CSI SYMBOL USC ( USD/EUR)

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marriot
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CSI SYMBOL USC ( USD/EUR)

Post by marriot » Sat Dec 19, 2009 12:15 am

Few days ago, Csidata has deleted lots of years from USC data.
New data is now starting from 2007.
As usual, i havent get any advise from them before or after this change.
I have always used this symbol for convert risk of european futures in Usd.
So i feel a little bit frustrated, once again, about Csidata business style.

Jez Liberty
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Post by Jez Liberty » Mon Dec 21, 2009 1:39 pm

marriot - not sure what your workflow is like but do you know that you can export CSI data from the database to a file via their API. This would somehow insulate you from any of these changes they make to their historical database.

You could reuse the code I wrote using CSI UA API to extract historical data to a file.

I guess if you were to do this regularly, you would not "lose" the data when CSI run their updates...

marriot
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Post by marriot » Tue Dec 22, 2009 2:35 am

Thank you Jez,
this is great.

AFJ Garner
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Post by AFJ Garner » Tue Dec 22, 2009 8:30 am

I suspect it would be better to retrieve the raw contract data and store it in a database. Roger Rines created software to create a backadjusted series from the raw contract data.

On its own, I would not find a download of backadjusted data too useful - although of course it can at least include the unadjusted close.

I wonder if CSI allow this. It would be wonderful insurance against CSI being down for a period for any reason.

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Post by Jez Liberty » Tue Dec 22, 2009 12:24 pm

I completely agree that downloading raw data - with a piece of software that allows you to do the adjustments yourself is much better - you do not lose any information as you would when doing any transformation (ie think of RAW vs. JPEG in Digital Photography...).

Doing just that (saving raw+building continuous contract) was actually my next goal in this area... But if such software exists already, why reinvent the wheel? :wink: I assume you don't have the link to this software handy? - I'll do a Search...

I think it is possible to extract raw data from CSI.
For those that want to check the whole API doc, it is in CSI doc page:
http://www.csidata.com/custserv/onlinehelp/index.html
look for the word doc: UaOleApi.doc

kianti
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Re: CSI SYMBOL USC ( USD/EUR)

Post by kianti » Wed Dec 23, 2009 3:57 am

marriot wrote:Few days ago, Csidata has deleted lots of years from USC data.
EU9
CSINum 2349
U.S. Dollars per 1 Euro

marriot
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Post by marriot » Thu Dec 24, 2009 2:17 am

EU9, yes, but that start on 1999,
so all test against euro futures will start from there.
Anyway, my "point" was:
Is it so difficult for csidata to advise clients by emails ?
have a nice day

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Post by AFJ Garner » Thu Dec 24, 2009 3:59 am

CSI#524 "CU"
Use "Cash" under the individual futures tab on "Selecting Data Series". Differs slightly from EU9 for reasons I have never bothered to ascertain but I think you may find it suits your purposes. Do not forget the Euro is a recent currency; prior to the start date CSI have based "CU" on the DM or a mix of the currencies - I can't quite recall and the notes which used to appear when selecting a market seem to have disappeared.

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