites

• Python 3.9+, standard library only -- no API keys, fully offline
• A direction, entry, and stop (mode A), or a contrarian-setup-gate JSON report with setup_status: READY_FOR_PLAN (mode B)
• For a symbol outside the verified 23-market core table: its multiplier, tick size, and quote currency (all three, together)

Workflow

Step 1: Size the Position

Mode A -- explicit:

python3 skills/futures-position-sizer/scripts/futures_position_sizer.py \
  --symbol ES --direction LONG --entry 5000.25 --stop 4980.00 \
  --account-size 100000 --risk-pct 1.0 \
  --output-dir reports/ --format both

Mode B -- gate handoff:

python3 skills/futures-position-sizer/scripts/futures_position_sizer.py \
  --gate-json reports/contrarian_setup_gate_B6_2026-07-15.json \
  --entry 1.3400 \
  --account-size 100000 --risk-pct 1.0 \
  --output-dir reports/ --format both

--symbol may be omitted in mode B -- it is taken from the gate report. If both are given, they must match (gate_symbol_mismatch otherwise). --direction/--stop are rejected alongside --gate-json (usage error, exit 2) -- pass one mode or the other, never both.

Step 2: Read the Result

A NO_TRADE result from risk_below_one_contract still reports the full risk math (risk per contract, risk budget, stop distance) -- the account simply cannot afford one contract at this risk percentage and stop distance; widen the stop, increase risk %, or skip the trade.

Step 3: Check Warnings

warnings (top-level list) never blocks sizing -- it flags audit-worthy conditions: risk_pct_above_2 (risk above the 2% guideline), off_tick_grid_entry/off_tick_grid_stop (a non-bond symbol's price is not exactly on the tick grid -- legitimate for a mid-quote, but worth a second look).

Step 4: Inspect the Verified Contract Spec Table

python3 skills/futures-position-sizer/scripts/futures_position_sizer.py --list-specs

Prints the full 23-market core table (multiplier, tick size, tick value, currency, exchange) sourced from official exchange contract-spec pages -- see references/futures-contract-specs.md for the per-row source URLs and verification dates.

Worked Example: Bond Off-Grid Guard (32nds -> Decimal)

Bond/note futures (ZT, ZF, ZN, ZB) quote in fractions of a point (32nds, or 32nds-of-32nds), commonly written with an apostrophe: 110'16 means 110 + 16/32 = 110.50. Typing 110.16 instead -- reading the digits after the apostrophe as if they were decimal cents -- is a classic, silent, wrong-money-math mistake: 110.16 is not on the ZB tick grid (0.03125 = 1/32) at all.

# WRONG -- 110.16 is not on the 1/32 grid; this is almost certainly a
# mistyped "110'16" (which means 110.50). Exits 2, no report written:
python3 skills/futures-position-sizer/scripts/futures_position_sizer.py \
  --symbol ZB --direction LONG --entry 110.16 --stop 108.00 \
  --account-size 100000 --risk-pct 1.0

# CORRECT -- decimal points, not the raw 32nds digits:
python3 skills/futures-position-sizer/scripts/futures_position_sizer.py \
  --symbol ZB --direction LONG --entry 110.50 --stop 108.00 \
  --account-size 100000 --risk-pct 1.0

Every other symbol in the table quotes in plain decimal points -- an off-grid price there (a mid-quote, for instance) is only a soft off_tick_grid_* warning, never a rejection.

Output Contract

Writes futures_position_size_<SYMBOL>_<as-of>.json to --output-dir when --format json|both; --format text|both prints a formatted summary to stdout. --as-of defaults to today (this is an operator-time sizing tool, not a backtest tool).

schema_version: "1.0"
symbol: ES
direction: LONG
sizing_status: SIZED | NO_TRADE
no_trade_reason: null | risk_below_one_contract | gate_not_ready | gate_symbol_mismatch | ...
entry: 5000.25
stop: 4980.00
stop_distance_points: 20.25
stop_distance_ticks: 81
contract_spec: {multiplier: 50, tick_size: 0.25, tick_value: 12.5, currency: USD, source: cme, verified: "2026-07-17"}
risk_per_contract_usd: 1012.50
risk_budget_usd: 2000.00
contracts: 1
total_risk_usd: 1012.50
risk_pct_of_account: 1.01
max_contracts_cap_applied: false
fx_rate_used: 1.0
margin_note: "Exchange margin requirements are broker/time-dependent and NOT computed here; verify initial/maintenance margin with your broker."
gate: {report_path, setup_status, gate_confidence, warnings}   # mode B only
warnings: []
run_context: {symbol, as_of, schema_version, skill}