CSI Forex Data

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Forum Mgmnt
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CSI Forex Data

Post by Forum Mgmnt » Wed Mar 31, 2004 10:51 am

Does anyone here use CSI's forex data?

What do you think of the quality?

I was a little disturbed by their statements at:

http://www.csidata.com/techjournal/csin ... age01.html

It seems to me you want to have the data in the same format and pricing units you will be trading, rather than inverted because CSI thinks that is less confusing.

Any comments from CSI customers?

- Forum Mgmnt

damian
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Post by damian » Wed Mar 31, 2004 8:16 pm

I would always try and use Reuters as my data source for FX prices given that they provide the platform for a large % of interbank screen trading. I have never priced them, I assume that they are expensive. There is no central FX exchange so I would try and get as close to the next best thing, which is probably Reuters or EBS.

As for CSI, I sometimes wonder about them. Why they would decide to go against market convention I have no idea.

From CSI:
For reasons we don’t pretend to understand, FOREX trades are quoted with the base unit (the apparent denominator) on the top of the ratio,
They must not be trying very hard to understand over at CSI. A market convention price of USDJPY=119.25 is best and very easily understood as:

Commodity being traded = USD (or apples)
Currency that the commodity is priced in = JPY.

ergo, one unit of the commodity = 119.25 Yen

THis left hand side = commodity, right hand side = price currency is universal.

(On a related matter of anti market convention, I have no idea why the CME quotes and trades $/JPY futures as an inverted price with several zeros removed, talk about as far from reality as you can get).

Nic Garvey
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Post by Nic Garvey » Thu Apr 01, 2004 9:54 am

Inverted FX rates make no difference to P&L calculations. Suppose you trade XXX/YYY and you have the data for YYY/XXX. Going long XXX/YYY at 100 is the same as going short YYY/XXX at 0.01 (with necessary adjustments to position size and stops etc.). A proper inversion gives the same R-multiples, carry costs etc.

What makes a difference is something such as the Turtle style ATR calculation. If you base stops on ATR in XXX/YYY you must invert the stops to get the equivalent stop in YYY/XXX. It is insufficient to calculate ATR for YYY/XXX and assume that this will do. Testing the Turtle system using inverted data gives different results to testing using actual data - unless you take this into account, which means inverting the rates back and calculating ATR; this seems pointless to me. I’d also be wary of how accurate their inversion is. How do they report YYY/XXX if XXX/YYY closes at 3.00?

I’m yet to find a decent historical FX database. Reuters and Bloomberg have some huge problems. Reuters often has spikes in the data that are simply mistakes or trades that wouldn’t affect you, Bloomberg has days where the open or close exists outside the high or low. CQG seemed the best that I came across in institutions, as I recall they charge a large amount for the data. I don’t know about the accuracy of CSI data and I’m not a customer of theirs. I try to use multiple sources and trade systems that work across all of them.

K1
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Post by K1 » Thu Apr 01, 2004 12:24 pm

I don't know how usefull the historical data is on this site:

http://www.dukascopy.com/english/cquotes/CSV/

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Post by forex_kid » Thu Apr 01, 2004 6:11 pm

I gave up on CSI forex data after many weeks of struggle.

A long and very frustrating struggle.

I am pro reuters these days. But finding a good data vedor for forex is the eternal challenge it seems.

The pricing issues, data granularity and consistency issues.. it just goes on and on.

I'd be curious as to Brendo's opinion.

flex
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Post by flex » Thu Apr 22, 2004 2:23 am

Maybe the answer is to use CSI's forex futures data (CME) & base your cash trading on that??

Nic Garvey
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Post by Nic Garvey » Thu Apr 22, 2004 7:04 am

I don’t think futures data is a solution. Even if you managed to convert the futures data into a reasonable approximation of spot using interest rates, you’d still have problems of differences in liquidity which can give differences in highs, lows and ranges. I think it’s best to get data that most closely matches what you trade; if you don’t trade currency futures that data isn’t much use. I suppose you could trade the spot market by taking signals given in the futures market and carry and arbitragers should make up the difference, but I wouldn’t do this without first testing that this works.

Does anyone have opinions on the data at Olsen (OANDA provide some of their data so it’s probably a good choice for those of us who trade at OANDA)

http://www.olsendata.com/

or OOWDG

http://www.oowdg.com/symbols/cash.html#CURR
?

Peter G
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Post by Peter G » Mon Apr 26, 2004 6:44 pm

I'm under the impression that Olsen is some of the best data you can get, but I must admit I haven't actually bought anything from them, so I don't really know for sure. It's quite expensive though.
Certainly the work they have done on filtering high-frequency data is quite impressive, and I presume they must have implemented their own methods...

Would love to hear opinions on OOWDG as well..

William
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Post by William » Tue Apr 27, 2004 8:45 am

OOWDG Data

I use OOWDG stock, futures and Reuters Forex cash data. I think the quality is pretty good. And the cost of his data is reasonable.

Customer Service is Excellent:
I will say that Troy has been a great help and is always available to talk on the phone. Pretty much any problems that i have had have been solved within the day. That level of responsiveness, i believe is rare. Also, he is very willing to work with you in terms of supplying any and all of the data that he can get his hands on.

At the very least, i believe he is certainly worth calling and speaking with about his services.

batuco9
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Post by batuco9 » Tue Apr 27, 2004 9:36 pm

I would say one should get data as near to the traded market as possible. If OOWDG's source is Reuters, I would much rather rely on them, given that Reuters and Bloomberg are two standard sources.

Since I am currently considering OANDA, my question would be to which data are they closer. If no particular difference, for Forex I would rather go with a standard, and will therefore probably switch from CSI to OOWDG.

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my take on Forex

Post by oowdg » Tue Apr 27, 2004 10:28 pm

Hello, and just to add my 2 cents on the Forex data suppliers issue.

Reuters uses 35+ banks ( if I recall right), Other sources I queried used on average less than half the banks, infact some online fx sites use 10 and less.

Another issue that came into play for me was the reporting time frame, it seemed every source reported the Last or close at different times, which ofcourse would could give different prices.

I am not familiar with Bloomberg, so I can not comment on them, but in my humble opinion Reuters seems to be most complete, which is why I choose to use them as my cash source. I personally feel more reporting agencies are better.

If someone would like to do a comparison between data providers, I will be more than happy to assist


troy

Peter G
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Post by Peter G » Wed Apr 28, 2004 4:54 am

I'm pretty certain that for cash, live data, you don't get anything better than Reuters, it is certainly the choice for almost everybody in the institutional market. GTIS Forex through RealTick sounds kind of interesting though, I haven't tried it out yet, but they say they use around 80 individual banks for the feed.

Historical data is a different issue, because the quality depends on what kind of filter is being applied. Raw data from even a really good source is still full of bad ticks. That's where Olsen gets interesting since their filter is very high quality. I'm not sure if you can can buy historical data from Reuters and if they apply any kind of filtering to it. oowdg, (and thanks for commenting in this thread) do you use any kind of filtering technique?

I guess in the ideal world I would like to develop my own filter, apply it to a good cash source and then maintain my own historical database, but as always time is an issue :)

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