London Metals Exchange
Thanks for the update Sluggo. Is LME data like normal futures data? Can it be back-adjusted or is it traded as spot price? I was having some trouble with this and emailed CSI data and I received the following response and was wondering if someone could help me clear it up:
"You can not Back-Adjust the LME. LME does not trade like other futures, you need individual delivery months to Back Adjusted."
I am new to LME and know nothing about it at this point. Thanks again.
"You can not Back-Adjust the LME. LME does not trade like other futures, you need individual delivery months to Back Adjusted."
I am new to LME and know nothing about it at this point. Thanks again.
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- Roundtable Knight
- Posts: 2038
- Joined: Wed Oct 06, 2004 10:52 am
- Location: San Marcos, CA
LME is a forward contract exchange where a position's max duration cannot exceed 90-days. LME uses the term "Prompt-date" to inform the trade when they must create a "roll-type" transaction. A position can be opened, closed by or before the prompt-date, and then opened again to create a new prompt-date.
Data for the metals is a forward contract that doesn't require any back-adjusting or even the need to think about contracts. Positions are opened, and rolled to the same data series. Think of this "roll-type" process as a position must pay rent before each 90-day cycle. You can pay more often, but don't pay late.
Process is fairly easy to program in Trading Blox so that TB can generate orders ahead of the prompt date to handle the payments of rent.
If you have interest in these metals markets add the CSI monthly expense to the data service and download the data so you can get a feel for how they trade, and how you would handle the predefined position duration transactions.
CSI Data names for the more popular markets:
Data for the metals is a forward contract that doesn't require any back-adjusting or even the need to think about contracts. Positions are opened, and rolled to the same data series. Think of this "roll-type" process as a position must pay rent before each 90-day cycle. You can pay more often, but don't pay late.
Process is fairly easy to program in Trading Blox so that TB can generate orders ahead of the prompt date to handle the payments of rent.
If you have interest in these metals markets add the CSI monthly expense to the data service and download the data so you can get a feel for how they trade, and how you would handle the predefined position duration transactions.
CSI Data names for the more popular markets:
Code: Select all
MHA1D0000$.TXT
MHA2D0000$.TXT
MNI1D0000$.TXT
MNI2D0000$.TXT
MPB1D0000$.TXT
MPB2D0000$.TXT
MTN1D0000$.TXT
MTN2D0000$.TXT
MZS1D0000$.TXT
MZS2D0000$.TXT