Market Data Unfair Advantage Posting Status

Unfair Advantage build x.117 available

Unfair Advantage x.117 build

Changes:

  • Amibroker Portfolio Exporting bug corrected. 
  • CSIM/MetaStock file management deletion bug corrected.
  • Perpetuals can now be set to look forward up to 15 months out.
  • New contract rolling schedule located off the Portfolio menu.
  • Fortran Back-Adjuster now strips out reconciling records that trail expiry.
  • Markets with only options are identified in the factsheet’s last date field, where as the previous version would display a -1.
  • Rolling by Date with representative prices set to Close Old Contract, Close New Contract same day now uses the close of the new contract in the close of the day before the roll.
    This change was done to match the results of the Fortran Back-Adjuster, which handles this in a more correct way.

    When backadjusting ED

    The close value of the backadjusted file on 31st Jan should be = Sep 11 close = 99.480.
    The old adjuster does this correctly, the C++ adjuster gives a value of 99.465.
    Future #141 ED_5320B: Back-Adjusted of Eurodollar-3 Mth-Globex-(Floor+Electronic) 

    Mar, Jun, Sep, Dec
    1 day before the end of month
    5 months prior

    BEFORE
    20110131, 201106, 99.475, 99.480, 99.455, 99.465,
    20110201, 201109, 99.485, 99.485, 99.455, 99.465,

    AFTER
    20110131, 201106, 99.490, 99.495, 99.470, 99.480,
    20110201, 201109, 99.485, 99.485, 99.455, 99.465,

    Here are the closes of the NEW 201109 contract

    20110131, 201109, 99.500, 99.505, 99.475, 99.480,  (< now used )
    20110201, 201109, 99.485, 99.485, 99.455, 99.465, (< was used  )

    It now uses the close for the Sep 11 on the 31st, not the close on the 1st.
    It was duplicating the close over those 2 days.

Click here to download build 117.
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