CSI Futures data comparison

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fab1usa1
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CSI Futures data comparison

Post by fab1usa1 » Sat Aug 06, 2011 1:09 pm

Hi everyone,

Yesterday I added North American Futures plus 10 years history to my existing subscription at CSI. After several stumbles I am now 90% certain that I am doing everything correctly.

I followed the directions on the Trading Blox site for Adding a New Market to CSI UA

When I compare the resulting price file (see attachment C2_0_I0B_FAB1USA1.TXT) with the price file that came with Trading Blox (see attachment C2_0_I0B_TRADINGBLOX.TXT) when I purchased it in April, I see the following discrepancies:

1. One day difference when contracts roll. For example, for the FAB1USA1 file the contract rolls from 201103 to 201105 on 20110210, whereas for the TRADINGBLOX file the contract rolls on 20110209.

2. The price values for OPEN, HIGH, LOW, CLOSE are significantly different between the two files for the same date.

Regarding #2 I need to plead ignorance. Something tells me that I do not understand the mathematics of Back Adjusting. I do understand that the TRADINGBLOX file was generated on or about April 6, 2011 whereas the FAB1USA1 file was generated on August 5, 2011. I am just guessing that the time-value of money has something to do with it.

Any and all responses are greatly appreciated. Thanks!

BTW, my UA version is 2.10.7.119
Attachments
C2_0_I0B_FAB1USA1.TXT
(492.19 KiB) Downloaded 164 times
C2_0_I0B_TRADINGBLOX.TXT
(399.9 KiB) Downloaded 164 times

rhc
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Re: CSI Futures data comparison

Post by rhc » Sun Aug 07, 2011 10:07 am

fab1usa1 wrote: The price values for OPEN, HIGH, LOW, CLOSE are significantly different between the two files for the same date.

. . . Something tells me that I do not understand the mathematics of Back Adjusting. . . . .
Yes, the prices are different for the two files but the change (i.e. delta) from today’s Open, High, Low, & Close and yesterday’s Open, High, Low & Close are the same.

This indicates that perhaps it’s a rollover date issue. The two series roll on a different date, hence the discrepancy in prices

If you like you can read this article titled “Continuous Contracts explainedâ€
Attachments
Must be a rollover date issue.jpg
Must be a rollover date issue.jpg (133.88 KiB) Viewed 3158 times

fab1usa1
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Post by fab1usa1 » Sun Aug 07, 2011 9:11 pm

Thanks, rhc, that article at PremiumData explained back-adjusting perfectly.

Can you please take a look at the attached screenshot and compare my UA to yours. One thing that I find very interesting is that the back-adjuster skipped the September contract. It went directly from July to December! That is, Friday's price comes from the December contract.
Attachments
CSI UA 2_10_7_119 Back Adjust Form.jpg
CSI UA 2_10_7_119 Back Adjust Form.jpg (200.23 KiB) Viewed 3131 times

rhc
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Post by rhc » Mon Aug 08, 2011 2:05 am

That's a mighty busy screenshot!!
Since I am not a CSI UA user, I'm not familiar with how CSI UA goes about its rolling business.
Perhaps someone who does can offer some tips for you.
One thing that I do notice is that you have the 'Roll trigger' radio button set to 'open Int' rather than 'date'.
Could this be something worth looking at?

In any event, here are my roll settings for Corn as requested.
Attachments
Corn Roll template.jpg
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fab1usa1
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Post by fab1usa1 » Mon Aug 08, 2011 10:14 am

Thanks, rhc, that's brilliant!

I altered my back-adjust rule to roll 5 days from the end of the month 1 month prior to expiry, and now I can duplicate your price data from 4/1 to 4/6.

Do you use that rule for all markets? For corn that rule rolls 3 weeks prior to expiry. From what I have read they say that one should not wait too close to expiry.

One final observation, the price file that came with Trading Blox ended with "_IOB". CSI uses that to indicate that the rule employed was a function of Open Interest. Since my Open Interest-based file did not match the file from Trading Blox, I can only surmise that TB used different parameters that I cannot replicate.

One final question, but this is a little off-topic:
Is there a rule of thumb that says how much cash-on-hand one should have for margin calls?

rhc
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Post by rhc » Mon Aug 08, 2011 5:35 pm

fab1usa1 wrote:Do you use that rule for all markets? For corn that rule rolls 3 weeks prior to expiry. From what I have read they say that one should not wait too close to expiry
I don't think there are any hard and fast rules on this one.
Some contracts roll quite close to the last minute & others weeks before expiry. Generally you'll roll before the first notice day where applicable and before expiry (obviously!)
Study the default rollover dates that are supplied with CSI. I would imagine that this would be the 'industry standard' in which case you might like to adopt this standard for yourself.
It can sometimes feel comfortable doing what everyone else does.
Alternatively do something uncomfortable!

Here are the Rollover dates as used by Pinnacle data subscribers
http://www.pinnacledata.com/clc.html
Scroll down the link, check and compare these against CSI. See what you can see.

You might consider gaining some more knowledge on this topic by searching this forum for the word "Rollover". Lot's of good honest info to be found.
Example: A Blox forum search using the key words "Rollover Dates" reveals this goodie (amongst many others);
viewtopic.php?t=7569&postdays=0&postord ... es&start=0
. . . . well worth a careful read

fab1usa1
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Post by fab1usa1 » Mon Aug 08, 2011 6:04 pm

Thank you for all your help, rhc. I don't know what I would do without you. I can only hope that one day I can help a newbie "learn the ropes" like you have helped me. Thanks again!

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