Commodity Systems Inc. - Database FAQ
Question: It appears that the Volume figure for the SI (Silver) December contract is wrong - way too small. According to the CME web site, it should be 41,464. This is causing problems with roll-forward of the SI contract from Sep to Dec. Why is this happening?
Answer: Our estimated volume on August 30th is 29,489. Yes it is considerably lower than
the actual, which was ultimately 45,895. The Estimated volume is distributed across
contracts based on the ratio of the previous day's Contract Volume against yesterday's
Total Volume.
The math looks like this:
Today's Estimated Contract Volume =
Todays' Total Estimated Volume x Yesterday's Contract Volume / Yesterday's Total Volume
The actual values for that day are:
Septemebr 2011 estimated volume 34072 = 65097 x 43237 / 82607
December 2011 estimated volume 29489 = 65097 x 37421 / 82607
This does appear to have affected the roll on volume, showing that it should have rolled into
December. A day later...
In conclusion, rolling on volume on a lagged day volume market can cause a delay.
Until we begin to offer silver with more accurate same day volume, this will be an issue.
Answer: Our estimated volume on August 30th is 29,489. Yes it is considerably lower than
the actual, which was ultimately 45,895. The Estimated volume is distributed across
contracts based on the ratio of the previous day's Contract Volume against yesterday's
Total Volume.
The math looks like this:
Today's Estimated Contract Volume =
Todays' Total Estimated Volume x Yesterday's Contract Volume / Yesterday's Total Volume
The actual values for that day are:
Septemebr 2011 estimated volume 34072 = 65097 x 43237 / 82607
December 2011 estimated volume 29489 = 65097 x 37421 / 82607
This does appear to have affected the roll on volume, showing that it should have rolled into
December. A day later...
In conclusion, rolling on volume on a lagged day volume market can cause a delay.
Until we begin to offer silver with more accurate same day volume, this will be an issue.
Qustion: For the LME Aluminum Cash OHLC, CSI #2091, is the Close the evening evaluation settlement price? Are the O-H-L prices taken from the 7am - 5pm London time session, similar to the 3Mth OHLC series? Also, what do the prices in the O-H-L-C fields represent for the following LME series:
Cash AM/PM fix
3 Mth AM/PM fix
15 Mth AM/PM fix
27 Mth AM/PM fix
Answer: The settles for the LME Cash and 3 month contracts both come from the evening evaluation settlements. The Cash O-H-L comes from the Ring and Kerb trading time period. The 3 month contracts reflect the 7 A.M to 5 P.M. time period.
The Cash, 3 month, 15 month, and 27 month A.M. fix are the Daily Official Prices whereas the P.M. fix are the Daily Unofficial Prices.
Cash AM/PM fix
3 Mth AM/PM fix
15 Mth AM/PM fix
27 Mth AM/PM fix
Answer: The settles for the LME Cash and 3 month contracts both come from the evening evaluation settlements. The Cash O-H-L comes from the Ring and Kerb trading time period. The 3 month contracts reflect the 7 A.M to 5 P.M. time period.
The Cash, 3 month, 15 month, and 27 month A.M. fix are the Daily Official Prices whereas the P.M. fix are the Daily Unofficial Prices.
Question: What is the difference between the electronic contract and a contract you have listed as electronic and pit combined?
Answer: The Combined contract is a combination of the electronic and pit sessions.
Example: the combined contract has the electronic open, the highest high of the electronic and
pit session, the lowest low of the electronic and pit session, and the pit settle.
The Electronic contract only contains data from the electronic session. The close field
contains the Last price.
Answer: The Combined contract is a combination of the electronic and pit sessions.
Example: the combined contract has the electronic open, the highest high of the electronic and
pit session, the lowest low of the electronic and pit session, and the pit settle.
The Electronic contract only contains data from the electronic session. The close field
contains the Last price.
Question: I was wondering if you provide all the big point values, tick value, etc (contract specifications) along with your data?
Answer: UA's factsheet has small point values. Big point values are computed off of that.
(typically (small)Point Value x ( # of )MinTicks )
example :
small Point Value = $12.50
MinTick = 4
Big Point Value = $50.00
We do have them computed and listed here however:
http://www.csidata.com/factsheets/factsheet-futures.html
Answer: UA's factsheet has small point values. Big point values are computed off of that.
(typically (small)Point Value x ( # of )MinTicks )
example :
small Point Value = $12.50
MinTick = 4
Big Point Value = $50.00
We do have them computed and listed here however:
http://www.csidata.com/factsheets/factsheet-futures.html
Question: Can you please explain to me how you access your CSI data from the London Metals Exchange (LME) ? I've noted some significant differences between your data and that shown by other providers (in particular CQG). Can you also tell me the market hours that you use for LME data ?
Answer: We show:
for the 3-mth OHLC;
O: The opening offer of member indicative quotes in the range of 7am - 5pm London time.
H: The highest bid of member indicative quotes in the range of 7am - 5pm London time.
L: The lowest ask of member indicative quotes in the range of 7am - 5pm London time.
C: The evening evaluation settlement for 3-mth prompt date.
for the 15-mth OHLC;
O: The average of the official low and high for 15-mth prompt date.
H: The highest of the official low, official high, and unofficial low for 15-mth prompt date.
L: The lowest of the official low, official high, and unofficial low for 15-mth prompt date.
C: The evening evaluation settlement for 15-mth prompt date.
for the 27-mth OHLC;
C: The evening evaluation settlement for 27-mth prompt date.
For LME Select we show electronic O-H-L-Last. In UA, there is an option to show the evening evaluation close instead which is how Bloomberg displays the data.
PREFERENCE | HISTORICAL ADJUSTMENTS | TRANSFER SETTLEMENT PRICES TO ELECTRONIC MARKETS
The member indicative quotes include ring and telephone trading, but not Select.
http://www.lme.com/dataprices_what.asp#2165
Answer: We show:
for the 3-mth OHLC;
O: The opening offer of member indicative quotes in the range of 7am - 5pm London time.
H: The highest bid of member indicative quotes in the range of 7am - 5pm London time.
L: The lowest ask of member indicative quotes in the range of 7am - 5pm London time.
C: The evening evaluation settlement for 3-mth prompt date.
for the 15-mth OHLC;
O: The average of the official low and high for 15-mth prompt date.
H: The highest of the official low, official high, and unofficial low for 15-mth prompt date.
L: The lowest of the official low, official high, and unofficial low for 15-mth prompt date.
C: The evening evaluation settlement for 15-mth prompt date.
for the 27-mth OHLC;
C: The evening evaluation settlement for 27-mth prompt date.
For LME Select we show electronic O-H-L-Last. In UA, there is an option to show the evening evaluation close instead which is how Bloomberg displays the data.
PREFERENCE | HISTORICAL ADJUSTMENTS | TRANSFER SETTLEMENT PRICES TO ELECTRONIC MARKETS
The member indicative quotes include ring and telephone trading, but not Select.
http://www.lme.com/dataprices_what.asp#2165
Pertaining to CSI's representation of holiday data
CSI follows the example(s) set forth by the exchange(s) in the manner that:
If a market is closed for a holiday, the Electronic trades made during the holiday are included as part of the next valid trade date.
CSI follows the example(s) set forth by the exchange(s) in the manner that:
If a market is closed for a holiday, the Electronic trades made during the holiday are included as part of the next valid trade date.
Question: I have often looked at "Split" on your charts. Then, I can't locate a corporate reference of a pending stock division; both in the corporation's SEC filings or any shareholder's statements. And, I have been a registered shareholder and received information about dividends, and voted online. But, never have I received any changes to the number of shares in the account. Can you offer an explanation?
Answer: Dividends that are paid out as a percentage of stock are treated as a split. For example, a 10% dividend goes in as a 110 for 100 split (or equivalently 11/10). The holder of the shares should receive more shares in their account as a result of the dividend (in this example 0.1 additional shares for every one held), unless the shareholder chooses to be paid in cash when a stock based dividend occurs.
Answer: Dividends that are paid out as a percentage of stock are treated as a split. For example, a 10% dividend goes in as a 110 for 100 split (or equivalently 11/10). The holder of the shares should receive more shares in their account as a result of the dividend (in this example 0.1 additional shares for every one held), unless the shareholder chooses to be paid in cash when a stock based dividend occurs.
Question: According to your factsheet about markets, it's traded on the CME, with little volume, and also on the FINEX exchange. My broker can't find it on either of these exchanges and tells me it's traded on ICE: but I don't see any mention of that in your fact sheet. Your data shows settlement prices for September 11th, 2009 of 81.74 on CME and 76.97 on Finex. The latter agrees with my broker's Ice price, but I don't understand why it's listed as FINEX instead of ICE, and what the other (CME) price is. Could you help me to clarify?
Answer: The CME$Index (#740,741) never took off, but is still available for trading, so we still report it. It is a distinct product from the one offered by ICE-US.
As far as the FINEX vs ICE discrepancy - we still have it listed as FINEX here because of the posting/availability tables that have been in place internally for a long time. FINEX was a division of NYBOT, which was purchased by ICE. This is the one the customer is interested in. ICE-US includes what we have segregated into CSCE, NYFE and FINEX.
Answer: The CME$Index (#740,741) never took off, but is still available for trading, so we still report it. It is a distinct product from the one offered by ICE-US.
As far as the FINEX vs ICE discrepancy - we still have it listed as FINEX here because of the posting/availability tables that have been in place internally for a long time. FINEX was a division of NYBOT, which was purchased by ICE. This is the one the customer is interested in. ICE-US includes what we have segregated into CSCE, NYFE and FINEX.
Question: The “NG” floor natural gas contract appears to have a price discrepancy. The Settlement/Close of the day is a higher price than the high of the day for September, 10 2009. Why is that?
Answer: The data is correct. There is nothing incorrect about the settlement price being outside the high-low range, especially for lightly traded contracts. NYMEX pit trading is now very light and it happens fairly often that the settlement price is outside of the high-low range for the day. If you want to have UA automatically adjust the high or low accordingly, do the following: fill the procedure for adjusted high/low in UA.
http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf
Answer: The data is correct. There is nothing incorrect about the settlement price being outside the high-low range, especially for lightly traded contracts. NYMEX pit trading is now very light and it happens fairly often that the settlement price is outside of the high-low range for the day. If you want to have UA automatically adjust the high or low accordingly, do the following: fill the procedure for adjusted high/low in UA.
http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf
Question: The CME close is out of range. Why is that?
Answer: As confirmed from the CME daily bulletins the settle is permitted to be outside the HL range.
Answer: As confirmed from the CME daily bulletins the settle is permitted to be outside the HL range.
Question: What time can I download the quotes?
Answer: Click here to check our Data Release Schedule and Posting Status.
Answer: Click here to check our Data Release Schedule and Posting Status.
Question: I think I found a data error. What should I do?
Answer: Please click here to let us know about the data error. Include the symbol, csi #, date of the error and the contract month.
Answer: Please click here to let us know about the data error. Include the symbol, csi #, date of the error and the contract month.
Question: How do I calculate the value of each contract for a particular instrument?
Answer: According to the UA help documentation for the factsheet, "You can calculate the total value of any contract by multiplying the contract size times the point value times the CSI price, taking into account the conversion factor."
http://www.csidata.com/cgi-bin/getManualPage.pl?URL=factsheetoverview.htm
Answer: According to the UA help documentation for the factsheet, "You can calculate the total value of any contract by multiplying the contract size times the point value times the CSI price, taking into account the conversion factor."
http://www.csidata.com/cgi-bin/getManualPage.pl?URL=factsheetoverview.htm
Question: Which 24 hour start/end time frame do your daily Open, High, Low, Close (OHLC) end of day prices for Forex spot pairs use, e.g., is it 17:00 to 17:00 New York time, or is it 00:00 to 00:00 GMT, or some other time frame?
Answer: It's a nearly day-long period spanning from 5 p.m. (New York time) until around 4:30ish p.m. (New York time) the following day.
Answer: It's a nearly day-long period spanning from 5 p.m. (New York time) until around 4:30ish p.m. (New York time) the following day.
Question: If it is 17:00 to 17:00 New York Time; do you adjust by +1/-1 hours for daylight saving time and back again in the summer/winter?
Answer: No, we do not adjust for daylight savings time.
Answer: No, we do not adjust for daylight savings time.
Question: Is your end-of-day FX Spot data for Open, High, Low and Close (OHLC) always provided as 'mid-point' average prices of Bid/Ask spreads; or does your FX Spot OHLC prices represent the Bid prices, or do they represent the Ask prices?
Answer: They represent the Bid prices.
Answer: They represent the Bid prices.
Question: How soon after the end of the 24 hour trading day is the OHLC price data available?
Answer: Our Forex data is available anytime after 6:30 PM EST.
Answer: Our Forex data is available anytime after 6:30 PM EST.
Question: What is the COT (Commitment of Traders) data, and where can I find it?
Answer: Many successful traders rely on Commitments of Traders data to keep tabs on the market interests of larger traders and hedgers, whose activities often influence future price performance. We are very pleased to offer a Commitments of Traders Data feed on 63 commodities as part of the CSI database.
Our data set includes Steve Briese's index computations, as well as the CFTC's raw released information with, in some cases, adjustments for obvious errors in the CFTC' s report. These bi-weekly reports are available every Tuesday with any corrections for the earlier week and the new government computed statistics on alternating Tuesdays.
Commitment of Traders data and The Briese COT Index are part of CSI's "Miscellaneous" database, where they can be analyzed and viewed as individual time series. The Briese Commitments of Traders Index can also be displayed as a study on any UA chart of the corresponding commodity's price series.
To add these data to a portfolio or make a chart of COT data as an independent series, begin as you would for creating any chart as explained in the "Creating a Chart" topic. Select any market type and then click the [Markets] button. This will bring up the market selection screen. Choose the [Other] button from the Limit to Market Type section, and click [Commitment of Traders]. The corresponding markets will display. [Screen Shot 1]
Note that CSI offers two series for each of the 63 covered commodities. The symbols for the Briese COT Index series end in the "&" character (shown above). These are followed by the raw COT data, whose symbols end in the "%" character. Scroll through the list to see all available COT series.
Select any of the COT or Briese COT Index series you wish to chart or add to a portfolio, and click [OK]. The subsequent screen shows that no additional input is needed for this series (it is automatically "cash"), but you may select additional file formats and periodicity (weekly is preferred, but not essential) as desired. Click [OK] when all your requirements have been selected.
Briese's COT Index will present in values from 0 to 100; Standard COT data presents as a very broad range of values.
Source:
http://www.csidata.com/custserv/onlinehelp/OnlineManual/commitmentoftradersdata.htm
Answer: Many successful traders rely on Commitments of Traders data to keep tabs on the market interests of larger traders and hedgers, whose activities often influence future price performance. We are very pleased to offer a Commitments of Traders Data feed on 63 commodities as part of the CSI database.
Our data set includes Steve Briese's index computations, as well as the CFTC's raw released information with, in some cases, adjustments for obvious errors in the CFTC' s report. These bi-weekly reports are available every Tuesday with any corrections for the earlier week and the new government computed statistics on alternating Tuesdays.
Commitment of Traders data and The Briese COT Index are part of CSI's "Miscellaneous" database, where they can be analyzed and viewed as individual time series. The Briese Commitments of Traders Index can also be displayed as a study on any UA chart of the corresponding commodity's price series.
To add these data to a portfolio or make a chart of COT data as an independent series, begin as you would for creating any chart as explained in the "Creating a Chart" topic. Select any market type and then click the [Markets] button. This will bring up the market selection screen. Choose the [Other] button from the Limit to Market Type section, and click [Commitment of Traders]. The corresponding markets will display. [Screen Shot 1]
Note that CSI offers two series for each of the 63 covered commodities. The symbols for the Briese COT Index series end in the "&" character (shown above). These are followed by the raw COT data, whose symbols end in the "%" character. Scroll through the list to see all available COT series.
Select any of the COT or Briese COT Index series you wish to chart or add to a portfolio, and click [OK]. The subsequent screen shows that no additional input is needed for this series (it is automatically "cash"), but you may select additional file formats and periodicity (weekly is preferred, but not essential) as desired. Click [OK] when all your requirements have been selected.
Briese's COT Index will present in values from 0 to 100; Standard COT data presents as a very broad range of values.
Source:
http://www.csidata.com/custserv/onlinehelp/OnlineManual/commitmentoftradersdata.htm
Question: How is the price format key defined?
Question: How do I change the price format key?
Defining the -7 and -8 conversion factors:
The -7 conversion factor, when used, defines the pricing of the
given market, which uses it in an awkward manner which effectively
produces market prices in 64ths, but because the exchange likes to view
the market in halves of thirty-seconds the price representations are
displayed differently.
When prices are displayed for markets with a conversion factor of
-4, as in most stocks, the exchange released information and the prices
released to newspapers may be displayed as 5063, which means to the
investor to represent 50 and 63/64ths. If one were to convert this
quantity to decimal, the price would be shown as 50.984375. This
shorthand conversion factor system is preferable for representing prices
in exchange-floor form because of its concise and brief form. Traders
also must minimize confusion in the pits so they actually elect the
conversion factor system in daily trading. Should an exchange adopt the
-7 conversion factor which uses 32nds and halves of thirty-seconds, the
same price would be shown as 50315 which means to the investor to
represent 50 and 31/32nds plus one half (the terminal 5) of a thirty
second. One thirty second of a tick is equivalent to 2 sixty-fourths,
and one-half of a thirty second is one sixty-fourth. Combining the
terms leads to 63 sixty-fourths (62+1). Therefore, 50315 for a -7
conversion factor is equivalent to 5063 in terms of a -4 conversion
factor. Both systems produce the same decimal equivalent which is
50.984375.
Some more detail that may be helpful in understanding the -8 system.
The -8 conversion factor is equivalent to the -7 conversion factor
with the exception of the terminal digit, and the interpretation of the
number of thirty-seconds. Because the -8 conversion factor system is
actually representing numbers in units of one-256th, it is necessary to
multiply the number of thirty-seconds by four to get the number of
256ths before factoring in the terminal digit. In the -7 conversion
factor the terminal digit must be either a 5 or a zero. The terminal
'5' would represent one half of a thirty-second, and the terminal '0'
represents zero halves of a thirty second. In the -8 conversion factor system,
the terminal digit would be either a 0, a 2, a 5, or a 7 because the
terminal digit represents part of the number of 256ths These quantities
(0,2,5, and 7) are a shorthand for 0, one-quarter, two quarters, or 3
quarters of a thirty-second which is equivalent to 0, 2, 5, or 7
256ths. The -8 conversion factor system, therefore, is equivalent to a
conversion factor of -6 because each term has a common denominator of
256. In the -8 conversion factor system the smallest system of
representation is in terms of 256ths. The number 50317, for example, for
a -8 system is equivalent to 50 and 31 thirty seconds plus three
quarters of a thirty second or 50255 when represented for a -6
conversion factor system. The term 255 is derived by multiplying the
number of thirty-seconds (31) by 8 to get 248 256ths then adding in the
terminal digit of 0, 2, 5 or 7 to get 248+7 or 255 256ths. Both 50317
in the -8 system and 50255 in the -6 system can be represented in
decimal as 50.99609375.
The whole idea of conversion factors permits exact number representations
without sacrificing computer disk storage space. Placing all values in decimal
to capture the inherent precision in the data would nearly double the storage
space required to hold the information.
Question: How do I change the price format key?
Defining the -7 and -8 conversion factors:
The -7 conversion factor, when used, defines the pricing of the
given market, which uses it in an awkward manner which effectively
produces market prices in 64ths, but because the exchange likes to view
the market in halves of thirty-seconds the price representations are
displayed differently.
When prices are displayed for markets with a conversion factor of
-4, as in most stocks, the exchange released information and the prices
released to newspapers may be displayed as 5063, which means to the
investor to represent 50 and 63/64ths. If one were to convert this
quantity to decimal, the price would be shown as 50.984375. This
shorthand conversion factor system is preferable for representing prices
in exchange-floor form because of its concise and brief form. Traders
also must minimize confusion in the pits so they actually elect the
conversion factor system in daily trading. Should an exchange adopt the
-7 conversion factor which uses 32nds and halves of thirty-seconds, the
same price would be shown as 50315 which means to the investor to
represent 50 and 31/32nds plus one half (the terminal 5) of a thirty
second. One thirty second of a tick is equivalent to 2 sixty-fourths,
and one-half of a thirty second is one sixty-fourth. Combining the
terms leads to 63 sixty-fourths (62+1). Therefore, 50315 for a -7
conversion factor is equivalent to 5063 in terms of a -4 conversion
factor. Both systems produce the same decimal equivalent which is
50.984375.
Some more detail that may be helpful in understanding the -8 system.
The -8 conversion factor is equivalent to the -7 conversion factor
with the exception of the terminal digit, and the interpretation of the
number of thirty-seconds. Because the -8 conversion factor system is
actually representing numbers in units of one-256th, it is necessary to
multiply the number of thirty-seconds by four to get the number of
256ths before factoring in the terminal digit. In the -7 conversion
factor the terminal digit must be either a 5 or a zero. The terminal
'5' would represent one half of a thirty-second, and the terminal '0'
represents zero halves of a thirty second. In the -8 conversion factor system,
the terminal digit would be either a 0, a 2, a 5, or a 7 because the
terminal digit represents part of the number of 256ths These quantities
(0,2,5, and 7) are a shorthand for 0, one-quarter, two quarters, or 3
quarters of a thirty-second which is equivalent to 0, 2, 5, or 7
256ths. The -8 conversion factor system, therefore, is equivalent to a
conversion factor of -6 because each term has a common denominator of
256. In the -8 conversion factor system the smallest system of
representation is in terms of 256ths. The number 50317, for example, for
a -8 system is equivalent to 50 and 31 thirty seconds plus three
quarters of a thirty second or 50255 when represented for a -6
conversion factor system. The term 255 is derived by multiplying the
number of thirty-seconds (31) by 8 to get 248 256ths then adding in the
terminal digit of 0, 2, 5 or 7 to get 248+7 or 255 256ths. Both 50317
in the -8 system and 50255 in the -6 system can be represented in
decimal as 50.99609375.
The whole idea of conversion factors permits exact number representations
without sacrificing computer disk storage space. Placing all values in decimal
to capture the inherent precision in the data would nearly double the storage
space required to hold the information.
Conversion Factor
+5
+4
+3
+2
+1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
+4
+3
+2
+1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
Points
987654
987654
987654
987654
987654
987654
2115
2115
2115
2115
2115
2115
2115
2115
2115
987654
987654
987654
987654
987654
2115
2115
2115
2115
2115
2115
2115
2115
2115
Newspaper Price*
9.87654
98.7654
987.654
9876.54
98765.4
987654
211.625 (211 and 5/8)
21.9375 (21 and 15/16)
21.46875 (21 and 15/32)
21.234375 (21 and 15/64)
2.8984375 (2 and 115/128)
2.44921875 (2 and 11.5/32)
2.359375 (2 and 11.5/32)
2.359375 (2 and 11.5/32)
2.1796875 (2 and 11.5/64)
98.7654
987.654
9876.54
98765.4
987654
211.625 (211 and 5/8)
21.9375 (21 and 15/16)
21.46875 (21 and 15/32)
21.234375 (21 and 15/64)
2.8984375 (2 and 115/128)
2.44921875 (2 and 11.5/32)
2.359375 (2 and 11.5/32)
2.359375 (2 and 11.5/32)
2.1796875 (2 and 11.5/64)
*The "Newspaper price" is the typical price representation, as you might find it in the Wall Street Journal.
Change the Price Format Key in Unfair Advantage
01. Double click LAUNCH UA on your desktop.
02. Select "Market Specs" from the icons. [Screen Shot 1]
03. Select the symbol you want to edit.
Move to the "Price Format" column. [Screen Shot 2]
04. Press the "SHIFT + F2" key or only the "F2" key and change the value. [Screen Shot 3]
05. Click the "YES" button to change the settings. [Screen Shot 4]
06. Double check the settings. [Screen Shot 5]
CSI Database Info
Mutual Funds
If the stock market is open it is CSI policy to provide a Net Asset Value (NAV) even if it is the previous days value and/or if a firm report late we provide the previous days NAV.
Mutual Funds
If the stock market is open it is CSI policy to provide a Net Asset Value (NAV) even if it is the previous days value and/or if a firm report late we provide the previous days NAV.
CSI Database Info
December 2009 Western Barley (symbol AB) Contract
Effective immediately, the December 2009 Western Barley contract has been de-listed. The October 2009 and December 2009 contracts were the last remaining contracts under the old Rule 18 barley, and neither had outstanding open interest. Today was the last trading day for October 2009 futures, and the Exchange has also de-listed the December 2009 barley contract (futures and options).
As noted in previous circulars, ICE Futures Canada has launched a revised Western Barley futures contract. The contract specifications, which are detailed in Rule 19, include a delivery region focused on southern Alberta; shipment into the buyer’s facility; a new Barley Merchant participant category that may make delivery; and a number of other revisions.
All contracts of Rule 19 barley, including November 2009, January 2010, and subsequent months, remain listed. Many of these months have open interest, and the revised contract has the broad support of the trading community.
https://www.theice.com/publicdocs/futures_canada/member_notices/October_14_2009_Dec09_barley_delist.pdf
December 2009 Western Barley (symbol AB) Contract
Effective immediately, the December 2009 Western Barley contract has been de-listed. The October 2009 and December 2009 contracts were the last remaining contracts under the old Rule 18 barley, and neither had outstanding open interest. Today was the last trading day for October 2009 futures, and the Exchange has also de-listed the December 2009 barley contract (futures and options).
As noted in previous circulars, ICE Futures Canada has launched a revised Western Barley futures contract. The contract specifications, which are detailed in Rule 19, include a delivery region focused on southern Alberta; shipment into the buyer’s facility; a new Barley Merchant participant category that may make delivery; and a number of other revisions.
All contracts of Rule 19 barley, including November 2009, January 2010, and subsequent months, remain listed. Many of these months have open interest, and the revised contract has the broad support of the trading community.
https://www.theice.com/publicdocs/futures_canada/member_notices/October_14_2009_Dec09_barley_delist.pdf
CSI Database Info
US Treasury Bonds (US, US2, ZB)
US Treasury Bonds from CMEGroup futures (formerly CBT) are changing the minimum tick sizes effective August, 31st 2009.
Starting on this date, the minimum tick size will INCREASE from ½ of 1/32nd to full 1/32nd ($15.625 to $31.25).
Affected Futures:
US (#44), US2 (#144), ZB (#801)
Impact On Received Data: NONE
Since the tick size is increasing to a full 1/32nd, the final digit in the whole number format files will always be zero (from what was 0 or 5 as the final digit).
Those receiving decimalized data will still convert as before.
US Treasury Bonds (US, US2, ZB)
US Treasury Bonds from CMEGroup futures (formerly CBT) are changing the minimum tick sizes effective August, 31st 2009.
Starting on this date, the minimum tick size will INCREASE from ½ of 1/32nd to full 1/32nd ($15.625 to $31.25).
Affected Futures:
US (#44), US2 (#144), ZB (#801)
Impact On Received Data: NONE
Since the tick size is increasing to a full 1/32nd, the final digit in the whole number format files will always be zero (from what was 0 or 5 as the final digit).
Those receiving decimalized data will still convert as before.
CSI Database Info
CME to ICE (Part 2)
ICE has signed an agreement with Russell that gives its US futures subsidiary, ICE Futures US, the exclusive right to use the US Russell indexes as the basis for futures products. Russell futures and futures options contracts at the CME will not be available after the September 08 contract.
Symbols affected:
TO (#844) [ICE] =>> TO2 (#1219) [ICE]
ER2 (#677) [CME] =>> TF (#1220) [ICE]
Links:
https://www.theice.com/homepage.jhtml
https://www.theice.com/publicdocs/nybot/NYBOT_Russsell_Agreement_FAQ.pdf
Trading hours for the Russell 2000:
CSI#844 used to represent only floor trading. When floor trading was discontinued, CSI#844 became the entirety of the of the electronic session, from 8PM the prior evening until 6PM of the current day). That is the only dataset that ICE-US currently publishes. The open shown from CQG as the open is from 9:30 in the morning, which is an arbitrary time on the part of CQG to decide on the open. If ICE-US ever starts publishing different data sets for day electronic and night electronic sessions, then #844 will revert to the day electronic session, but as for now it will continue to show the entire electronic session.
CME to ICE (Part 2)
ICE has signed an agreement with Russell that gives its US futures subsidiary, ICE Futures US, the exclusive right to use the US Russell indexes as the basis for futures products. Russell futures and futures options contracts at the CME will not be available after the September 08 contract.
Symbols affected:
TO (#844) [ICE] =>> TO2 (#1219) [ICE]
ER2 (#677) [CME] =>> TF (#1220) [ICE]
Links:
https://www.theice.com/homepage.jhtml
https://www.theice.com/publicdocs/nybot/NYBOT_Russsell_Agreement_FAQ.pdf
Trading hours for the Russell 2000:
CSI#844 used to represent only floor trading. When floor trading was discontinued, CSI#844 became the entirety of the of the electronic session, from 8PM the prior evening until 6PM of the current day). That is the only dataset that ICE-US currently publishes. The open shown from CQG as the open is from 9:30 in the morning, which is an arbitrary time on the part of CQG to decide on the open. If ICE-US ever starts publishing different data sets for day electronic and night electronic sessions, then #844 will revert to the day electronic session, but as for now it will continue to show the entire electronic session.
CSI Database Info
End of Pit Session (Part 1)
ICE-US (formerly NYBOT) will be halting pit trading for most futures at the end of February 2008. The following futures will be among those affected starting with trade date 3 March 2008:
End of Pit Session (Part 1)
ICE-US (formerly NYBOT) will be halting pit trading for most futures at the end of February 2008. The following futures will be among those affected starting with trade date 3 March 2008:
Commodity
Coffee
Cocoa
Orange Juice
Suger #11
Sugar #14
US Dollar Index
Russell 1000
Russell 2000
Mini Russell 1000
Cocoa
Orange Juice
Suger #11
Sugar #14
US Dollar Index
Russell 1000
Russell 2000
Mini Russell 1000
Pit
KC (#10)
CC (#3)
OJ (#12)
SB (#20)
SE (#42)
DX (#263)
R (#100)
TO (#844)
RM2 (#668)
CC (#3)
OJ (#12)
SB (#20)
SE (#42)
DX (#263)
R (#100)
TO (#844)
RM2 (#668)
Electronic
KC1 (#1145)
CC1 (#1147)
OJ1 (#1149)
SB1 (#1139)
SE1 (#1141)
DX1 (#1204)
R1 (#1206)
TO1 (#1218)
RM3 (#1208)
CC1 (#1147)
OJ1 (#1149)
SB1 (#1139)
SE1 (#1141)
DX1 (#1204)
R1 (#1206)
TO1 (#1218)
RM3 (#1208)
Combined
KC2 (#1146)
CC2 (#1148)
OJ2 (#1150)
SB2 (#1140)
SE2 (#1142)
DX2 (#1205)
R2 (#1207)
TO2 (#1219)
RM4 (#1209)
CC2 (#1148)
OJ2 (#1150)
SB2 (#1140)
SE2 (#1142)
DX2 (#1205)
R2 (#1207)
TO2 (#1219)
RM4 (#1209)
The rest of this memo details the CSI policy for reporting once pit trading stops for any given future.
1. The current “pit only” CSI number assigned to a future will continue to be filled in with the settlement price and open interest only. Open, high, low and volume will all
become zero.
2. The current “electronic only” CSI number assigned to a future will continue to hold the entire electronic session. The close will hold the last activity, which may be the
settlement value or the last trade, depending on which happens later in time.
3. The current “combined session” CSI number will now contain only the electronic data, with the close field always being the settlement price.
4. All futures option data will continue to appear at the same CSI number as always.
If and when an exchange decides to break out electronic session trading information into separate “day electronic” and “night electronic” sessions, the following will happen:
1. The “day only” CSI number will be filled in with the daytime electronic session data, with the close field holding the settlement price.
2. The “electronic only” CSI number will be filled in with the night electronic session data. The close field will contain the last activity for the futures month. If no activity
took place for the session, the close will hold the most recent settlement value.
3. The “combined session” data will hold the composite of the prior night and current day electronic session data, with the close being the settlement price.
1. The current “pit only” CSI number assigned to a future will continue to be filled in with the settlement price and open interest only. Open, high, low and volume will all
become zero.
2. The current “electronic only” CSI number assigned to a future will continue to hold the entire electronic session. The close will hold the last activity, which may be the
settlement value or the last trade, depending on which happens later in time.
3. The current “combined session” CSI number will now contain only the electronic data, with the close field always being the settlement price.
4. All futures option data will continue to appear at the same CSI number as always.
If and when an exchange decides to break out electronic session trading information into separate “day electronic” and “night electronic” sessions, the following will happen:
1. The “day only” CSI number will be filled in with the daytime electronic session data, with the close field holding the settlement price.
2. The “electronic only” CSI number will be filled in with the night electronic session data. The close field will contain the last activity for the futures month. If no activity
took place for the session, the close will hold the most recent settlement value.
3. The “combined session” data will hold the composite of the prior night and current day electronic session data, with the close being the settlement price.
