Synthetic CSI Spreads

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SpireTrader
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Synthetic CSI Spreads

Post by SpireTrader » Fri Jan 15, 2010 4:27 pm

Anyone know how to put together Hi, Low, Close data for calender spreads in CSI? I've figured out how to graph it but would like to have the data so I could test it in blox. Basically I need to take one contract and subtract an additional one and do that for the H, L, C. Just wondering if anyone has attempted to do that or knows of any other resource for spread data. It's tough because its not an official exchange product. Thanks guys.

Jez Liberty
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Post by Jez Liberty » Fri Jan 15, 2010 5:08 pm

Did you try using CSI API. Instictively, this is how I think you could do it: retrieve the 2 contracts you are interested in and calculate the spread on them (linking them by date). Output the result in a file that Trading Blox can read. i havent done this myself but I would look at it that way.

The CSI API documentation can be found there:
http://www.csidata.com/custserv/onlineh ... OleApi.doc

I also have posted some C# code using the API to retrieve back-adjusted contract - which you could use as an example:
http://www.automated-trading-system.com ... uous-data/

PS: I dont think you can calculate the high and Low of the spread accurately solely based on High/Low/Close of underlying contracts (ie substracting both contracts Lows to obtain the spread Low assumes that both Lows took place at the same time... The real spread Low is going to be somewhere between Low-Low and Low-High.)

Moto moto
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Post by Moto moto » Mon Jan 18, 2010 12:23 pm

I did this the slow way in excel, by just taking the last trade, and we in putted it into my own system. (I dont own TB yet)
Jez Liberty is correct in his last paragraph.

For accuracy using the H and L is largely irrelevant unless using tick data, as you need to match the timing of when they occurred to be relevant.
You need both the bid and the ask for each instrument at the time to be able to calculate exactly where you would get set in a real life situation - this is a big element of slippage, and where a lot of money is made or lost in spread trading - unless the long term is the aim. (of course it is on a long term trend forum) :roll:
If you are trading the spread the only relevant items really is the last trade for each instrument at the same time. A simple addition or subtraction for the spread.
Even this though this is a fudge it might save you time.

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