Search found 13 matches

by strix
Mon Sep 11, 2017 3:35 pm
Forum: Data Providers and other non testing software
Topic: Status of CSI after Hurricane Irma
Replies: 13
Views: 423

Re: Status of CSI after Hurricane Irma

I called them and it went to voicemail. Also, their website seems to be down.
by strix
Tue Feb 14, 2017 4:32 pm
Forum: Futures Markets
Topic: ICE Mini Russell 2000 BPV Change
Replies: 0
Views: 312

ICE Mini Russell 2000 BPV Change

The ICE-US Mini Russell 2000 contract (CSI Symbol TF) halved its BPV on December 5, 2016 (from $100 to $50).

Thanks to CSI for the warning on the "News" section of their website. NOT.

Once again, they did NOTHING.

Anyway, y'all have been warned. Has anyone found other changes in other markets?
by strix
Tue Apr 26, 2016 1:46 pm
Forum: Data Providers and other non testing software
Topic: CSI's FUBAR Symbol Update - A public service announcement
Replies: 5
Views: 2087

Re: CSI's FUBAR Symbol Update - A public service announcement

Thanks, Roger. Conscientious as always. I'm always on the lookout for data problems, so I caught this one before it became a major issue. Still, one would think CSI could send their customers email notification of this sort of change. I wasn't even aware of that "news section" of their webpage. The ...
by strix
Sat Apr 23, 2016 6:34 pm
Forum: Data Providers and other non testing software
Topic: CSI's FUBAR Symbol Update - A public service announcement
Replies: 5
Views: 2087

CSI's FUBAR Symbol Update - A public service announcement

A lot of you have probably caught this already, but CSI recently updated the symbols/files names for at least 5 of the foreign futures markets I trade. Matif Rapeseed - COX is now COM Kuala Lumpur Composite Index - KLI is now FKL Aussie SPI 200 - YAP2 is now YA2 Aussie 3yr T-Bond - YTT2 is now YT2 A...
by strix
Mon Apr 16, 2012 5:11 pm
Forum: Futures Markets
Topic: Interest Rate contracts liquidity
Replies: 2
Views: 1972

Interest rate products aren't seasonal like ag stuff, so one month is going to behave pretty much like any other. Your only real concern is minimizing transactions costs, and trading the front month with quarterly rolls is already pretty reasonable on that score. If it ain't broke... As for roll tri...
by strix
Wed Mar 21, 2012 11:45 pm
Forum: Futures Markets
Topic: Asian Markets - Brokerage P&Ls, Anyone?
Replies: 3
Views: 2129

Asian Markets - Brokerage P&Ls, Anyone?

As per Sluggo's advice, I've been verifying a bunch of foreign contract specs (BPV) by firing off 1-lots myself ... or finding someone else who already has. The websites for Asian markets have a reputation for being unreliable, so I'll probably just have to pony up the bid/ask spread, but I thought ...
by strix
Tue Jan 31, 2012 6:29 pm
Forum: Futures Markets
Topic: US Residents Can't Trade Foreign Futures?!!
Replies: 21
Views: 7618

US Residents Can't Trade Foreign Futures?!!

I just got off the phone with Interactive Brokers (thinking about opening an account)... I was asking about this document ( http://individuals.interactivebrokers.com/en/trading/eligibleProducts.php ) on their website that lists all the foreign index futures that the CFTC has approved for trading by ...
by strix
Fri Sep 02, 2011 6:07 pm
Forum: Futures Markets
Topic: ICE UK Nat Gas (NGL)
Replies: 7
Views: 3188

I'll be damned! Thanks guys. It looks like the lesson here is, When in doubt, fire off a 1 lot and check the statement.
by strix
Fri Sep 02, 2011 1:45 am
Forum: Futures Markets
Topic: ICE UK Nat Gas (NGL)
Replies: 7
Views: 3188

But how do you reconcile the XX.XX quoted form that CSI uses with the 300 BPV?

If you're using pence/therm, then you've got (0.01 GBP/therm)*(1000 therms/day)*(30 days) = 300 GBP

GBP/therm, then, would mean a BPV of 30,000. So, if ICE also says XX.XX and GBP/therm, why shouldn't CSI be XXXX?
by strix
Thu Sep 01, 2011 11:01 pm
Forum: Futures Markets
Topic: ICE UK Nat Gas (NGL)
Replies: 7
Views: 3188

ICE UK Nat Gas (NGL)

I saw klatt_attack's post about NGL, so I guess I'm not the first to get frustrated with this one... Anyway, ICE says UK Nat Gas is denominated in GBP/therm , and the contract size is 1000 therms/day, for however many days are in the delivery month. This we know. CSI's factsheet says ALMOST the same...
by strix
Tue Aug 16, 2011 9:58 pm
Forum: Futures Markets
Topic: TOCOM - First Notice Days?
Replies: 3
Views: 1964

Thanks, Sluggo. Your findings are certainly consistent with the rollover behavior of a CSI volume-based roll trigger. E.g., a volume trigger will roll out of TOCOM Jun11 silver as early as 8-30-2010. I don't trust roll triggers that aren't date-based, but it's good to know that a simple volume-based...
by strix
Tue Aug 16, 2011 8:21 pm
Forum: Futures Markets
Topic: TOCOM - First Notice Days?
Replies: 3
Views: 1964

TOCOM - First Notice Days?

Just a quick question for any of y'all who trade futures on TOCOM... When do you need to offset a long position to avoid delivery of a physically settled contract? The TOCOM website has a "Business Calendar" that lists Last Trading Days and Delivery Days, but they don't seem to mention First Notice ...
by strix
Wed Aug 18, 2010 9:47 pm
Forum: Testing and Simulation
Topic: Pardo - Measuring Degrees of Freedom
Replies: 1
Views: 1998

Pardo - Measuring Degrees of Freedom

Here are a couple questions for any of you guys who have read Robert Pardo's book, "The Evaluation and Optimization of Trading Strategies"... 1) When measuring the degrees of freedom in a CSI Futures data sample, would it be correct to compute this as 6(OHLCVOI)*Number of Years * 260 * Number of Mar...