Propane from CSI

Use this forum to discuss data providers like CSI, charting, or other non testing software.
Post Reply
Corn Elius
Senior Member
Senior Member
Posts: 28
Joined: Mon Jul 21, 2003 12:33 am

Propane from CSI

Post by Corn Elius » Fri Jun 03, 2005 1:27 pm

Did Propane get split? A few days ago, it was trading at 160, and now it's at 80. In checking NYMEX, it looks like it's always been around 80-90. Did CSI re-adjust?

sluggo
Roundtable Knight
Roundtable Knight
Posts: 2986
Joined: Fri Jun 11, 2004 2:50 pm

Post by sluggo » Fri Jun 03, 2005 9:37 pm

The attached chart came from CSI, it doesn't show 160.
Attachments
propane.png
propane.png (26.2 KiB) Viewed 3054 times

Corn Elius
Senior Member
Senior Member
Posts: 28
Joined: Mon Jul 21, 2003 12:33 am

Post by Corn Elius » Sat Jun 04, 2005 12:41 am

Strange. This came from CSI also, and it does show 160.
Attachments
pn.jpg
pn.jpg (115.83 KiB) Viewed 3046 times

damian
Roundtable Knight
Roundtable Knight
Posts: 815
Joined: Tue Apr 15, 2003 8:43 pm
Location: dusseldorf

Post by damian » Sat Jun 04, 2005 2:38 pm

:D

corn v slug

sluggo
Roundtable Knight
Roundtable Knight
Posts: 2986
Joined: Fri Jun 11, 2004 2:50 pm

Post by sluggo » Sat Jun 04, 2005 7:43 pm

Look at the table entry for 01 June. A rollover from the June contract to the December contract (see "Delivery" column), followed by three days of zero volume and semi-fictitious quotes (Open = High = Low = Close). The spread between December propane and June propane on rollover day (01 June) was huge, and this caused the continuous back-adjuster algorithm to alter past prices rather dramatically. One possible interpretation is that it may be unwise to trade the December contract of propane during early June, because nobody is around to take the other side of your trades.

Although I don't personally know anybody who trades actual propane futures contracts, I do know lots of people who watch the propane chart and who run various technical studies on continuous contracts of propane as part of market-sector analysis. All of these researchers roll over their propane contract at least 6 times per year; in fact the most popular choice is to roll it over 12 times per year. It appears that you've got CSI set up to roll propane only 2 times per year, which may not be the best choice.

Corn Elius
Senior Member
Senior Member
Posts: 28
Joined: Mon Jul 21, 2003 12:33 am

Post by Corn Elius » Sat Jun 04, 2005 11:09 pm

Huum. I have the same roll scenario as I do with the other commodities.
Attachments
csi.jpg
csi.jpg (83.64 KiB) Viewed 3006 times

Kiwi
Roundtable Knight
Roundtable Knight
Posts: 513
Joined: Wed Apr 16, 2003 1:18 am
Location: Nowhere near

Post by Kiwi » Sun Jun 05, 2005 1:35 am

This isn't a roll over issue and unless they've changed the contract specs for Propane its not likely to be a "split." The price is in dollars and cents per gallon but it looks like CSI quotes cents. A halving of the price of propane would be surprising.

To resolve the problem force CSI to reload the contract data (delete the contract and reinitialize it would do it) and Corn's data will probably look the same as Sluggos.

Corn Elius
Senior Member
Senior Member
Posts: 28
Joined: Mon Jul 21, 2003 12:33 am

Post by Corn Elius » Sun Jun 05, 2005 12:03 pm

I did. Same problem. Sluggo, are you manually rolling over every month?

Kiwi
Roundtable Knight
Roundtable Knight
Posts: 513
Joined: Wed Apr 16, 2003 1:18 am
Location: Nowhere near

Post by Kiwi » Sun Jun 05, 2005 6:17 pm

Corn,

Check the raw data on those two contracts ... what does it do around the roll over time ... perhaps u could share that with us.

Also, u might email Rudy at CSI ... with that file information from here. He used to be quite responsive to issues like this.

Corn Elius
Senior Member
Senior Member
Posts: 28
Joined: Mon Jul 21, 2003 12:33 am

Post by Corn Elius » Sun Jun 05, 2005 10:31 pm

I see it all now. My mind has opened up and I have glimpsed the truth. Thanks guys. I still wonder how Sluggo got the correct data for his chart, even though we both have back-adjusted data?

I'll phone CSI anyway on Monday to see how to correct this little anomaly.

Thanks again.

sluggo
Roundtable Knight
Roundtable Knight
Posts: 2986
Joined: Fri Jun 11, 2004 2:50 pm

Post by sluggo » Mon Jun 06, 2005 11:19 am

These two messages from the Customer area, might be helpful:
viewtopic.php?p=9891&highlight=rol%2A#9891
viewtopic.php?p=8498&highlight=rol%2A#8498

Corn Elius
Senior Member
Senior Member
Posts: 28
Joined: Mon Jul 21, 2003 12:33 am

Post by Corn Elius » Thu Jun 09, 2005 3:30 pm

It ended up being the C++ back-adjuster. CSI recommened I use the older Fortran back-adjuster, and it works. The fact that July has 0 volume messes up the C++ adjuster.

Weird.

Post Reply