Trouble with csi #956 or csi O3 (OMX 30)

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ADMP
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Trouble with csi #956 or csi O3 (OMX 30)

Post by ADMP » Wed Jul 01, 2009 5:00 am

Hi,
I am experiencing some problems with the data from csi for the OMX 30 (csi #956).
Same problem on 2 versions of csi: 2.9.3 and 2.10.7.96.
The file that I received on June 30th, had for the unadjusted July contract the following prices:
2009-06-25 780
2009-06-26 780
The file that I received today (July 1st), has for the unadjusted July contract the following prices:
2009-06-25 780
2009-06-26 785.75
The prices received today are the right ones and were corrected 3 or 4 days later.
It is not the first time that I notice this sort of problem for this contract.
Is anybody experiencing the same? Is there an explanation?
Best,
Alexandre

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Post by ADMP » Tue Jul 07, 2009 11:39 am

Hi,

nobody has yet replied on the OMX problem that I have posted a few days ago. Anybody trading it?

I have a new problem today with csi with the IBEX35 future (csi #331 or MFX0). It rolls from July into December. My trigger for rolling is on open interest and it seems that csi is posting wrong open interests for this contract: total open interest has plummeted from about 50,000 to under 10,000.

Generally it seems that it is a weak point of rolling on open interest. If there is a problem with open interest data, rolls will be wrong. Any experience with this? Any remedy?

Alex

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Post by AFJ Garner » Tue Jul 07, 2009 12:18 pm

ADMP wrote:Hi,
I have a new problem today with csi with the IBEX35 future (csi #331 or MFX0). It rolls from July into December. My trigger for rolling is on open interest and it seems that csi is posting wrong open interests for this contract: total open interest has plummeted from about 50,000 to under 10,000.

Generally it seems that it is a weak point of rolling on open interest. If there is a problem with open interest data, rolls will be wrong. Any experience with this? Any remedy?

Alex
Lots of experience with this particular problem. One important point is to make sure you roll on second consecutive trigger not first. This sometimes saves a lot of irritation but in this case it has not.

This is a cash contract (not physical) and OI usually rolls at the last moment around the middle of each month. July is the current contract - this is where all the current volume is and this is still where the vast majority of OI is: CSI have not collected the information from the exchange yet for the past couple of days or have not been provided with it.

Either contact CSI and report this today or wait and see if it corrects tomorrow in the July contract. Once they have the correct OI for the past couple of days in the July contract you may find you have to re-download the contract (Database/Refresh Price History) and or re-write the file in the database. Sometimes the daily download re-writes the correct concatenated contract for you.

Yes, it’s a bore. In any event the next contract will be August not December as the current concatenated file shows.

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Post by ADMP » Tue Jul 07, 2009 12:59 pm

Thanks a lot. Will check if I am using 1st or 2nd trigger to reduce wrong rolls.
Yes it is a bore indeed. But anyway no ideal solution I think, so we will have to work around.

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Post by sluggo » Tue Jul 07, 2009 1:55 pm

The exchanges provide some handy information on their websites, which may help you design/select your rollover methodology. It certainly helped me choose mine:

http://tinyurl.com/laomkx

http://tinyurl.com/mt7kpq

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Post by 7432 » Wed Jul 08, 2009 2:14 am

all my foreign indexes(and bonds) roll on a specific date to get around this problem.
I have to look ahead and change the dates every 6 months or so and sometimes I might roll 2-5 days too early but I figure that's better than having IB just liquidate the position.
if you want to stick to OE you might try keeping track of both the full and mini ibex contract for rolls.

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Post by ADMP » Wed Jul 08, 2009 2:54 am

Thanks for your replies.

Here the reply of csi:
"The feed we recieved with the Vol & Open Interest was incorrect.  I have made the corrections for it, and you will see that change tonight."

Sluggo, thanks for the attachments. It seems that these 2 futures expire on the 3rd friday of each month. I think that there is no way to translate this in roll settings in csi like "roll 2 days before the 3rd friday". A fixed day must be chosen.

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Post by AFJ Garner » Wed Jul 08, 2009 3:28 am

And lo...the correction has been made and UA has automatically re-written my file this morning - the ASCI file now correctly shows July as the contract with the highest OI. There is still no volume for 7th July and the figures for vol and OI still look suspect for the past two days but at least no false roll is shown.

I track rolls on OI and also fixed fail safe dates for each position, established with the help of information collected from each exchange as regards first notice dates, last trading days and so forth. Along the lines of "if OI has not rolled by the fixed fail safe date then roll anyway".

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Post by ADMP » Wed Jul 08, 2009 3:34 am

Yes, I do the same sort of thing: roll on OI, but force roll 2 days before expiration if not already rolled.

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Post by AFJ Garner » Wed Jul 08, 2009 4:56 am

ADMP wrote:Yes, I do the same sort of thing: roll on OI, but force roll 2 days before expiration if not already rolled.
Maybe you only trade stock indices? If not, I'm sure you are aware that "expiration date" is not the key date for many other futures - the "notice date" is the key to prevent the danger of delivery?

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Post by ADMP » Wed Jul 08, 2009 7:36 am

Yes, you are right. I monitor the first notice dates for the futures with one outside of csi. And I keep the same roll settings for all futures in csi.

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Post by 7432 » Wed Jul 08, 2009 11:44 am

be careful with csi's roll by days before expiration. last time I checked csi said that it doesn't work real time, only for testing because the system doesn't actually know expiration before it happens.

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Post by ADMP » Wed Jul 08, 2009 1:17 pm

thanks, I check the rolls out of csi, but that's an important information.

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