CSI Price Format CSI#529 DJ STOXX 50 Eurex
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- Roundtable Knight
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CSI Price Format CSI#529 DJ STOXX 50 Eurex
Looks to me as though CSI have their price format wrong - which , er, slightly mucks things up if you are looking at contract size and volatility and which markets to trade. Today's index level is around 3465 not 34650. According to Eurex.
Makes quite a difference!
Makes quite a difference!
I happen to have a position in the STOXX-50 in one of my accounts (see image). I am in the same boat as you: my broker's quotes are also four digits rather than five. Happily, once you know about the situation, you just make a small adjustment in your software and presto! all is well. A similar scale-factor difference occurs in Cocoa and several of the grains. Just another wrinkle in the futures trading game.
Warning: brokers aren't used to taking orders in these futures and very often think you are trying to trade the EuroSTOXX (CSI symbol SXE, CSI number 530) rather than the STOXX-50. Be very careful.
I have found it useful to learn the symbol of this futures contract as displayed on the broker's quote machine. This reduces the chance of miscommunication. On Bloomberg it is "VHH6" and on Eurex it is "FSTX". Most importantly of all (in my own personal situation!), on my broker's quote system called Mercury, it is "FSTX".
Good luck to all.
Warning: brokers aren't used to taking orders in these futures and very often think you are trying to trade the EuroSTOXX (CSI symbol SXE, CSI number 530) rather than the STOXX-50. Be very careful.
I have found it useful to learn the symbol of this futures contract as displayed on the broker's quote machine. This reduces the chance of miscommunication. On Bloomberg it is "VHH6" and on Eurex it is "FSTX". Most importantly of all (in my own personal situation!), on my broker's quote system called Mercury, it is "FSTX".
Good luck to all.
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- Roundtable Knight
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Thanks, it is the Stoxx 50 which interests me. I don't want to overweight on stock indices and the Stoxx 50 seems a useful way of covering Europe while leaving plenty of room for the US, Japan and a couple of exotic markets for good balance.
My reasoning is that Stoxx 50 is broader - importantly it covers the UK which is one of the biggest equity markets in Europe.
Trying to find the constituents of the indices from the Eurex website is taxing, so in case anybody else is interested I attach pdf files which give an overview.
My reasoning is that Stoxx 50 is broader - importantly it covers the UK which is one of the biggest equity markets in Europe.
Trying to find the constituents of the indices from the Eurex website is taxing, so in case anybody else is interested I attach pdf files which give an overview.
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- Roundtable Knight
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Same issue
I had that same issue recently with Aussie Three Year with CSI. Here is what they told me to do to fix the problem:
1.) Database History Refresh (about 20 mins)
2.) Refresh All (about 5 mins)
That fixed my YTT issue.
Zach
1.) Database History Refresh (about 20 mins)
2.) Refresh All (about 5 mins)
That fixed my YTT issue.
Zach
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Hmm? Looks like the way you see price data quoted from CSI varies by individual.
Check out how my CSI setup looks for #529 and #530. I just did a history refresh, but nothing changed.
Interesting the differences between the backadjusted futures prices and the cash price listed for each market. For the SXE the cash price is xxxx.xx. For the SXX the cash price is xxxxx.x. However, the SXX futures price shows up consistent with the price format shown on the Eurex website. The SXE price is 1/10th the Eurex quote.
Jake
Check out how my CSI setup looks for #529 and #530. I just did a history refresh, but nothing changed.
Interesting the differences between the backadjusted futures prices and the cash price listed for each market. For the SXE the cash price is xxxx.xx. For the SXX the cash price is xxxxx.x. However, the SXX futures price shows up consistent with the price format shown on the Eurex website. The SXE price is 1/10th the Eurex quote.
Jake
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- Roundtable Knight
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I am seeing the following in CSI back adjusted prices for the close on 1st March:
SXX CSI#529 34,910
SXE CSI#530 3812
After my e-mail to CSI, theY changed the point value on the contracts. They left the "price format " the same - as can be seen from my read outs above. They have still got it all wrong.
It is supposed to be as follows:
SXX 3,491 Contract value Euro 10 per Index Point
SXE 3,812 Contract value Euro 10 per Index point.
In any event it would indeed appear that different CSI users are seeing different things! But this is what I am currently seeing.
SXX CSI#529 34,910
SXE CSI#530 3812
After my e-mail to CSI, theY changed the point value on the contracts. They left the "price format " the same - as can be seen from my read outs above. They have still got it all wrong.
It is supposed to be as follows:
SXX 3,491 Contract value Euro 10 per Index Point
SXE 3,812 Contract value Euro 10 per Index point.
In any event it would indeed appear that different CSI users are seeing different things! But this is what I am currently seeing.
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I have not heard anything from CSI, but this morning I went into the factsheet and altered the price format (per Mr. Garner's above post ) for SXE from 2 to 1 and the point value from EUR .1 to EUR 1.0.
My SXE prices now match those of the SXX and the Eurex quote. Funnily enough, the cash price for SXE now appears as ten times the appropriate value. Oh well.
If you do this operation, make sure and exit UA and restart it to see the changes take effect on your portfolios.
Jake
My SXE prices now match those of the SXX and the Eurex quote. Funnily enough, the cash price for SXE now appears as ten times the appropriate value. Oh well.
If you do this operation, make sure and exit UA and restart it to see the changes take effect on your portfolios.
Jake
My system rejected an entry a few weeks go on the basis of too much open risk. It was in CSI symbol SXX, as above.
Today I noticed the performance of that symbol and pondered the rejection. It didn't seem right. I looked at it... hang on there's and extra zero in the CSI data. The open risk on the prospective trade was 10 times reality!!
Thanks CSI, I should be long but am not. Its costing me about eur3000.
Even though CSI are 100% wrong with their price format and BPV static data, I take full responsibility for not distrusting them in the first place.
I'm in a drawdown as well. Groan and moan. Bugger it.
I now need to work out what my rule is for fixing this: enter on retracement at Limit, if so, how deep. Or enter Monday MOO.
Trading isn't easy and I make it even harder for myself by taking big risk (and pay the price often). But this?! Using CSI data can truly be an Unfair Disadvantage.
(After finding the error I used forum search to see if this had been discussed. I almost lost my lunch on the table when I saw this thread. How did I ever miss it?)
Today I noticed the performance of that symbol and pondered the rejection. It didn't seem right. I looked at it... hang on there's and extra zero in the CSI data. The open risk on the prospective trade was 10 times reality!!
Thanks CSI, I should be long but am not. Its costing me about eur3000.
Even though CSI are 100% wrong with their price format and BPV static data, I take full responsibility for not distrusting them in the first place.
I'm in a drawdown as well. Groan and moan. Bugger it.
I now need to work out what my rule is for fixing this: enter on retracement at Limit, if so, how deep. Or enter Monday MOO.
Trading isn't easy and I make it even harder for myself by taking big risk (and pay the price often). But this?! Using CSI data can truly be an Unfair Disadvantage.
(After finding the error I used forum search to see if this had been discussed. I almost lost my lunch on the table when I saw this thread. How did I ever miss it?)
Last edited by damian on Fri Oct 13, 2006 2:15 pm, edited 2 times in total.
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- Roundtable Knight
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I happen to like CSI even though they are occasionally imperfect. Over the years, I've learned that when I am about to add a new market I've never traded before, it is cheap insurance to call my broker and give the following pair of orders:
It's cheap insurance. Now I get to see how the new market appears on (A) my broker's statement, and compare that to (B) how it appears in CSI, and also compare it to (C) how it is set up in my testing and order generating software. This has saved my hindquarters several times.
I've gotten the BPV and/or the quote format wrong at least a half dozen times, which the above procedure has caught and corrected.
If you assume it's a 50-50 proposition whether Burmese Artichokes will rise or fall in the first hour of trading, the little order pair above only costs 2*(Bid-ask-spread) + 1*commission on average, which isn't a huge amount.
Another resource I have used, is to call my broker on the telephone and ask for the closing price of Feb Burmese Artichokes, including the decimal point. Make her say five zero nine three decimal two four. Then compare this to the futures exchange's "Contract Specification" and to CSI's quotes and to the trading software's setup tables.
Yes, really.Buy 1 contract of February Burmese Artichokes at market on the open
AND
60 minutes after the open, sell 1 contract of Feb Burmese Artichokes at the market
It's cheap insurance. Now I get to see how the new market appears on (A) my broker's statement, and compare that to (B) how it appears in CSI, and also compare it to (C) how it is set up in my testing and order generating software. This has saved my hindquarters several times.
I've gotten the BPV and/or the quote format wrong at least a half dozen times, which the above procedure has caught and corrected.
If you assume it's a 50-50 proposition whether Burmese Artichokes will rise or fall in the first hour of trading, the little order pair above only costs 2*(Bid-ask-spread) + 1*commission on average, which isn't a huge amount.
Another resource I have used, is to call my broker on the telephone and ask for the closing price of Feb Burmese Artichokes, including the decimal point. Make her say five zero nine three decimal two four. Then compare this to the futures exchange's "Contract Specification" and to CSI's quotes and to the trading software's setup tables.
Now you guys speak up with the bright ideas.
I expect a few hundred dollars from everyone who avoids this costly error as a result of the above advice from Sluggo (at 5:53pm, 13 Oct 06)
Learning experiences though loss are worth money! I should start selling them at a small discount to what it would cost to learn it oneself.
"I made a mistake last week that cost me $3000. Its a pretty fair chance that you will make the same mistake one day yourself. I'll tell you what it is for $2000"
I expect a few hundred dollars from everyone who avoids this costly error as a result of the above advice from Sluggo (at 5:53pm, 13 Oct 06)
Learning experiences though loss are worth money! I should start selling them at a small discount to what it would cost to learn it oneself.
"I made a mistake last week that cost me $3000. Its a pretty fair chance that you will make the same mistake one day yourself. I'll tell you what it is for $2000"