<< Back to CSI Market Factsheets Download as CSV View All on One Page

Column Notes:

Delivery Months - This shows the (V)alid, (I)nvalid, and (S)witching delivery months. Valid months are always traded, invalid months are never traded, and switching months are sometimes traded. The characters are presented in the 1-12 month order 'JFMAMJJASOND'.

OHLC Offset - There are a few markets that go negative. CSI could not support storing these numbers, so an offset needs to be applied. Subtract this offset from the CSI price to get the actual price.

Conversion Factor - This is needed when converting from CSI's point format into decimal format. If you receive decimal format, it is not needed.

Has Implied 5 - This is also only needed when converting CSI's point representation to decimal. This means to append a '5' to any terminal digit that is a '2' or a '7'. Strike prices for options may also need to have an implied 5 applied.

Last Total Volume - The total volume for all contracts for the most current trading day.

Session Type - RTH stands for regular trading hours, sometimes known as the pit, floor, or day session. ETH stands for extended trading hours, sometimes known as the electronic or night session. The combined session has the ETH open, highest high and lowest low of the RTH and ETH, and the settlement in the close field.

Point and Tick Values - See here for point and tick value notes.

Delivery Month Code - #54 is used for cash/spot prices. #61 is used for lag day cash prices.

Last Close - For normal deliveries it is the front month close of the most current trading day. For cash it is the cash settlement.