CSI data issues with bund, schatz and bobl

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equa
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CSI data issues with bund, schatz and bobl

Post by equa » Fri Jun 22, 2007 6:42 am

I have found a number of issues with the above data from CSI that have implications for testing and trading. For simplicity i will just use the bund as an example. CSI has 2 series for the bund, EBL and E2L, the first with the normal 17:15 CET fixing price and the second with the "last trade in close field". Firstly, when that "little blue bullet" comes on with the "3:38 average posting time", the reported closing prices on both series are the same. CSI is reporting the 17:15 CET fixing price for E2L. Then much later (when all the US data is ready) if you do another download, CSI "corrects" the closing price for E2L to show the last trade price as the close. The main implication of this is for European based traders who prefer to do their orders around 10pm ish CET, rather than getting up real early in the morning to generate orders and send them to a broker prior to the 8am CET start. I.E. if you do your orders prior to going to bed, you will get a different set of orders than if you get up early the next morning. Any indicator or system using closing prices will be affected by this.

A second issue is that if you want to just use the EBL symbol with the 17:15 fixing price close, then be warned that CSI tracks the market price until the close at 22:00 CET. This means that quite regularly the high/low price of the day that is reported by CSI happens "after the close". The 19th June is a good example of this. Looking at a bar chart you might think that the Sept bund traded up to a high of 110.61 during the day before "easing" off down to a 110.38 close. Actually the bund after the 17:15 CET "close" traded upto that high. Therefore anyone using combinations of stops/limits mixed with either MOC or SCO orders needs to be aware of this. The normal assumption of "open" followed by "high/low" followed by "close" does not work here......
This issue can be avoided by using E2L and trading your orders till 10pm CET time, but then you will be leaving your orders to mercy of the very thin lquidity at that hour.

Anyway, sorry for the ramble, i just thought more people should be aware of this.

equa

Asamat
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Post by Asamat » Sun Jun 24, 2007 6:32 am

Indeed interesting.
Thanks for sharing your analysis.

Regards,
Robert

AFJ Garner
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Post by AFJ Garner » Sun Jun 24, 2007 11:03 am

There are so many of such considerations in running a system. Backadjusted contracts rolling on OI will give slightly different signals to those rolling on a fixed date, time series including non standard months will give different signals yet again.

If your end of day system gets into or out of a given trade as a result of the factors you mention it probably does not matter in the long term. Sometimes you will be kept out of a losing trade, sometimes you will be chopped out of a losing trade which goes on to be a small winner. If the trend or end of trend movement is strong enough, the results will usually be similar whichever CSI contract you use.

As with slippage, some come to the conclusion that positive and negative tend to balance out over the long term.

There are no absolutes.

sluggo
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Post by sluggo » Mon Jul 23, 2007 7:08 pm

More data issues tonight, this time with the S&P Midcap 400. Those happy go lucky jokesters at CSI seem to enjoy this kind of sport, eh? The problem was spotted by the Futures Data Investigator, which is a free download for Blox Builder and Blox Pro customers. See viewtopic.php?p=23860
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Unfair Advantage snapshot on 23 July 2007 at 8:20PM Eastern
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RedRock
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Re: CSI data issues with bund, schatz and bobl

Post by RedRock » Tue Jul 31, 2007 10:06 pm

equa wrote: A second issue is that if you want to just use the EBL symbol with the 17:15 fixing price close, then be warned that CSI tracks the market price until the close at 22:00 CET. This means that quite regularly the high/low price of the day that is reported by CSI happens "after the close". The 19th June is a good example of this. Looking at a bar chart you might think that the Sept bund traded up to a high of 110.61 during the day before "easing" off down to a 110.38 close. Actually the bund after the 17:15 CET "close" traded upto that high. Therefore anyone using combinations of stops/limits mixed with either MOC or SCO orders needs to be aware of this. The normal assumption of "open" followed by "high/low" followed by "close" does not work here......
This issue can be avoided by using E2L and trading your orders till 10pm CET time, but then you will be leaving your orders to mercy of the very thin lquidity at that hour.
equa
I only caught this tonight. CSI, for their "final" post of the day includes invalid HL data basis the close time indicated on symbol EBS EBL etc. If they "Stop the clock" for the fix at 1715 CET they should stop the HL for that series at that time as well. Final posting EBS EBL is rubbish. E2S / E2L should be the only series which includes the post 17:15 H/L. What possible reason might they have for "adjusting" the HL to a false value??? Has it always been done this way or is this a recent "improvement"?

equa
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Post by equa » Thu Aug 02, 2007 4:24 am

As far as i know, this has been going on for quite a while. I however only noticed it in Fixed Income after the introduction of the E2L, E2M etc series. I do remember however that i had this issue with the Dax as well last year which resulted in me manually adjusting the data every day.....

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