Suitability of ShareScope data for use in Trading Blox

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awoodj
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Suitability of ShareScope data for use in Trading Blox

Post by awoodj » Fri Apr 08, 2011 7:01 am

I already subscribe to ShareScope at a cost of around £900 per annum and ideally would like to use their data if possible as it has UK Stock prices much further back than CSI provide.

ShareScope provide FX data and Commodities and I wanted to check if the method they use for creating their Composite Contracts is suitable for use in Trading Blox for testing and placing trades. I have included an extract from their help file describing how they construct their continuous contracts.

Extract below with section highlighted in red.

A commodity is a substance, such as food, grains or metals. The price of the commodity is subject to supply and demand. ShareScope includes the following commodities taken from the New York Mercantile Exchange (NYMEX):

Cocoa, Coffee, Crude Oil (Brent & Light sweet), Diesel, Gasoline, Gold (£ and $), Heating Oil, Natural Gas, Palladium, Platinum, Propane, Silver and Sugar.

ShareScope Plus, Pro and Alpha customers receive delayed intraday prices for commodity future contracts. For most commodities, a number of contracts are trading concurrently (e.g. March, June, September). ShareScope will provide some or all of these depending on how liquid they are.

ShareScope treats the nearest dated contract as the "front month" contract until trading on the next contract exceeds it. Once ShareScope has switched from one contract to another, it will never switch back.

All ShareScope customers also receive composite prices for these commodities which effectively provides a back history by linking the prices of successive front month contracts.

ShareScope calculates its open and close prices as follows:


Market open is the first mid price received after midnight except on Monday when trades from Sunday evening (9-12pm GMT) are included. Thus Monday’s data covers 27 hours.

Market close is midnight except on Friday when the foreign exchange market closes at 9pm (GMT). Thus Friday’s data covers 21 hours.

ShareScope provides a provisional close in the 6pm update (actually the mid price at 4.30pm GMT) but this will be updated to the final close at midday the following day.

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