CSI's FUBAR Symbol Update - A public service announcement

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strix
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CSI's FUBAR Symbol Update - A public service announcement

Post by strix » Sat Apr 23, 2016 6:34 pm

A lot of you have probably caught this already, but CSI recently updated the symbols/files names for at least 5 of the foreign futures markets I trade.

Matif Rapeseed - COX is now COM

Kuala Lumpur Composite Index - KLI is now FKL

Aussie SPI 200 - YAP2 is now YA2

Aussie 3yr T-Bond - YTT2 is now YT2

Aussie 10yr T-Bond - YTC2 is now YT3


CSI was nice enough to have UA create new futures files under the new name - files that seem to preserve your old back-adjusting settings (roll triggers, contract months, etc).

However, be warned that these new futures files are TOTALLY DISCONNECTED from Blox until you update the Futures Dictionary & relevant Futures Sets to reflect the new file names.

Also, the old files are still there in UA - they've just ceased updating when you do your daily download.

These markets are just what I've caught so far. If this is a widespread problem, maybe this thread will become a decent resource for tracking the fallout from this change from our friends at CSI.

Roger Rines
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Re: CSI's FUBAR Symbol Update - A public service announcement

Post by Roger Rines » Mon Apr 25, 2016 2:02 pm

Unfair Advantage changed a lot of symbols.

Their news page reports which symbols were changed showing before and after symbol identifiers.
CSI FUTURES SYMBOL CHANGES

strix
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Re: CSI's FUBAR Symbol Update - A public service announcement

Post by strix » Tue Apr 26, 2016 1:46 pm

Thanks, Roger. Conscientious as always.

I'm always on the lookout for data problems, so I caught this one before it became a major issue.

Still, one would think CSI could send their customers email notification of this sort of change. I wasn't even aware of that "news section" of their webpage. The platforms I use for real-time data & order entry always send emails.

Oh well.

Roger Rines
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Re: CSI's FUBAR Symbol Update - A public service announcement

Post by Roger Rines » Tue Apr 26, 2016 9:57 pm

I know a lot of people were caught off guard by these changes.

CSI reported there will be a new feature in Unfair Advantage that will open the browser to the CSI News page when symbol changes happen. It isn't ready yet, but the developer said it will be in the next release.

Roger Rines
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Re: CSI's FUBAR Symbol Update - A public service announcement

Post by Roger Rines » Mon May 02, 2016 12:59 pm

When noticed the symbol was missing from a stock set list, CSI support was asked what happened to stock symbol: MHFI, they responded with this list of items from the UA Log file:
See ua\logs
Correcting Stock Deliverable 128998
Correcting Stock Deliverable 128999
Correcting Stock Deliverable 129000
Correcting Stock Deliverable 129062
Correcting Stock Deliverable 129130
Correcting Stock Deliverable 129131
Correcting Stock Deliverable 129132
Correcting Stock Deliverable 129133
Changing Stock Factsheet: 5509, SPGI
Stock symbol change from MHFI to SPGI
Changing Stock Factsheet: 16008, ABF-L
Changing Stock Factsheet: 16011, BATS-L
Changing Stock Factsheet: 16013, BBY-L
Changing Stock Factsheet: 16015, BP-L
Changing Stock Factsheet: 16018, BT-L
Changing Stock Factsheet: 16021, BARC-L
Changing Stock Factsheet: 16027, BA-L
Changing Stock Factsheet: 16030, BLND-L
Working through the Unfair Advantage Logs:
Update Log Change Item Counts 2016-04-28 & 29.png
Update Log Change Last 2 Download days
Update Log Change Item Counts 2016-04-28 & 29.png (10.69 KiB) Viewed 1970 times
Symbol file changes Thursday night were:
UpdateReport Symbol Change 04-28.png
Symbol Changes 20160428
UpdateReport.20160428 & 20160429, show there are symbol changes in each log.
UpdateReport Symbol Change 04-29.png
Symbol Changes 20160429
Working through these change each day is a tedious process because the change records are not groups or easy to discover.
Example:
  • Most Factsheet items are not critical.
    All symbol file symbol change records are can be critical if they are a symbol contained in one of the portfolios.
    Some of the Market Spec Entry changes might have an effect if the specifications used in trading are for a file that is in a portfolio set file.
I know CSI is planning to change some of this, but I don't have the details. When a change is going to happen, it is usually easier to have an influence if users send a request to CSI before the change is finalized.

fester
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Re: CSI's FUBAR Symbol Update - A public service announcement

Post by fester » Mon May 02, 2016 2:20 pm

Thanks for posting this Roger.

I’ve been burnt many times by CSI data antics - especially stocks. It’s not so bad maintaining a handful of ETFs – but checking thousands of markets for de-listings and renames requires daily effort that doesn’t appear to be simple enough to automate.

I find that the only way to remain on top of what they’re doing is to download and archive the sdbfacts file after each update. Then compare it with yesterday. With over 100,000 lines to filter it’s almost as tedious as searching the UA logs – but a bit of Excel trickery can ease the overhead.

Also of critical importance (when dealing with portfolios of thousands of stocks) is the need to update the TB stock dictionary before generating the day’s orders. A de-listing can occur on any day and if CSI flags such a stock in their update, a system would be none-the-wiser unless stockinfo.txt was updated too.

Has anyone found a way of automatically rewriting the stock dictionary, in the same way that a batch file executing “BuildDividendFiles” takes care of dividends?

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