CSI has now added a forward roll schedule report.

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LeapFrog
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CSI has now added a forward roll schedule report.

Post by LeapFrog » Mon Mar 14, 2011 2:01 pm

In the latest upgrade available here...

http://www.csidata.com/custserv/updates ... pgrade.exe

CSI has now provided a .txt report generated off users' portfile.adm showing "Days To Go" until the next roll over for all back-adjusted instruments in all portfolios.

I know others have done their own homegrown version of this, but for the rest of us, we can now generate this information directly out of CSI.

This was something I missed when migrating from the Pinnacle Data service and I'm glad to now have this feature available in CSI as well.

It enabled me to find and correct a couple of mistakes I had in my CSI data that were much easier to find using this report. Being a .txt file, it can easily be put in a spreadsheet and sorted as desired. Below is an example of the first two lines.

My thanks to Josh Reed at CSI for providing this new feature.

(p.s. for those who dare to try it out, treat the upgrade pointed to above as a "beta", copy your current UA folder before doing anything so you can get back to square one if you don't like what it does.)
Attachments
rollschedule.GIF
rollschedule.GIF (21.04 KiB) Viewed 4091 times
portFileRollSchRpt.GIF
portFileRollSchRpt.GIF (86.49 KiB) Viewed 4093 times

marriot
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Post by marriot » Thu Dec 19, 2013 6:17 am

Does anyone have this false rollover advice from Csi Rollover Schedule Report?
Today, 19 Dec, some Tokyo futures have to roll on 2th December, which seem to be tomorrow.
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roll schedule.JPG
roll schedule.JPG (84.81 KiB) Viewed 3890 times

Roger Rines
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Post by Roger Rines » Thu Dec 19, 2013 10:55 am

Your example shows that the contracts you are scheduled to roll into do not yet exist and are not yet trading.

When you find this kind of roll forward detail consider looking at the first available trade dates in the individual Futures contract listing. This view will give you a sense of when the next available contract needed on a far reaching roll timing plan is possible.

When I looked at my JPL Rubber contract it shows the Dec.-2014 contract won't be available until around the 25th of Dec. This might just be a timing issue with CSI's Data schedule, but at least it lets you get past the impossible schedule being shown in your roll-forward report, and it gives you something to request from CSI Support.

Current release of UA has a much nicer Roll-Forward schedule and it now has provision for exporting to Excel as well as being displayed in Notepad.
Attachments
JPL_Contracts First & Last Trade Dates.png
JPL Rubber Individual Contract Dates
JPL_Contracts First & Last Trade Dates.png (33.41 KiB) Viewed 3867 times

marriot
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Post by marriot » Thu Dec 19, 2013 11:30 am

Ahaaah,
my rolls date are somewhat early!
Even if results charts look better then roll on open interest.
Thank you Roger.
Attachments
Roll on open interest.JPG
Roll on open interest.JPG (51.08 KiB) Viewed 3855 times
my visual roll date.JPG
my visual roll date.JPG (59.53 KiB) Viewed 3855 times

marriot
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Post by marriot » Fri Dec 20, 2013 6:52 pm

Compete with the great support we get every day from Tim, Jake, Roger, Sluggo, is a big challenge.
Let me add on the family "Josh" from Csidata.
Thank you all : )
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marriot
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Post by marriot » Mon Dec 23, 2013 2:42 pm

Does anybody know why some date for Next Exipiry are missing and others have an asterisk ?
Sorry, but i was not able to find details on the help files.
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Next Expiry.JPG
Next Expiry.JPG (38.53 KiB) Viewed 3774 times

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