Contract Information You Track That CSI Does Not
Posted: 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?
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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.
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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.
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