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CSI Data Delivery VS. Electronic Market Open Hour

Posted: Tue Nov 30, 2010 10:29 pm
by tovetski
Hello everyone,

I was wondering how some of you handle CSI's combined electronic and pit traded markets. CSI completes its data update around 20:15PM at best but some electronic markets start trading earlier. Thus, the open for the combined contracts occur before we process the data and submit orders based on it.

For example:
Corn (C - Pit opens @ 09:30AM & ZC - Elec opens @ 18:00PM)
Dec/01/2010 Opened at 544-4 at 18:00PM, but it was trading @ 547 around 21:10PM. Thus, a market on open order would experience slippage in real-time that would not appear in simulations using the combined contracts.

Thank you for sharing your insights as to how this can be dealt with. Is it as simple as, test what you trade and trade what you test, thus don't use combined markets in your simulations because you can't trade some of the data you assume is available?