Contract Information You Track That CSI Does Not

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Contract Information You Track That CSI Does Not

Post by jklatt » Sun Mar 07, 2010 6:23 pm

I wasn't too sure where to post this. This section seemed like the best. Below is an excerpt from my diary/blog. I'm curious, what data points about an instrument do you guys keep track of that CSI does not and why?

I'm almost finished with my tradeable futures list. There are some questions that I've sent into CSI that need to be cleared up, but for the most part, I've got a good list of possible tradeables sitting at around 140 or so in total. While I'm waiting for a response from CSI on some of my questions, I thought it might be a good time to visit each exchange's webpage and attempt to verify and jot down some of the information about the instrument I think I might need.

What are some of the important data points listed on TB's futures dictionary file? I think it'd be a good idea to verify contract size, big point value, minimum tick size.

What are some of the important data points listed on CSI's futures spreadsheet? I think currency type (maybe lump this into contract size above?) and trading hours would be helpful to verify. Especially trading hours because I'm going to need to figure out when I need to download data and when the orders need to be placed by.

What are some of the important data points that are not listed in either of the above?

1) Expiration Date -- This needs to be defined in a few different ways. The Nth day (day being Monday, Tuesday, etc.) of the expiration month with a monthly offset. Maybe some other definitions as well as I become more familiar with how the contracts I plan to trade expire.

2) First Notice Date -- This is a strange topic and I haven't run across a whole lot of data points for FNDs. I'm not even sure there is a standard notice date (much like the expiration date) for each contract. Maybe there is? Maybe not? I think it'd be a good idea to create a data point much like Expiration Date for the FND though and since I don't want to go through each contract at each exchange's webpage more than once, this would be a good time to explore this.

3) Delivery Type -- Is the contract settled physically or in cash? I've read a few people on TR that have talked about how they monitor the physically delivered contracts they're carrying and make sure they don't carry them too close to expiration.

Is there anything else that experienced fututres trades like to keep track of? Maybe a file that keeps track of holidays and defines them at the specific exchanges. That might be helpful but it might be beyond the scope of what I'm trying to do right now. Lets post this on TR and see if anyone has any additional ideas.

Moto moto
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Post by Moto moto » Mon Mar 08, 2010 4:15 am

We had a quick look at which months the rolls occurred - as its not necessarily the front month. Yes open interest and volume can pick this up, but when looking at the months of offer - sometimes it can be confusing initially when a month is skipped as the front month - not such as issue for the currencies, equities and rates, but can be for commodities.
We also had columns for our own thought listing the alternative names or contracts that are similar, eg; the minis, the different commodity contracts, gold ETF that tracks gold. just so that we were aware of some of them.
The first notice date is an interesting one - example; interactive brokers has a different date for the longs and the shorts in something like the US 10 year bonds...... they will close you out on different dates. So I guess that depends on the broker.

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Post by sluggo » Mon Mar 08, 2010 8:36 am

I store the name of the city (and/or timezone) where the exchange is located. This reminds me to doublecheck the time difference TODAY, to calculate the market hours TODAY. Many cities go into / out of Daylight Savings Time ("Summer Time") on different days than my city, so the time delta between the exchange and me changes a few times per year. Check into this for Sydney (where the shift can be two hours) and for Mumbai (where the timezone is offset by 30 minutes). I find this website invaluable: , especially the "Fixed Past or Future Time" feature.

I also store a field for special execution instructions. For example, a trading system in the suite may issue an order to enter a trade at market on the open. But in 24 hour markets, when is the open? So if I wish to enter the Canadian Banker's Acceptance futures on ME at "market on the open", the special execution instruction field tells me to place the order for execution at "0700 Central Time". Another example is derivatives-of-derivatives such as index futures or minis. Sometimes the secondary product opens earlier or closes later than the primary, and I wish not to trade the secondary when the primary is closed. For example the mini-JGB or the Nifty (both traded at SGX) open earlier than their primaries open. I use the special execution field to remind me not to trade MOO but instead to wait for the primary to open.

Then there are things like CSI symbol YTT where the BigPointValue is not constant, or CSI symbol NGL where the contract size is not constant AND the minimum trade quantity is not 1. I store reminders about those kinds of special features too.

A lot of this comes about from talking to the executing brokers who actually handle your trades. Befriend them, chat them up, get to know them. Ask them when the best and worst liquidity happens, and why. Ask them what times of day The Big Guys trade, ask when rollovers are going to happen. Swallow your pride and ask questions like, "The computer wants me to do X this morning, does that sound stupid to you?" These guys have done a thousand times as many trades as you, so learn from them.

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