CSI symbols MW, MW1, MW2 confusion

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jklatt
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CSI symbols MW, MW1, MW2 confusion

Post by jklatt » Tue Mar 02, 2010 12:38 pm

I downloaded quite a few symbols from CSI and ran some initial liquidity screens to generate a starting point for possible tradeable instruments. MW, MW1 and MW2 all made the cut.

When going through on my second pass to prune out some of the duplicate markets, I became rather confused about a lot of what is going on with CSI's data. For example, MW/MW1/MW2, for all of this year in the March 2010 contract have identical volumes. How is that possible? Either the data is wrong or the assumption that MW is pit, MW1 is electronic and MW2 = MW+MW1 is wrong. Attached are my data files that I downloaded from CSI yesterday.

There's a lot of confusing things going on with CSI's data. Especially with the volumes.
Attachments
MW_2010H.CSV
(77.08 KiB) Downloaded 203 times
MW12010H.CSV
(86.67 KiB) Downloaded 244 times
MW22010H.CSV
(90.67 KiB) Downloaded 188 times

sluggo
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Post by sluggo » Tue Mar 02, 2010 12:59 pm

http://www.csidata.com/cgi-bin/getManua ... layout.htm

Here are the settings that I use. Carefully note that my "v" is lowercase, and so is my "i". That's what I happen to prefer; you of course will make your own choice

Image

7432
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Post by 7432 » Tue Mar 02, 2010 1:08 pm

for the benefit of customers csi has broken up the data into the mw, mw1 and mw2.
this way you could compare electronic vs pit trading data.
but red winter wheat futures are all electronic now as are lots of other markets. so while there is no difference for mar10, there would be a difference for past contracts.
you might contact the MGEX and ask them when pit trading of the futures contract was halted.

jklatt
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Post by jklatt » Tue Mar 02, 2010 2:30 pm

I called CSI and asked why the volume for the combined contract MW2 did not equal the volume for MW + the volume for MW1. He said that the MW contract volume is zero, but because customers don't like contracts with zero volume, they dummy a number in there and use the electronic product's volume number so there aren't a lot of phone calls asking why the volume is zero.

He also explained that the combined contract consists of the open for the electronic market, the highest high and lowest low between the two for the high and low and the close is the pit close. I then asked him if there isn't any volume in the pit contract, why do you use the pit's close as the closing price for the combined contract? He said if the volume is zero then they use the electronic close for the close.

Here's another weirdo I came across. What on earth is the difference between TF and TF2?

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