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Topics discussed in this month's journal:
The CSI Database on CD-ROM
CD History or Unfair Advantage - Which is right for you?
CSI will be closed for voice communication on Monday, September 1 for the U.S. Labor Day holiday. The CSI host computer will be accessible as usual, and data from those exchanges that remain open will be available at their normal times.
The CSI Database on CD-ROM
CSI has spent millions of dollars compiling the world’s most accurate and complete database of futures market information. Our effort of compiling data from nearly 100 commodity and futures exchanges began in 1969, when CSI was formed in New York State, and continues today. Despite the costs of quotation fees, personnel, plant and equipment, we strive to keep our data as affordable and as usable as possible.
Subscribers to CSI’s Unfair Advantage® (UA) data retrieval and warehousing system have access to a significant historical database plus ongoing daily updates via the Internet. For non-UA users who wish to receive historical data without regular updates, CSI now offers historical data on CDs through the online CSI Data Store, which is part of the Yahoo!Store.
These CDs are priced at very low rates and include the full history of all commodities within the exchanges of interest. They are made available at the full exchange level, such as the entire CBT Exchange, not by commodity. Data is current within a few days of shipment. Updated CDs may be purchased whenever desired, but no mechanism for ongoing online updates exists. The update CDs include a recap of the exact historical data order previously purchased through the CSI Data Store, plus updated information. The only cost is for the new data (subject to order minimums).
The most extensive historical series are for those 16 commodities that were actively traded (thus deemed worthy of analysis) when the CSI database was created. The U.S. exchanges with the most history are the Chicago Board of Trade (CBT), the Chicago Mercantile Exchange (CME), the Minneapolis Grain Exchange (MGE) and the New York Coffee, Cocoa, and Sugar Exchange (CCSE). The Winnipeg Commodity Exchange (WCE) in Canada and the London Metal Exchange (LME) in England round out the earliest reaches of the CSI database. All subsequently formed exchanges are also available, most from their first trading day.
There were two types of futures markets in the early days, including the original western-style markets that involved specific contracts named after the month and year when delivery was expected and trading was destined to terminate. Most exchanges offered (and still do offer) market data based upon calendar delivery months into the future. These futures products have a definite trading life. Volume and open interest usually build over the life of a given deliverable product until a month or two before each product reaches its delivery date. As that end date approaches, open interest begins a rapid decline to zero, which is attained when contracts reach delivery and become cash products.
Some exchanges (most notably LME, the London Metal Exchange) offer “forward” markets, which are appropriately named after the forward time period of their respective lives. These markets are defined as 90-day-forward markets, 120-day-forward markets, etc. Without attempting to be entirely precise on how the system works, the forward-market scenario at the LME is such that a new forward market begins and an old forward market ends every business day. Needless to say, it is somewhat complex to track the progress of a given forward market, but our method of file maintenance provides some guidance. All futures markets provide a convenient way for businesses to assure that future materials, crops and conditions will come together at a known price and quantity when the products are needed.
Futures and forward markets ultimately turn into cash markets upon delivery, so the CSI database covers cash markets to the maximum extent possible. All three of these market forms (delivery months, forward and cash), plus the relatively new Single-Stock Futures can be obtained for all world exchanges from CSI. These vast reserves make CSI the world’s most respected source of historical and future market facts, and this additional means of data delivery makes the database accessible and convenient for all.
The analytical value of a complete database cannot be overestimated. Such extensive reserves allow the trader to explore relationships between the various futures, forward and cash products. Corn, oats, wheat, crude oil, temperature, rainfall, nitrates, electricity, etc. each contribute to the relative price of the products that coexist on a calendar basis. It is important for the trader, analyst, or agricultural economist to determine how these variables relate to each other so that their impacts can be calculated and categorized. Having a database of the scope and complexity of that supplied by CSI can help to explain interrelationships so that an analyst can easily spot markets which are under- or overpriced with respect to all other coexisting markets. With such a comprehensive database, the resourceful analyst can discover opportunities not easily identified by the casual observer. An understanding of the nature of these markets is very important to an understanding of the entire world economy.
Pricing of CSI’s historical data CDs is quite reasonable. These costs are posted on the CSI Data Store website and are re-calculated monthly. As the price list states, we charge one-fifteenth of one cent per contract data day for the initial CD order for U.S. markets. This means that the information for one contract for 15 days is supplied for one cent. For example, if a commodity is regularly traded in five futures contracts on a daily basis, one month (21 trading days) would involve approximately 105 days of data. Therefore the cost for one month of history on such a commodity would be 105/15 or seven (7) cents. For a year of that particular market, the cost would be 7 cents times 12 months or 84 cents. This represents an excellent value, given the quality of the data and the effort necessary to gather the historical facts.
CSI’s Chicago Board of Trade data for corn reaches back to before 1949 (as can be seen on our price list’s extensive fact sheets). If five corn contracts were traded each day, the cost would contribute perhaps 84 cents times 54 years, or somewhere around $45.36 for all of the history on CBT corn. In fact, corn has more than five contracts per day, so adjusting for that additional information, the price contribution for corn would be a bit higher than the $45.36 cent example. The actual cost of the corn data, based on precisely the quantity of data provided, is included in the total cost of the CBT database. The cost for additional data on any exchange provided through an updated CD-ROM is just $4 per exchange per month ($50 minimum order).
Prices are calculated for all of the historical data available on all of the contracts from a given exchange. The data supplied can easily consume many thousands of contract data days to capture all of the information for a given exchange. CDs are customized to the extent that the trader may select exactly which exchanges will be included, and the data will be brought current to the time of processing. Long-term CSI subscribers may recall that we sold historical data on floppy disks many years ago. This service re-introduces the Bulk Data on disk concept. Similar software is included for processing the data into CSI (QuickTrieve®), MetaStock® or ASCII formats.
For more information or to place a CD order, please see CSI’s new Data Store at http://store.yahoo.com/csidata. The store is currently not open for business but will be shortly. CSI reserves the right to change any aspect of this offer, including availability and pricing, without notice.
CD History or Unfair Advantage - Which is right for you?
History on CD
For more information, please visit http://store.yahoo.com/csidata. The store is currently not open for business but will be shortly.
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 the posting of preliminary stock data nearly two hours before the official release time, researching most active stocks and big movers, and using Unfair Advantage’s API and MarketScanner.
PLEASE READ THE FOLLOWING IMPORTANT QUESTION/ANNOUNCEMENT CONCERNING CAPTURING VERY EARLY STOCK DATA UPDATES.
Q. Three of the markets I follow are not ready by 6:30 p.m., which is when I prefer to pick up daily updates. They are: DJIA (DJ2), E Mini S&P (ES) and Nasdaq 100 (ND2). Would it be possible to include these three with the commodities in an earlier release and revise later if needed?
A. This question highlights the longstanding CSI policy of posting only finalized quotes, as opposed to preliminary price data that would be comparable to the early quotes provided by other services. The CSI database receives preliminary data via satellite (weather permitting) for the stock markets between 5:00 and 6:00 p.m., as much as two hours before the official release at around 7:00 to 7:15 p.m. It is not unusual for revisions to be made during the pre-official period, so we consider preliminary data to be conditional, at best. Nevertheless, because of customer demand for early reports, we have decided to offer the preliminary data starting with the first trading day in September. We do so with the caveat that customers should act only on the official data that will become available around 7:00 p.m. daily. The preliminary data will be revised in subsequent updates whenever necessary through an existing utility that allows Unfair Advantage users to call for data as frequently as desired, so long as each call comes from the same computer. This means that you may call two or more times every evening without paying extra fees. The first call would allow you to prepare for the next day’s trading with preliminary stock data, and subsequent calls would fill in any missing or flawed entries that may have resulted from that early or preliminary update. Even with preliminary updates, a nearly flawless historical database is assured once our data checking efforts are complete. Even if an update were not made after the final posting, the following day’s update would correct missing or flawed data from an early update on the previous day. Customers are warned that there is a strong likelihood that some preliminary stock reports will be revised. No trade orders should be placed without confirmation of the “official” quote after the official release time and without confirmation from your broker. In deciding whether or not to use preliminary data, you should ask yourself if you wish to receive possibly flawed preliminary data in order to process earlier updates. In other words, is expediency at the cost of possible inaccuracy (as practiced by our competitors who follow an early release schedule) a desirable tradeoff? If your answer is “no” to these questions, then simply ignore the early stock quotes and be sure to update again after the official release time or the following day to receive verified stock data. If you feel that a greater possibility of errors is acceptable, provided they are supplied with the understanding that corrections would be available through subsequent updates, then feel free to indulge in the preliminary stock data. Only CSI gives you the benefit of early access to preliminary data plus the assurance of an accurate database through automatic revisions. This will be a new service, so times and availability are estimates and may be revised as necessary. We are seeking feedback from our subscribers on this policy change and service addition. Please tell us what you think at firstname.lastname@example.org.
Check the Posting Status of any market type through the CSI website to see what has been updated.
Q. Does CSI software allow me to determine which markets are the most active, big movers, etc?
A. We offer this information in three ways: First, UA's Text Viewer displays these during data distribution. If you're not seeing them, you may have turned off the "Display Advancing/Declining report after stock distribution" feature on the Distribution 1 tab of UA's General Settings. You can adjust this through the Options menu. This information is also part of our "Tomorrow's Newspaper Today" feature, offered through the CSI website. Assorted screens show the stocks within each exchange with the greatest average daily volume, cash flow and price change. Mutual funds, a broad range of stock sectors and indexes are also reported. Third, Unfair Advantage's MarketScanner can perform similar studies on markets of your choice by filtering and sorting data according to your specifications. MarketScanner also allows you to sort and filter data based on technical indicators, such as RSI, moving averages, etc.
Q. I'm a programmer and would like to know if there is an API for the MarketScanner that will allow my software to make queries and return the symbols that meet my criteria?
A. The MarketScanner does not have an OLE interface, but it does offer a variety of ways to output the symbols that meet your criteria. Please read the Developer's Document (found in the UA program group) for information on reading the scan file (stkscn.bin) directly.
Q. Can UA’s MarketScanner scan for symbols that meet certain criteria as of a certain date instead of the last bar/date on record? For example, could I see if my criteria were met on January 3, 1988 using a loop to stop on that day?
A. MarketScanner is meant for quickly finding current trading opportunities. While it is possible to search historical data points by selecting a large number of days to process (20 years times 250 days), you will probably find the process slow and cumbersome. This practice can also be deceptive because the universe of symbols and corresponding fundamentals are current. Starting with UA 2.7.0, you can specify that the current day is some day other than the last day of history, but this should not be used for historical searches.
Q. My CSI subscription for World Futures allows me to process up to 79 symbols in my portfolio at any one time. Does this limit also apply to my API data requests? In other words, is 79 the maximum per request or the daily total?
A. The number of symbols is not currently enforced with respect to the MarketScanner or the API, but this could soon change. The maximum quantities apply per request.
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