mumrix

Thursday, April 16, 2015

Calendar spread: May 15 2015 vs Apr 17 2015 [-13.50]

April 15 is missing due to a data transmission fiber cut near the OMX Stockholm exchange which apparently only affected eSignal. Rollover is performed one session earlier than usual (3 instead of 2 sessions before expiration) so as to faciliate backfill should the missing data be retreived.

Tuesday, December 23, 2014

myholidays.txt

#Loading myholidays.txt - Holiday Definition File Expires January 1, 2017
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- Session 36. OMX Stockholm Futures (9 AM - 5:27 PM Mon-Fri)
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- http://www.nasdaqomxnordic.com/digitalAssets/93/93200_trading-calendar-2014-2016.pdf
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-YYMMDD
141224,36,Julafton
141225,36,Juldagen
141226,36,Annandag jul
141231,36,Nyårsafton
150101,36,Nyårsdagen
150106,36,Trettondedag jul
150403,36,Långfredagen
150406,36,Annandag påsk
150501,36,Första maj
150514,36,Kristi himmelsfärdsdag
150619,36,Midsommarafton
151224,36,Julafton
151225,36,Juldagen
151231,36,Nyårsafton
160101,36,Nyårsdagen
160106,36,Trettondedag jul
160325,36,Långfredagen
160328,36,Annandag påsk
160505,36,Kristi himmelsfärdsdag
160606,36,Sveriges nationaldag
160624,36,Midsommarafton
161226,36,Annandag jul
170101,36,Nyårsdagen

Friday, July 19, 2013

How to join historical data from expired contracts by rollover

1. Download the oldest contract you intend to use.

2. Make shure that the symbol and data for the next contract symbol is free. If not, delete the symbol with data. Roll over to the next consecutive contract symbol by right clicking directly on the symbol in a quote page and choose Rollover Future and fill in the symbol for the next contract month. Now there should be data for a particular contract under the name of the next consecutive contract.

3. Download data for the new contract beginning at rollover date (i.e. for monthly contracts two regular trading days before previous expiration). It's very important to restrict the download backwards in time to prevent data of the previous contract from being overwritten.

4. Equalize the data by using the split function (File-Functions...-Adjust for Splits). Enter the real closing price for the previous contract at rollover date in the first box under Split Ratio and the adjusted closing price in the second box and make shure the Calendar Spread Adjustment button is checked. Adjustment for calendar spread can be made at any time later as long as the rollover time and date is known or rule consistent. Most convinient and fail safe at this point could be to download the previous contract again in order to calculate the calendar spread and then adjust the calendar spread before rolling o to the next contract.
5. Repeat the procedure (2-4) until current rolling.

Thursday, May 16, 2013

Download schedule setup

To compensate for the current eSignal issue with delayed start time of tick-stream <OMF streaming data issues (Nasdaq OMX Stockholm futures)> a schedule can easily be created for automatic download of tick-data every minute. Enter the Object Manager (Alt+O):

Select New Schedule and put in parameters as below:

Calendar spread: May 2013 vs Jun 2013 [-1.25]

Monday, February 11, 2013

Bad tick: OMXS30 G3-OMF (eSignal)

Date: 02/05/2013
Time: 17:29:42
Last: 1074.50
Volume: 850
Bid: 1174.50
Ask: 1175.00

Tick is obviously -100 points outside bid-ask spread. Access and edit the data in by scrolling to a bar that contains the bad tick, then click edit data button in toolbar.* Then select the bar by clicking on it or drawing an area that includes any part of the bar (i.e. the part that sticks out). A time and sales window will popup including the bad tick.
*Crossed over candle button: