CSI data different on perpetual contract than on actual

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MarkS
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CSI data different on perpetual contract than on actual

Post by MarkS » Wed May 16, 2012 9:42 pm

Anyone else have this occur to them? It's happens me about once every couple of months -- usually when I notice TB suddenly stops me out of a trade at a price that the market clearly never touched. For example, tonight (5/16/12), on my back-adjusted Mini-Wheat, the front month is July. High on perpetual contract is 666, while the actual July shows 642. The low and open also differ, as even does the volume. The only thing the same is the closing price, but since TB runs off the perpetual contract and not the actual one, I got stopped out.

Is this an Unfair Advantage program issue, a CSI data issue, or perhaps something else? All 47 of my other markets are all the same O/H/L/C versus their perpetual contracts, so I'm leaning towards something in the data.

RedRock
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Post by RedRock » Wed May 16, 2012 10:01 pm

If you have intraday charts, take a look and see what really happened. You can adjust the contract month in csi to match reality and re run your distribution which will rebuild your files with the now accurate data. Also, notify csi of the errors so they may correct their database for the next download. Do not necessarily trust the exchanges price reports if it matches csi, unless the data is verified by the clearing house / T&S. Trust what happened in your account and by a review of the 1 min etc bars.

Sometimes V, OI are in error causing an unexpected roll to some bizzaro month.

trackstar
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Post by trackstar » Wed May 16, 2012 10:39 pm

I have run into lots of problems on mini contracts, you have to watch those things carefully since they are not liquid. Also consider moving to calendar rolls for those contracts.

7432
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Post by 7432 » Thu May 17, 2012 8:34 am

http://www.cmegroup.com/trading/agricul ... tures.html

mini wheat high is 666'0 according to the cme website.
it reads like you have csi and tb set to mini wheat but are looking at the full contract for a price check.

MarkS
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Post by MarkS » Thu May 17, 2012 10:01 am

Turned out this morning when I looked at it with a clearer head before work I was looking at a perpetual contract built on XW2--floor and electronic-- against the mini XW, which is the mini only on the Mid-Am. That's the difference. And since I also trade full size wheat [I run TB on mini so that it can give me an order for something like 7 contracts of mini wheat, and then I trade 1 full size and 2 mini) I was thrown off by how large of a difference there was between the day's highs.

Redrock -- I've def had those mystery roll errors -- "Roll into Eurodollar June 2013" out of nowhere. :)

Thanks for the time to reply everyone. Always appreciated!

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