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Topics discussed in this month's journal:
Building Your Knowledge Base
CSI will be closed for voice communication on Friday, July 4th for the U.S. Independence Day holiday. Data from open markets will be available at the normal posting times, and the CSI host computer will be accessible as usual throughout the holiday weekend.
Building Your Knowledge Base
"Knowledge is power" - Francis Bacon, 1597
If knowledge is power, then every Unfair Advantage® (UA) user is on the cusp of becoming more powerful. Subtle changes in the way we identify, catalog and sort the commodity database have made it easier to find and evaluate information, opening up many new possibilities for general market knowledge and, in turn, improved trading.
The UA commodity factsheets list every futures, cash and fundamental market available through the software. In addition to the name, exchange and CSI number, the factsheets show valuable information about delivery months, pricing units, minimum tick, first day on file and more. UA's graphic and conversion modules utilize factsheet information in charting and file creation.
A partial view of the UA commodity factsheets.
In an effort to improve user access to information in the factsheets, our staff evaluated each of the roughly 2,000 markets listed and tweaked the name of very nearly every one. Commodity names that had been introduced rather haphazardly, usually in accordance with exchange conventions over several decades, have been standardized so that similar or interchangeable markets can be identified, sorted and viewed together.
Under our new standardized naming system, commodities that are the same have the same name. However, each name is appended with the exchange name, making it easy to tell Tokyo Robusta Coffee from London Robusta, even when both are displayed in chart form.
Some anomalies still exist by virtue of naming discrepancies in different countries. Let's look at the oil-seed grain rapeseed, for example. This commodity is grown in many countries around the world for its oil (for both consumption and lubrication), as a "green manure" rotation crop, and for animal forage. Rapeseed oil also shows promise as a non-petroleum-based fuel extension for diesel engines. This is one of the oldest known grains, but it has two names.
Rapeseed began trading on the WCE at the end of 1969, but in 1979, the Western Canadian Oilseed Crushers Association registered the name "Canola" to describe "double-low" varieties of edible rapeseed. The Canola name indicates that the rapeseed oils contain less than 2% erucic acid and rapeseed meal contains less than 3 mg/g of glucosinolates. These specially engineered lines of rapeseed are traded as "Canola" and "Canola Meal" on the Winnipeg Commodity Exchange. For consistency's sake, we refer to Canadian Canola and Canola Meal under their generic names, "Rapeseed (Canola)" and “Rapeseed (Canola) Meal,” which correspond to similar commodities traded at the Matif Exchange in France.
Some factsheet changes, while organized and logical, may take a little getting used to. For example, the names of all the petroleum products (Crude Oil, Fuel Oil, Gas Oil, Gasoline, Heating Oil, Kerosene, Naphtha and the differentials) are preceded by "Petroleum," as in, "Petroleum-Heating Oil #2."
The factsheets continue to list "Inactive" commodities - that is, those that are no longer traded at the listed exchange with the listed specifications. In some cases, such as Comex Copper (CSI #6, now inactive), overlapping contracts for the same basic commodity briefly traded simultaneously, with very different contract specifications. As the footnotes tell us, Comex Copper (Inactive) was discontinued on November 10, 1989 and Comex High Grade Copper was introduced December 29, 1988#. Historical data for the two series is merged to provide a continuous history of Copper going back to 1966. Inactive commodity data can provide valuable information when kept in context. It's all in the footnotes!
A new column has been added to the factsheets identifying the "Average Total Volume." This information is helpful in discovering desirable exchanges and markets. When entering into or considering a new market, it is sometimes difficult to ascertain which of the offering exchanges provides the most liquidity. For example, the factsheets show that four exchanges offer Azuki Beans (Red). Perhaps Azuki Beans represent a good opportunity, but where to trade? Which is least likely to leave you in a lurch, unable to execute an order for lack of a willing buyer or seller? The average daily volume is a good indicator of liquidity. A quick check of the new Average Daily Volume field shows that recently the Tokyo Commodity Exchange Azuki Beans averaged nearly twenty-fold the volume of Azuki Beans at any of the other three exchanges. Good to know!
Sort order can be hugely important in gleaning the most possible knowledge from the factsheets. Sort by name to see all opportunities to trade a specific commodity. Sort by exchange to see a grouping of many commodities that are likely to be closely related. Sorting by Average Total Volume lets you see which commodities have the most action on a regular basis.
Single Stock Futures and Narrow Based Indexes are included in the "Commodity" factsheets, and offer good examples of the benefits of selecting the proper sort order. You can look for them by name, recognizing that they all share the common prefix "SSF." Another choice is to sort by market type (scroll to SSF). You can also easily find these by sorting by exchange and looking for NQLX (for NASDAQ markets) or ONE (for One Chicago). LIFFE Single Stock Futures can also be found under their exchange identifier.
You can sort by any of the field headings, including name, exchange, pricing unit, currency, etc. By default, when you select a new sort key, UA uses the previous sort key as the secondary sort. So if you have sorted by symbol and then sort by exchange, UA will report data by exchange, alphabetized by symbol within the exchange classifications. UA now offers an option on General Settings that makes the name field the automatic secondary sort key, so the markets can be alphabetized by name within any selected classification.
The new factsheets make it easy for you to find what you're looking for and also to learn about markets in ways you might not have considered. Use them to discover alternate trading venues for commodities of interest and to explore market liquidity. Check out cross-currency possibilities. Discover new ways to look at the markets, and to examine their interdependence, their differences, and their similarities. In short, use the new factsheets to build on your knowledge base. Experience the power!
Name Conventions to Look For:
Crude Oil, Gasoline and all other petroleum-based futures use names that begin with "Petroleum."
Foreign Exchange markets begin with the prefix "FX"
Bonds - Check under Bank Bonds, Govt Bonds and Sterling Rates for international markets. United States Treasury Bonds, Bills and Notes are identified at T-Bonds, T-Bills and T-Notes, respectively.
Indexes - All index based futures (from Australian Shares Price to DTB's VOLAX) are preceded with the word "Index."
Single Stock Futures and Narrow Based Indexes all have names preceded by “SSF.”
Each month in this column, the CSI technical support staff addresses issues that may be of interest to many subscribers through this question-and-answer forum. This month they discuss UA's new priority distribution/deferred distribution feature, intraday updates, and an enhancement to the History Refresh feature.
Q. I'm using the new Unfair Advantage that lets me select which exchanges will be updated immediately and which will be deferred until later (unique to version 2.7.0, and higher). Upon returning from a trip, I needed four days of stock data quickly, so I elected to distribute only the stocks and indexes (options included) in my first retrieval session. The data distribution took longer than I expected, mainly because there were over 21,000 stock adjustments, factsheet revisions and corrections, including commodity corrections. Where's the big time savings I was expecting?
A. The ability to segregate exchanges for distribution can speed things up, but it doesn't eliminate all possible delays. In distributing only stock data, you saved time by not updating any futures contracts in your portfolio(s), including possible recalculations of back-adjusted contracts and rewrites of corresponding export files. However, database and factsheet adjustments and corrections are always processed when they are received, regardless of the exchanges selected for distribution.
With so many revisions, your retrieval session must have coincided with many stock dividends or distributions - important data that could impact your trading decisions. (During a five-day mid-month period, for example, thousands of mutual funds are processed with dividend and capital gains adjustments for all fund data subscribers.) If UA didn't process such data, your stock database would be incomplete and its impeccable integrity could be compromised. The more market categories you download, the more possibilities for these types of revisions. Users who don't update options, or who retrieve only stocks or commodities would be less impacted.
By downloading four days of data at once, you quadrupled the average processing time. The best way to keep updating delays to a minimum is to download and distribute all markets at least once daily. Use priority distribution whenever necessary to update urgently needed markets immediately and leave the rest for later. Be assured that Unfair Advantage is handling its vast database as efficiently as possible.
Q. How can I get intraday updates from CSI?
A. By adding markets for such updates to your Position Manager inventory. The Position Manager module (available through the Trading Tools menu) lets you view delayed intraday price quotes for world futures, U.K. or North American stocks, futures options and index options*. Position Manager displays your various holdings or watch lists and reports account equity in your choice of currencies. These quotes are retrieved from third-party websites via the Internet, so they are not added to your UA files for export or charting.
* Position Manager also tracks mutual funds, using end-of-day data from the CSI database.
Q. Lately I have noticed occasional gaps in the volume data for some of my London commodities. They seem to coincide with days I refreshed various history files. Can these gaps be prevented?
A. Yes, and now they are. The volume gaps were related to History Refresh operations, and were the inadvertent result of our efforts to improve the process. We have since corrected the problem, so you should find no more gaps in your volume data.
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