Volume disappeared on CME South African Rand futures?

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vicets
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Volume disappeared on CME South African Rand futures?

Post by vicets » Wed Jul 07, 2010 4:04 pm

The bid/ask has basically disappeared (I am looking at the SEP 10 contract), volume seems have to have dried up. I remember trading this contract just a couple of months ago, has anybody here been caught holding this while volume dried up? I am lucky enough to have no position but it appears to me I should remove the Rand from my systems, it just doesn't offer liquidity.

Did the "holding contract while volume disappears and bid/ask spreads widen" problem happen to posters here in other markets before?

Thanks for any insight shared.

sluggo
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Post by sluggo » Wed Jul 07, 2010 8:45 pm

Perhaps people trade it via EFP transactions (Exchange For Physical), which are listed as "other" in the CME volume report. Some brokerages offer EFPs, many do not.

You can see that I typed "AFR" into the search box of Acrobat Reader, and it found the word "AFRICAN" (highlighted in blue). My previous search, for ZAR, found nothing :(
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Chris67
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Post by Chris67 » Thu Dec 02, 2010 7:14 am

It seems CSI data is now reporting - whichever way you download it / refresh it / generate fwd / not generate fwd - that June 2015 is now the front month ??
Same with Ruble - dont know whats occuring there

Chris67
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Post by Chris67 » Thu Dec 02, 2010 7:20 am

actually Im wrong - its just the ruble that has occured with - the volume is back in the rand though right ?

sluggo
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Post by sluggo » Thu Dec 02, 2010 9:22 am

I experienced, um, an issue with CSI software, build UA 2.10.7.112 . Large numbers of individual month contracts just disappeared -- poof! -- and the rollovers went crazy.

This MAY suggest one or more new sanity tests that you MIGHT want to put into your data verification software, which you run every day before generating orders. To alert you that this new type of issue has occurred.

Luckily for me, I was able to correct the problem via a simple voodoo ritual:
  1. Lanuch UA, Database / Refresh Price History (takes 10 minutes), exit UA
  2. Launch UA, Preferences / Download Preferences / General Collection Date, type in the date of 3 or 4 days ago, then Download, then Portfolio Select All, then Rewrite File Immediately, then exit UA
  3. Run the data verifier software again, voila, problem gone

You may wish to try this ritual to see whether the ruble, and/or the rand, gets better.

RedRock
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Post by RedRock » Thu Dec 02, 2010 6:14 pm

sluggo wrote:I experienced, um, an issue with CSI software, build UA 2.10.7.112 . Large numbers of individual month contracts just disappeared -- poof! -- and the rollovers went crazy.
I had a similar issue after refreshing my database over the holidays. Missing days, orders gone crazy etc. I didn't know about setting the general collection date option. Tried installing a fresh complete UA download, but with the same result. Finally copied my backed up UA version (by Casper) from a week ago. After updating, all was well. Have to look into that collection date option though hopefully this was a one time deal...

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