Traders' Roundtable

Does anyone have a list of the big point values used by CSI with their data?
This value is used to reconcile data across different vendors, each of whom may use different units to store their pricing data.

I have a copy of the document they post on their site:
http://www.csidata.com/factsheets/commod.pdf
(thanks to Ken, Mac & Vince for suggestions)

I am just checking to make sure if this is correct.

Thanks for any help.

Dan, If you still need it let me know what contracts you want it for and Ill get the data.

John

Dan

Dan, in my copy of UA the tick value for corn in wrong. CSI lists $6.25 per tick (there is 4 x 25 point ticks per big figure). I understand the correct value to be $12.50, or $50/big figure.

They may I have updated it in the online document that you refer to, I have not checked.

Thank you very much Damian for this information.
Any chance they have made a similar error with
Oats, Soybeans or Wheat (All of which it also reports with a 6.25 big point?)

Thanks for any info.

My pleasure ("do itashimashite" in Japanese).

A very clever fellow who is from NZ and likes to post a lot on this forum just let me know that CSI reports corn as trading in 1/8th minimum ticks rather than 1/4, hence the $6.25/tick at 1/8th of a big point.

There is a chance that this applies to some other products as well, eg, oats and beans . Both O & S trade on $50 BPV's at 1/4 ticks which suggests that each tick is valued at $12.5 - like corn. (this is from memory, have not checked at the exchange myself, I dont actually trade either product).

The CSI "Factsheet" refers to the way Corn prices were quoted a few years ago. Prices were in eighths of a cent (per bushel) and the minimum tick size was two eighths. CSI's factsheet says the Little_Point_Value is $6.25 per littlepoint, and the minimum tick is 2 littlepoints.

This is no longer correct; the CBOT changed the official price quotes so they're now quarters of a cent and the minimum tick size is one quarter of a cent. The value of a minimum tick move is $12.50.

But two wrongs make a right in this case: ($6.25 per littlepoint) times (2 littleponts per minimum tick) equals $12.50 per minimum tick. So if software operated according to the CSI factsheet, it would get the right answer in all cases. (but it would perform a "needless" multiplication by two when converting point movements into dollars)

Thanks to all, W, O and SB all are similar, and have a Big Point of 12.5 it looks to me.

Does anyone know why for LB (lumber) CSI lists the contract (#027) size as 80,000 bd feet, while the exchange lists it as 110,000?

Dan,

I heard once that the contract size changes at a certain price threshold. below a certain price level, the contract size is 80 not 110. I have never found any info on this (perhaps it has been set at 110 for good now a days?).

[If what I heard was true, it changes how one does there historical testing somewhat].

Update: I found this info, but it really doesn't help that much.

"Beginning with July 1972 CME Lumber (CSI #27) contract, the contract size changed from 90,000 to 100,000 bd ft; beginning with the January 1981 contract the size changed to 130,000 bd ft; beginning with the May 1987 contract, thesize changed to 150,000 bd ft; beginning with the July 1991 contract, the size changed to 160,000 bd ft; beginning with the May 1996 contract, the size changed to 80,000 bd ft."

Dan G. wrote:Does anyone know why for LB (lumber) CSI lists the contract (#027) size as 80,000 bd feet, while the exchange lists it as 110,000?

This is covered as a special case in Bob Fulks's paper on back adjusting futures contracts:

http://www.traders2traders.com/papers/b ... tracts.htm

The BigPointValue for lumber used to be 80 but is now 110. If your software does not allow you to define different point values for different periods, the only way to to properly backtest a system that trades lumber would probably be similar to this:

1. Create two identical back-adjusted contracts for lumber, for example LB80 and LB110 with BigPointValues of 80 and 110, respectively.
2. Add them both to your portfolio of markets.
3. Tell your system to set the position size of 0 contracts for LB110 in the period before the change, and the position size of 0 contracts for LB80 in the period after the change.

I have not tried it yet, but I know it would be possible in Wealth-Lab.