Search found 49 matches
- Fri Apr 23, 2010 2:36 pm
- Forum: Futures Markets
- Topic: CSI Symbol LGO Expiration & Notice/Delivery Question
- Replies: 2
- Views: 3002
CSI Symbol LGO Expiration & Notice/Delivery Question
I've been building a pretty extensive futures dictionary logging delivery/first notice dates and expiration date structures. A little confused with this one on when first notice might occur and when expiration occurs. So this one looks like expiration is 2 business days prior to the 14th calendar da...
- Tue Mar 09, 2010 4:05 pm
- Forum: Data Providers and other non testing software
- Topic: Big Point Value Calculation
- Replies: 5
- Views: 4867
- Tue Mar 09, 2010 3:21 pm
- Forum: Data Providers and other non testing software
- Topic: Big Point Value Calculation
- Replies: 5
- Views: 4867
Big Point Value Calculation
I wanted to post this in the newbie section because it's a pretty newbie question, but it was locked. I'm wondering exactly what the big point value is for a commodity? Using CSI symbol ATF for example. http://www.adex.ase.gr/AdexHomeEN/index.html According to the exchange, the multiplier is EUR5 an...
- Mon Mar 08, 2010 6:37 pm
- Forum: Data Providers and other non testing software
- Topic: Rolling on OI etc
- Replies: 10
- Views: 9005
Here is a peak into what I want to eventually do (and I'm close!). Attached is a file. The left data set that is unbold is my continuous data set, using the individual contract data from CSI for KW. This data set was built with the ability to see the future and it represents, what I believe to be, t...
- Mon Mar 08, 2010 2:19 pm
- Forum: Data Providers and other non testing software
- Topic: Rolling on OI etc
- Replies: 10
- Views: 9005
I've been getting involved in this type of stuff the past 2 months. This is exactly the sort of issue that I eventually want to be able to handle with my stitching scripts. Is the first notice date fixed or defined somehow so that you would know when it is going to occur many weeks in advance? Much ...
- Sun Mar 07, 2010 6:23 pm
- Forum: Testing and Simulation
- Topic: Contract Information You Track That CSI Does Not
- Replies: 2
- Views: 2520
Contract Information You Track That CSI Does Not
I wasn't too sure where to post this. This section seemed like the best. Below is an excerpt from my diary/blog. I'm curious, what data points about an instrument do you guys keep track of that CSI does not and why? ------------------------------ I'm almost finished with my tradeable futures list. T...
- Tue Mar 02, 2010 2:30 pm
- Forum: Futures Markets
- Topic: CSI symbols MW, MW1, MW2 confusion
- Replies: 3
- Views: 3419
I called CSI and asked why the volume for the combined contract MW2 did not equal the volume for MW + the volume for MW1. He said that the MW contract volume is zero, but because customers don't like contracts with zero volume, they dummy a number in there and use the electronic product's volume num...
- Tue Mar 02, 2010 12:38 pm
- Forum: Futures Markets
- Topic: CSI symbols MW, MW1, MW2 confusion
- Replies: 3
- Views: 3419
CSI symbols MW, MW1, MW2 confusion
I downloaded quite a few symbols from CSI and ran some initial liquidity screens to generate a starting point for possible tradeable instruments. MW, MW1 and MW2 all made the cut. When going through on my second pass to prune out some of the duplicate markets, I became rather confused about a lot of...
- Sun Jan 31, 2010 12:51 pm
- Forum: Custom C++ or Java Platforms
- Topic: Dreaming up the ultimate contract stitching software
- Replies: 13
- Views: 13641
The blog is pretty much private. There's not a whole lot of interesting stuff in there right now anyway. The goal of all of this is to come up with a way to roll contracts for my eventual trading system and to familiarize myself with CSI and its data. If you really dig deep into the individual contr...
- Fri Jan 29, 2010 10:45 pm
- Forum: Custom C++ or Java Platforms
- Topic: Dreaming up the ultimate contract stitching software
- Replies: 13
- Views: 13641
Another excerpt from tonight. ----- I finally got most of the program up and running. Right now, I'm able to do the following: 1) Read through every file in the historical data directory and organize the files into chronological order based upon symbol, contract year and contract month. 2) I look at...
- Fri Jan 29, 2010 10:44 pm
- Forum: Custom C++ or Java Platforms
- Topic: Dreaming up the ultimate contract stitching software
- Replies: 13
- Views: 13641
- Sat Jan 16, 2010 12:04 am
- Forum: Custom C++ or Java Platforms
- Topic: What's your favorite programming platform?
- Replies: 21
- Views: 51907
- Fri Jan 15, 2010 1:59 pm
- Forum: Custom C++ or Java Platforms
- Topic: What's your favorite programming platform?
- Replies: 21
- Views: 51907
What's your favorite programming platform?
I just upgrade my Windows machine to 64 bit Windows 7 and when trying to reinstall my version of Matlab (it's OLD -- from the early 2000s), it no longer works. I've been thinking of switching platforms for a while now and I think this might be a good time to look into doing so. I have some experienc...
- Tue Jan 12, 2010 5:59 pm
- Forum: Custom C++ or Java Platforms
- Topic: Dreaming up the ultimate contract stitching software
- Replies: 13
- Views: 13641
Thanks for the comments all. I've implemented some of the suggestions and I'm working on implementing others. I've been real busy with being sick, buying a new house and renting out the old one on top of being an expected dad! I wouldn't have any problems sharing the code when it's finished, but I d...
- Thu Dec 24, 2009 6:35 pm
- Forum: Custom C++ or Java Platforms
- Topic: Dreaming up the ultimate contract stitching software
- Replies: 13
- Views: 13641
Dreaming up the ultimate contract stitching software
I'm currently writing some custom software in Matlab to stitch together futures contracts for me. I'm curious what some of the users on this forum WISH they could do but cannot. Right now I've covered most of the basic things like: 1) How to stitch together the contract? Close to Close? Close to Ope...
- Sat Dec 05, 2009 2:32 am
- Forum: Data Providers and other non testing software
- Topic: First Notice, Expiration, Settlement Type and CSI
- Replies: 6
- Views: 5518
First Notice, Expiration, Settlement Type and CSI
I've looked through CSI's manual to see if they're able to output first notice dates, expiration dates and settlement types alongside the normal OHLC, etc. outputs. I've read through their manual pretty throughly and it looks like they don't have that type of functionality. I called them and they co...
- Thu Oct 01, 2009 2:39 pm
- Forum: Testing and Simulation
- Topic: Support & Resistance
- Replies: 5
- Views: 5220
- Sat Sep 26, 2009 4:13 pm
- Forum: Testing and Simulation
- Topic: Support & Resistance
- Replies: 5
- Views: 5220
After going through the numbers and looking more closely at the data, I wonder if my conclusion about there being no edge (compared to a random entry) at support/resistance areas is correct. I think part of the problem is the way in which I set up the test. I only tested the most newly formed suppor...
- Wed Sep 23, 2009 2:50 pm
- Forum: Testing and Simulation
- Topic: Support & Resistance
- Replies: 5
- Views: 5220
- Tue Sep 15, 2009 1:10 pm
- Forum: Trend Indicators and Signals
- Topic: Pattern Recognition/Computer Artificial Intelligence
- Replies: 6
- Views: 9165