Hello all,
I am paper trading a system and I use CSI for EOD with TBB and Refco Express (currently) for my online order entry platform (in simulation mode). In the graphic below, there is on the left, the EOD quote from CSI which I am currently in a trade in the March 06 Copper contract. On the right is the quote for the March 06 Copper contract thru Refco express. The close quotes are equivalent, but the others are off by several ticks. I have noticed this in all the other instruments I've had open positions.
My question is: should I be concerned by this? If so, how do you adjust your system to account for this discrepency?
Thanks,
Chuck
How do I deal with quote differences
How do I deal with quote differences
- Attachments
-
- Left Quote from CSI, Right Quote from Refco Express Platform
- quotes.JPG (23.54 KiB) Viewed 7830 times
It appears you are using CSI commodity number 8, symbol "HG", which includes floor trading only.
There is another possibility, namely CSI commodity number 809, symbol "HG2", which is Floor+Electronic Combined. I looked up HGH06 on this second possibility and found that CSI says O=191.70, H=192.45, L=188.60, C=191.10. That is the same quote as found on Man Futures Website, see image file below.
Refco's simulated data seems to be imperfect, imho. It matches neither the Floor Session Only, nor the Floor+Electronic Combined.
There is another possibility, namely CSI commodity number 809, symbol "HG2", which is Floor+Electronic Combined. I looked up HGH06 on this second possibility and found that CSI says O=191.70, H=192.45, L=188.60, C=191.10. That is the same quote as found on Man Futures Website, see image file below.
Refco's simulated data seems to be imperfect, imho. It matches neither the Floor Session Only, nor the Floor+Electronic Combined.
- Attachments
-
- man.png (7.48 KiB) Viewed 7820 times
Thanks Sluggo.
Its funny how they quote the OHLC for the Floor plus Electronic Combined contract (HG2), but they don't directly mention that in the contract description. If I try to do a quick quote of HG2 it doesn't retrieve any data... is that (HG2) a CSI convention?
I compared several different contracts and found that they (MAN who uses DDFPlus for their data feed) seem to favor displaying the floor plus electronic combo for most instruments where applicable except for currencies... wierd...
My guess is that MAN would allow you to trade both HG and HG2, but for complexity it only shows the HG2 contracts.
Thanks,
Chuck
Its funny how they quote the OHLC for the Floor plus Electronic Combined contract (HG2), but they don't directly mention that in the contract description. If I try to do a quick quote of HG2 it doesn't retrieve any data... is that (HG2) a CSI convention?
I compared several different contracts and found that they (MAN who uses DDFPlus for their data feed) seem to favor displaying the floor plus electronic combo for most instruments where applicable except for currencies... wierd...
My guess is that MAN would allow you to trade both HG and HG2, but for complexity it only shows the HG2 contracts.
Thanks,
Chuck
Greetings
Yes with Man and with Refco, you must place orders for the day and night session with different symbols. But with Man instead of being able to place orders for both day and night sessions on one platform,one platform is capable of handling only the electronic session, so you must place orders for the day session with a different platform.Naturally the orders from one platform do not show up in the other platform. All for maximum Customer Convienence.Refco/Lind Waldock does not have this convienent feature.
Yes with Man and with Refco, you must place orders for the day and night session with different symbols. But with Man instead of being able to place orders for both day and night sessions on one platform,one platform is capable of handling only the electronic session, so you must place orders for the day session with a different platform.Naturally the orders from one platform do not show up in the other platform. All for maximum Customer Convienence.Refco/Lind Waldock does not have this convienent feature.
Coffee, i used to have same problem, i suggest you doing the next thing:
Choose the symbol from Refco Express Platform(I use web based to try new markets so that i dont suck at execution later with real orders) and Futuresource charts, i use my broker's Delayed Futuresource package charts. Here what i am doing:choosing a symbol from Refco Express, lets say ECBOT Soy beans and choosing a chart for it (Futuresource and Refco are delayed in quotes equally) then i compare them and then execute. I love looking at the chart to see the picture of what i am doing. Please take a look at the visual example:
If you have any questions, shoot
Choose the symbol from Refco Express Platform(I use web based to try new markets so that i dont suck at execution later with real orders) and Futuresource charts, i use my broker's Delayed Futuresource package charts. Here what i am doing:choosing a symbol from Refco Express, lets say ECBOT Soy beans and choosing a chart for it (Futuresource and Refco are delayed in quotes equally) then i compare them and then execute. I love looking at the chart to see the picture of what i am doing. Please take a look at the visual example:
If you have any questions, shoot
Thanks guys,
Barli, I'll need to look into the futuresource/refco data more. However, there seems to be a good data sync between CSI/MAN, so that may be the route I'll take.
If Sluggo is correct about Refcos test platform data, that may explain why I was closed out of my copper contract today on the Refco Express platform even though CSI and MAN's EOD data doesnt show the market trading there...
Trendguy, I checked with a broker who clears thru MAN and he stated:
>Regarding orders and access to pit and overnight markets, M-trade
>will give you access to ALL pit and ALL overnight markets, both US
>and Foreign. It is a very powerful platform, and easy to use for
>the trader.
Do/did you try out the M-trade platform? Unless he's blowing smoke it seems to accomplish what you mentioned MAN cannot.
I'll find out more when my test account with MAN is setup.
Thanks,
Chuck
Barli, I'll need to look into the futuresource/refco data more. However, there seems to be a good data sync between CSI/MAN, so that may be the route I'll take.
If Sluggo is correct about Refcos test platform data, that may explain why I was closed out of my copper contract today on the Refco Express platform even though CSI and MAN's EOD data doesnt show the market trading there...
Trendguy, I checked with a broker who clears thru MAN and he stated:
>Regarding orders and access to pit and overnight markets, M-trade
>will give you access to ALL pit and ALL overnight markets, both US
>and Foreign. It is a very powerful platform, and easy to use for
>the trader.
Do/did you try out the M-trade platform? Unless he's blowing smoke it seems to accomplish what you mentioned MAN cannot.
I'll find out more when my test account with MAN is setup.
Thanks,
Chuck
Coffee
Less sarcasim, more facts.
With M trade you cannot place an order for HG(pit session)or say MP(pit session), you can however place orders for all electronic markets(including HG and MP) As I am sure you know many electronic markets are evening only.
I decided a long time ago to only trade certain markets during the day,ie curriences.The reason being; that it what i back tested. Trading curriences on Globex was not feasable for me since they did not accept GTC orders. Day orders had to be reentered at a time of day I had no access to a computer or the internet.Also I still feel there are some serious liquidity issues during the evening, especially with some of the less major curriences like the Mexican Peso.
Man also has a platform called "RanOrder"ask your broker want to be, it is a more complicated platform to use but will give you access to all pit traded markets,as well as foreign markets, something the M trade platform does not have.It is a standalone platform, unlike M trade which you can use on any public computer. So if you travel a lot you will need to get a laptop. Looks like they also have a new offering out , very similar to Ran Order called the "edge" http://ranorder.manfinancial.com/edge.asp If you have any more questions I would be glad to help.
Less sarcasim, more facts.
With M trade you cannot place an order for HG(pit session)or say MP(pit session), you can however place orders for all electronic markets(including HG and MP) As I am sure you know many electronic markets are evening only.
I decided a long time ago to only trade certain markets during the day,ie curriences.The reason being; that it what i back tested. Trading curriences on Globex was not feasable for me since they did not accept GTC orders. Day orders had to be reentered at a time of day I had no access to a computer or the internet.Also I still feel there are some serious liquidity issues during the evening, especially with some of the less major curriences like the Mexican Peso.
Man also has a platform called "RanOrder"ask your broker want to be, it is a more complicated platform to use but will give you access to all pit traded markets,as well as foreign markets, something the M trade platform does not have.It is a standalone platform, unlike M trade which you can use on any public computer. So if you travel a lot you will need to get a laptop. Looks like they also have a new offering out , very similar to Ran Order called the "edge" http://ranorder.manfinancial.com/edge.asp If you have any more questions I would be glad to help.
Coffee
Less sarcasim, more facts.
With M trade you cannot place an order for HG(pit session)or say MP(pit session), you can however place orders for all electronic markets(including HG and MP) As I am sure you know many electronic markets are evening only.
I decided a long time ago to only trade certain markets during the day,ie curriences.The reason being; that it what i back tested. Trading curriences on Globex was not feasable for me since they did not accept GTC orders. Day orders had to be reentered at a time of day I had no access to a computer or the internet.Also I still feel there are some serious liquidity issues during the evening, especially with some of the less major curriences like the Mexican Peso.
Man also has a platform called "RanOrder"ask your broker want to be, it is a more complicated platform to use but will give you access to all pit traded markets,as well as foreign markets, something the M trade platform does not have.It is a standalone platform, unlike M trade which you can use on any public computer. So if you travel a lot you will need to get a laptop. Looks like they also have a new offering out , very similar to Ran Order called the "edge" http://ranorder.manfinancial.com/edge.asp If you have any more questions I would be glad to help.
Less sarcasim, more facts.
With M trade you cannot place an order for HG(pit session)or say MP(pit session), you can however place orders for all electronic markets(including HG and MP) As I am sure you know many electronic markets are evening only.
I decided a long time ago to only trade certain markets during the day,ie curriences.The reason being; that it what i back tested. Trading curriences on Globex was not feasable for me since they did not accept GTC orders. Day orders had to be reentered at a time of day I had no access to a computer or the internet.Also I still feel there are some serious liquidity issues during the evening, especially with some of the less major curriences like the Mexican Peso.
Man also has a platform called "RanOrder"ask your broker want to be, it is a more complicated platform to use but will give you access to all pit traded markets,as well as foreign markets, something the M trade platform does not have.It is a standalone platform, unlike M trade which you can use on any public computer. So if you travel a lot you will need to get a laptop. Looks like they also have a new offering out , very similar to Ran Order called the "edge" http://ranorder.manfinancial.com/edge.asp If you have any more questions I would be glad to help.