CSI Price Format CSI#529 DJ STOXX 50 Eurex

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AFJ Garner
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CSI Price Format CSI#529 DJ STOXX 50 Eurex

Post by AFJ Garner » Mon Feb 20, 2006 8:47 am

Looks to me as though CSI have their price format wrong - which , er, slightly mucks things up if you are looking at contract size and volatility and which markets to trade. Today's index level is around 3465 not 34650. According to Eurex.

Makes quite a difference!

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Post by sluggo » Mon Feb 20, 2006 11:57 am

I happen to have a position in the STOXX-50 in one of my accounts (see image). I am in the same boat as you: my broker's quotes are also four digits rather than five. Happily, once you know about the situation, you just make a small adjustment in your software and presto! all is well. A similar scale-factor difference occurs in Cocoa and several of the grains. Just another wrinkle in the futures trading game.

Warning: brokers aren't used to taking orders in these futures and very often think you are trying to trade the EuroSTOXX (CSI symbol SXE, CSI number 530) rather than the STOXX-50. Be very careful.

I have found it useful to learn the symbol of this futures contract as displayed on the broker's quote machine. This reduces the chance of miscommunication. On Bloomberg it is "VHH6" and on Eurex it is "FSTX". Most importantly of all (in my own personal situation!), on my broker's quote system called Mercury, it is "FSTX".

Good luck to all.
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AFJ Garner
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Post by AFJ Garner » Mon Feb 20, 2006 1:21 pm

Thanks, it is the Stoxx 50 which interests me. I don't want to overweight on stock indices and the Stoxx 50 seems a useful way of covering Europe while leaving plenty of room for the US, Japan and a couple of exotic markets for good balance.

My reasoning is that Stoxx 50 is broader - importantly it covers the UK which is one of the biggest equity markets in Europe.

Trying to find the constituents of the indices from the Eurex website is taxing, so in case anybody else is interested I attach pdf files which give an overview.
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zacharyoxman
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Same issue

Post by zacharyoxman » Thu Mar 02, 2006 11:16 am

I had that same issue recently with Aussie Three Year with CSI. Here is what they told me to do to fix the problem:

1.) Database History Refresh (about 20 mins)
2.) Refresh All (about 5 mins)

That fixed my YTT issue.

Zach

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Post by Jake Carriker » Thu Mar 02, 2006 12:13 pm

Hmm? Looks like the way you see price data quoted from CSI varies by individual.

Check out how my CSI setup looks for #529 and #530. I just did a history refresh, but nothing changed.

Interesting the differences between the backadjusted futures prices and the cash price listed for each market. For the SXE the cash price is xxxx.xx. For the SXX the cash price is xxxxx.x. However, the SXX futures price shows up consistent with the price format shown on the Eurex website. The SXE price is 1/10th the Eurex quote.

Jake
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AFJ Garner
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Post by AFJ Garner » Thu Mar 02, 2006 12:55 pm

I am seeing the following in CSI back adjusted prices for the close on 1st March:
SXX CSI#529 34,910
SXE CSI#530 3812

After my e-mail to CSI, theY changed the point value on the contracts. They left the "price format " the same - as can be seen from my read outs above. They have still got it all wrong.

It is supposed to be as follows:

SXX 3,491 Contract value Euro 10 per Index Point
SXE 3,812 Contract value Euro 10 per Index point.

In any event it would indeed appear that different CSI users are seeing different things! But this is what I am currently seeing.

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Post by AFJ Garner » Thu Mar 02, 2006 12:59 pm

I seem to recall that one can alter the CSI factsheet to reflect the correct figures - I have not tried to do so. I have merely adjusted the BPV in my futuresinfo.txt file for use with TBB to reflect the correct situation: IE in my case in TBB I have SXX at Euro1 per index point and SXE as Euro 10.

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Post by AFJ Garner » Thu Mar 02, 2006 1:11 pm

I am using CSI UA 2.8.0....clearly a different version to Jake's. I can't even display the index level on the chart - the switch between full contract value and price does not work. And I get no read out for cash on the crosshairs.

Sigh.

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Post by Jake Carriker » Thu Mar 02, 2006 1:15 pm

I am using 2.9.1

I sent an email to CSI support directing them to this thread.

Jake

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Post by Jake Carriker » Mon Mar 06, 2006 1:35 pm

I have not heard anything from CSI, but this morning I went into the factsheet and altered the price format (per Mr. Garner's above post ) for SXE from 2 to 1 and the point value from EUR .1 to EUR 1.0.

My SXE prices now match those of the SXX and the Eurex quote. Funnily enough, the cash price for SXE now appears as ten times the appropriate value. Oh well.

If you do this operation, make sure and exit UA and restart it to see the changes take effect on your portfolios.

Jake

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Post by damian » Fri Oct 13, 2006 1:14 pm

My system rejected an entry a few weeks go on the basis of too much open risk. It was in CSI symbol SXX, as above.

Today I noticed the performance of that symbol and pondered the rejection. It didn't seem right. I looked at it... hang on there's and extra zero in the CSI data. The open risk on the prospective trade was 10 times reality!!

Thanks CSI, I should be long but am not. Its costing me about eur3000.

Even though CSI are 100% wrong with their price format and BPV static data, I take full responsibility for not distrusting them in the first place.

I'm in a drawdown as well. Groan and moan. Bugger it.

I now need to work out what my rule is for fixing this: enter on retracement at Limit, if so, how deep. Or enter Monday MOO.

Trading isn't easy and I make it even harder for myself by taking big risk (and pay the price often). But this?! Using CSI data can truly be an Unfair Disadvantage. :)

(After finding the error I used forum search to see if this had been discussed. I almost lost my lunch on the table when I saw this thread. How did I ever miss it?)
Last edited by damian on Fri Oct 13, 2006 2:15 pm, edited 2 times in total.

AFJ Garner
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Post by AFJ Garner » Fri Oct 13, 2006 1:21 pm

Aye, its a b***er........

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Post by RedRock » Fri Oct 13, 2006 1:37 pm

Yup. What AFJ g said!

I suppose if all these trades are combined in an "error" account. In time the missed winners and loosers would even out. It just hurts more when it would have been a winner you really 'needed' to hold things up.

TGIF

rr

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Post by sluggo » Fri Oct 13, 2006 1:53 pm

I happen to like CSI even though they are occasionally imperfect. Over the years, I've learned that when I am about to add a new market I've never traded before, it is cheap insurance to call my broker and give the following pair of orders:
Buy 1 contract of February Burmese Artichokes at market on the open
AND
60 minutes after the open, sell 1 contract of Feb Burmese Artichokes at the market
Yes, really.

It's cheap insurance. Now I get to see how the new market appears on (A) my broker's statement, and compare that to (B) how it appears in CSI, and also compare it to (C) how it is set up in my testing and order generating software. This has saved my hindquarters several times.

I've gotten the BPV and/or the quote format wrong at least a half dozen times, which the above procedure has caught and corrected.

If you assume it's a 50-50 proposition whether Burmese Artichokes will rise or fall in the first hour of trading, the little order pair above only costs 2*(Bid-ask-spread) + 1*commission on average, which isn't a huge amount.

Another resource I have used, is to call my broker on the telephone and ask for the closing price of Feb Burmese Artichokes, including the decimal point. Make her say five zero nine three decimal two four. Then compare this to the futures exchange's "Contract Specification" and to CSI's quotes and to the trading software's setup tables.

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Post by nickmar » Fri Oct 13, 2006 2:14 pm

I couldn't agree more with Sluggo - it's a small price to pay for 100% accuracy. We have even encountered contract specification errors on the websites of actual Futures Exchanges (usually one of the Far East Exchanges).

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Post by damian » Fri Oct 13, 2006 2:30 pm

Now you guys speak up with the bright ideas.

I expect a few hundred dollars from everyone who avoids this costly error as a result of the above advice from Sluggo (at 5:53pm, 13 Oct 06)

Learning experiences though loss are worth money! I should start selling them at a small discount to what it would cost to learn it oneself.

"I made a mistake last week that cost me $3000. Its a pretty fair chance that you will make the same mistake one day yourself. I'll tell you what it is for $2000"

:)

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