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Richard Dale

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    Trader & Market Data Vendor
  • Interests
    Aviation (PPL), Skiing
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  • Favorite Markets
    Stocks, Futures, Spot Forex
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    Data: Premium Data
  1. I don't think looking at 52 week highs without adjusting for the spinoff of Kraft is a good idea. You state $42.54 as the 52 week high yet on an adjusted basis it's really $32.10.
  2. Hi Nick, Liquidity in the Hang Seng is decreasing in the March 2011 contract but you should not be experiencing slippage of 80 points. Without any further details of: a) When you placed the order (exact time in your timezone and HK timezone) b) What was the market apparently at when you placed the market order? c) What price were you filled at? d) What was the exact time of the trade? I suspect you may have simply placed the order outside of the trading hours. Overnight gaps are commonplace for futures that don't trade 23/24 hours a day. You should become familiar with the characteristics of any futures contract. Key points being: 1. Trading Hours 2. Average volatilty / Overnight gaps 3. First notice dates, expiry dates and holidays that affect the contract 4. Watch decreases in Vol/Open Interest to understand possible times for you to roll to the next delivery Lastly, don't hesitate to ask your broker why you were filled at a particular time.
  3. The correct answer is "all contracts that are trading are being traded", if being somewhat illiquid. Every contract has a "Last Trading Date" (LTD) but settlement/exchange for physical can also occur in the days after the LTD. In any case, the liquidity is terrible towards the end of each monthly delivery so you probably want to roll a week or more before the LTD. Use historical data to see where the volume begins to decline. For physically settled contracts, you should also be aware of the "First Notice Date" (FND). Unless you are trading the physical, you don't want to be called to deliver. So roll to the next desired delivery. Some contracts have "interstitital" or "minor" months that few people trade - this is especially the case with agricultural futures. eg. Corn - most people ignore January and November deliveries. You can easily see this by looking at volume and open interest. It is important to understand the intricacies of each futures contract you trade. You should be familiar with the Contract Specifications too and understand the implications of limit moves. The Contract Specifications are available from the exchange's web site.
  4. What would you be willing to pay for: a) 5 years of history b) 10 years of history c) 15 years of history Would you also be willing to pay for quarterly updates too? (well, updates as they happen). We're looking into sources for such data and considering what types of products we could offer. One of the issues that crops up from time-to-time is when a company changes their financial year boundaries. They quite often use that extra quarter to throw in extraordinary items that then get lost in the history of time! Cheers, Richard.
  5. TradeStation 2000i was produced by Omega Research back in 1998 and cost around US$5000 back then . It also has not been updated or upgraded since this time. It is no longer available or offered to US residents but can be bought from a few international resellers. See TradeStation Technologies, Inc. - TradeStation Software Products In 2001, Omega Research transformed from a software company into broking house, and changed their name to TradeStation Technologies. The TradeStation platform was revamped into a trading and analysis platform. You can access the TradeStation platform either by becoming a brokerage customer, and having free access if you trade enough during the month (otherwise $100 platform fee). If you do not want to trade with them then the price is $250/month. See: http://www.tradestation.com/brokerage/platform_fees.shtm The TradeStation Platform is downloaded from the TradeStation Securities site once you subscribe/sign up.
  6. The Premium Data link appears to be truncated... this is the correct one: Futures Continuous Contracts Explained
  7. In most countries, dividends are rarely restricted to listed securities. So it's probably in the law of each country concerned regarding shareholding, dividends and dates (final cum dividend date, ex dividend date etc.). For Australia check the Corporations Act. For USA check the SEC. I only know these terms from my dealings with each of these exchanges from the perspective of a trader and also a data vendor. "cum" and "ex" are actually legal terms derived from latin meaning "with/together with" and "without". So quite simply, when a security is "ex dividend" it no longer has a dividend attached to it. The "ex date" is when this happens.
  8. Jim - that is incorrect. If you open a a position on the open of the ex date or any time thereafter there is no dividend to worry about. The easiest way to understand this is that "ex" means "excluding". So if you still hold a position at the close of the trading on the trading day BEFORE the exdate then you will either receive (if long) or have to pay (if short) the dividend.
  9. Something to be aware of with futures data is that if you are basing your roll decisions on volume/open interest, is that many exchanges do not provide volume and/or OI on a timely basis. Sometimes it is provided in estimate form then clarified a day later. Other times it is only provide a day late. So if you have a trigger to roll, ensure that your rolls are done in accordance with when the data is available to you. That being said, unless your trading systems are extremely sensitive, you shouldn't see much overall difference in a roll that is timed +- 1 day. If you do, perhaps the system needs refinement.
  10. You need to create a continuous contract that is backadjusted to remove the gap associated with rolling from one contract to another. We wrote an article on this quite a long time ago but its still applicable: Futures Continuous Contracts Explained
  11. It also varies between versions. For example, in MetaStock v7.2 and below you were able to transfer the license to another party (or simply give them the software if you had never filled in the registration card). From v8 onwards they changed the license agreement to read "non-transferrable". I may be mistaken in that it started in v9 though. But for all intents and purposes not much has changed in Metastock since v7 anyway.
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