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:

bash

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:

bash

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

`sizing_status`	Meaning
`SIZED`	`contracts` >= 1; `total_risk_usd` / `risk_pct_of_account` are the actual risk taken
`NO_TRADE`	Never a crash -- always carries `no_trade_reason` . See the reason glossary below

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

bash

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.

bash

# 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

--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).

yaml

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}

Guardrails

Never sizes a position without an explicit stop.
```
--stop
```
is required in mode A; mode B refuses to size (
```
gate_not_ready
```
) until the gate itself reports
```
READY_FOR_PLAN
```
with a valid
```
invalidation_level
```
.
Floor, never round up -- exact by construction, no epsilon.
```
contracts = floor(risk_budget / risk_per_contract)
```
is computed with exact rational arithmetic (Python's
```
Fraction
```
, not float division), so
```
contracts * risk_per_contract <= risk_budget
```
holds by construction -- no epsilon nudge, no float-representation edge case, and no risk of ever exceeding the budget. Also rejected outright if the resulting count is economically implausible (an absurd input like a denormal-scale multiplier override). Zero contracts is a legitimate, fail-closed
```
NO_TRADE
```
outcome, not an error.
Two fail-closed classes, matched to who supplied the bad value. An operator-caused problem (an explicit
```
--stop
```
on the wrong side of
```
--entry
```
, a stop closer than one tick, a bond price typed off the tick grid) is a usage error: exit 2, no report written. The identical class of problem on a value that came from the untrusted gate-report file (mode B's stop) is instead a fail-closed
```
NO_TRADE
```
result: exit 0, a report IS written, naming the reason -- this never crashes on a bad or not-yet-ready gate file, matching every other skill in this pipeline.
Bond-family off-grid prices are a hard rejection, not a warning. ZT/ZF/ZN/ZB quote in 32nds/64ths notation; a price that doesn't land on the tick grid is almost certainly a notation mistype and would silently produce wrong money math if sized. Every other symbol only warns.
Margin is never computed.
```
margin_note
```
is a static, never-stale reminder -- margin requirements are broker- and time-dependent; this skill does not estimate them.
Currency-aware. Every core-table symbol is USD-quoted (confirmed by a table-wide unit test), including the CME FX futures whose contract SIZE is denominated in a foreign currency (e.g. B6's GBP 62,500) but which trade and settle in USD. A symbol quoted in a non-USD currency (via
```
--contract-currency
```
override) requires an explicit
```
--fx-rate
```
-- there is no silent default.
Not investment advice. This skill performs risk-based arithmetic on operator-supplied or gate-confirmed inputs; it does not recommend a trade, a direction, or an entry.

Resources

```
scripts/futures_position_sizer.py
```
-- CLI: argument parsing, hardened gate-json loading (unreadable / parse_error incl. RecursionError / non_finite via an iterative whole-file scan), report generation
```
scripts/futures_sizing.py
```
-- Pure sizing core: numeric validators, the verified 23-market contract-spec table, risk math, the floor algorithm, tick-grid guards, and gate-report shape normalization
```
references/futures-contract-specs.md
```
-- The verified contract-spec table with per-row official source URLs and verification dates
```
references/sizing-methodology.md
```
-- Formulas, the exact-rational floor algorithm's rationale, the fail-closed exit-code convention, and worked examples (ES long, B6 short via gate handoff)

futures-position-sizer

NPX Install

Tags

SKILL.md Content

Futures Position Sizer

Overview

When to Use

Prerequisites

Workflow

Step 1: Size the Position

Step 2: Read the Result

Step 3: Check Warnings

Step 4: Inspect the Verified Contract Spec Table

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

Output Contract

Guardrails

Resources