CSI Data Futures Contracts

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TraderD
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CSI Data Futures Contracts

Postby TraderD » 12 Dec 2018

Does anybody know how CSI futures contracts that begin with @ (@NG, @CL, etc.) are constructed? Are these back-adjusted? If so, what are the rollover parameters (by date, by volume, OI...)?

I asked CSI tech support and was told that all the parameters to build these contracts are programmed in the API by MultiCharts. However, MultiCharts folks tell me the opposite. So, maybe the users of CSI data have figured it out?

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Anna MultiCharts
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Re: CSI Data Futures Contracts

Postby Anna MultiCharts » 14 Dec 2018

Hello, TraderD!

By default the data from CSI with NthNearest adjustment. Since MultiCharts 11 release 9 that is possible to add "BACK-ADJUSTED" to the description of the symbol in QuoteManager to receive back-adjusted data.
You can find the rollover parameters for each of these methods from CSI directly.

TraderD
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Re: CSI Data Futures Contracts

Postby TraderD » 14 Dec 2018

Thanks for your reply, Anna. So, you're saying that if I Edit Symbol in QuoteManager and change the description to "BACK-ADJUSTED" under "Common Information" the data will become back-adjusted? Right now the description field says, as an example, "Crude Oil (combined) - NYMEX". So, if I change "combined" to "BACK-ADJUSTED" the data coming from CSI will become back-adjusted? Did I get that right?

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Anna MultiCharts
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Re: CSI Data Futures Contracts

Postby Anna MultiCharts » 19 Dec 2018

TraderD,

Don’t change any part of the existing description, just add "BACK-ADJUSTED" after it.

muttoez
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Re: CSI Data Futures Contracts

Postby muttoez » 29 Dec 2019

For Futures contracts it appears the default back-adjustment setting is to roll based on open interest with a trigger 7 days before expiry. Is this the only setting that can be used or is it possible to set your own roll adjustment rules?

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Anna MultiCharts
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Re: CSI Data Futures Contracts

Postby Anna MultiCharts » 28 Jan 2020

muttoez,

Sorry for the delayed reply.
If you can access individual expired contracts in CSI program, then you should be able to access them in MultiCharts as well. In this case you should be able to create a custom futures from them and set any desired rollover conditions for it:
https://www.multicharts.com/trading-sof ... om_Futures


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