Price format, minimum tick for DJ Euro Stoxx 50 ?

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longmemory
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Price format, minimum tick for DJ Euro Stoxx 50 ?

Post by longmemory » Wed May 25, 2011 1:23 pm

What is the correct interpretation of CSI “price formatâ€

sluggo
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Post by sluggo » Wed May 25, 2011 2:24 pm

The key to understanding CSI Unfair Advantage's "Conversion Factors" is to first understand CSI "Points". These can sometimes be intricate and arcane; I think I wrote at least one post about them here; perhaps it's still around and perhaps you can find it using Search.

"When I use a word, it means just what I choose it to mean -- neither more nor less" (Lewis Carroll). The same goes for the word "Points" in the CSI UA documentation. Forget other meanings in other contexts; CSI UA has its own definition.

By enabling and disabling various program options, you can command CSI UA to write out an ASCII price data file in raw native CSI "Points" (rather than decimals, or 32nds, or ...). This is useful because it shows you exactly how the data is internally represented (which can sometimes be more illuminating than the Market Specs Factsheet).

I did this just now; I commanded CSI to output prices in "Points" for market #530 (SXE), the result is shown in Figure 1. Each price is an integer, the final two digits of which are zeroes.

CSI's Support Blog (and many other places) show that a Conversion Factor of +2 turns "Points" into "Newspaper Prices" by two operations: (1) Multiply "Points" by 0.01; (2) Round to two decimal digits. The result of these operations seems to match the format of price quotes on the Exchange website itself, see Figure 3. The exchange's symbol for this contract is FESX - Frankfurt EuroStoXx.
Attachments
Exchange_Site.png
Figure 3
Exchange_Site.png (19.69 KiB) Viewed 2009 times
CSI_support_blog_2009_01.png
Figure 2
CSI_support_blog_2009_01.png (38.46 KiB) Viewed 2011 times
SXE_ascii_file_in_CSI_Points.png
Figure 1
SXE_ascii_file_in_CSI_Points.png (13.85 KiB) Viewed 2009 times

longmemory
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Post by longmemory » Fri May 27, 2011 12:38 pm

Sluggo,

Thank you very much for the explanation. Yes, the CSI format is a bit odd, but does make sense. The 'lowest denominator price format' method is clever, but not how most trading software works, so it threw me.

L
p.s. my apologies for the slow reply and thanks. My internet provider had major equipment failure so bandwidth was drastically reduced and I took the opportunity to leave the house. :-)

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