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Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2008-06-13 01:45

We create our own since we have never been able to satifactorily reporoduce CSI's results.  By doing it ourselves, we ensure we get what we are looking for.  (But their data is good...)


dgn2


Total Posts: 2048
Joined: May 2004
 
Posted: 2008-06-13 05:18
yeah, I create my own as well...sorry

...WARNING: I am an optimal f'er

Johnny
Founding Member

Total Posts: 4333
Joined: May 2004
 
Posted: 2008-06-13 10:08
I was never able to reproduce CSI's rolls either. So I hohohohoho rolled my own.

From the subprime to the ridiculous

ZeroBeta


Total Posts: 84
Joined: Oct 2006
 
Posted: 2008-06-13 22:59

jungle regarding your interop services exception.. did you check to see if both machines have the same version of the dot net runtime installed? there are several versions out there and the interop pieces went through a bunch of changes for each version if i remember correctly. hth.

 


Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2008-07-29 04:58
dgn2, did you ever get the options data from CSI?  If so, what is your opinion of it?

dgn2


Total Posts: 2048
Joined: May 2004
 
Posted: 2008-08-08 04:59
I did get the data but I have had a little trouble with the API recently and I need to reinstall the CSI software. I am only trading the futures so I am collecting the options data for longer term projects. I really haven't used the data much at this point.

...WARNING: I am an optimal f'er

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2008-12-08 18:28

Support is useless, so I thought I'd post here:

1.  I'm trying to use the CSI UA GUI to download back-adjusted series.  This doesn't work; I get an access violation in ua.exe error message.  CSI claimed this is a hardware problem and told me to reinstall UA on a different PC.  BS or worth doing?

2.  Again using UA, I tried to download only certain months (e.g. Mar) for a futures contract over a 10y sample period.  Each contract should have 1y worth of data (e.g. Apr 1st 1999 to Mar 31st 2000).  Some contracts downloaded ok, but others only have (say) 10m worth of data instead of a full year.  Any ideas as to why this would happen?


jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2008-12-08 18:28

Double post removed.


Dizzy


Total Posts: 247
Joined: May 2006
 
Posted: 2008-12-08 20:23
1. Most likely BS if the crash is consistent. If I really needed it to work I would either fiddle around with remotely relevant settings or I would fire up a debugger and try to see what happens in detail. The latter might sound desperate, but for finding stupid errors it can be surprisingly effective, provided you're into that kind of stuff. I'm afraid I haven't really worked much with the GUI myself, only done the occasional test.

2. The only (obvious?) reason I can come up with is if there is too little data for a particular month. You might try generating some graphs for single contracts and see how far they go back.

HTH.

They're justified, and they're ancient, and they drive an ice cream van.

Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2008-12-08 22:55

1. By "download from the GUI" I assume you mean set it up to generate an ascii file with the data for you when you update the database.  This has been working for years, and I haven't had any trouble with it.  You might try reinstalling the application (or upgrading versions) on the same hardware.  The bad hardware hypothesis seems very unlikely to me unless you are having other problems too.

2. If you give me an example I can check against my database.  Overall, yes, contracts do come in varying lengths of history, including less than a year.  I assume this comes from the exchange end of things, and is probably not a filter by the vendor.  You will probably see thin volume too, if not zero.


jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2008-12-09 00:01

Dizzy, Tradenator, thank you for your replies.  CSI explained 2, which relates to the exchange changing contract specs but also some choices that CSI made regarding the switch from one contract spec to the other.  Re: 1, I started installing UA on a different PC and will report back. 

EDIT: Installing CSI on a different machine worked.  Uninstalling 2.9.3.12 and reinstalling 2.10.7 on the original PC did not work; same error message as previously. 


jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2008-12-09 17:29

I uninstalled 2.10.7, ran CCleaner, deleted the UA folder, reinstalled 2.10.7, and still get the same error message (access violation in module uad.exe).  The response from CSI's tech support was, effectively, 'tough'.  They claim nobody at CSI can help, and if I email them, all they'll do is tell me that in writing.

Any ideas, other than use the second PC?


svquant


Total Posts: 113
Joined: Apr 2007
 
Posted: 2008-12-09 21:00
Well just throwing out some thoughts on this for you...

Have you tried using ezdownloader vs uad? On one machine I have uad works but ezdownloader does crash consistently. Perhaps your luck will be reversed Confused

Need to see if the uninstall left some items around. UA appears to use Borland C++ Builder and the sensitivity to the DLL versions is problematic. Perhaps an old DLL is left around somewhere? Same would be for the Pearl version used.

Have you copied your working UA directory from PC2 to PC1? Might help in the debug of which DLL, services etc are in conflict.

Are you XP or Vista? Perhaps a compatibility mode might help if you are Vista.

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2008-12-18 19:11

I ended up using PC2, for now. 

More problems and questions.  I'm downloading n-th month rolling futures data for RBOB.  For n = 1, ..., 7, no problem.  For n = 8 or 9, there is data missing for the following periods:

1999/12/23-2000/1/24

2003/3/26-2003/5/16

2003/7/25-2003/8/22

2003/9/24-2003/11/14

2006/4/24-2006/05/31

EDIT: the list of missing data is for n = 9.  The list is diffferent for n = 8. 

Has anyone had similar problems?  I checked Bloomberg and see via HUA Cmdty CT that there was a full 1y strip available, and some odd months after that (see the screenshot below).

 

 


Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2008-12-18 22:54
I splice nearest contracts HU and RB (CSI codes), using HU for the dates before RB was actually trading.  If I recall correctly, there would have been a period for which far RB was trading along side near HU on the curve, but RB had less liquidity while being phased in.  I don't think RB had much liquidity until it was in the spotlight as the active GSCI constituent.

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2009-08-20 14:01

I've been successfully updating my DB via the UA API for about 2y now, and this morning it fell over.  Error message is: Creating an instance of the COM component with CLSID {6F2F99A3-6600-11D3-B331-525400E8C92C} from the IClassFactory failed due to the following error: 80010105.  If anyone has any ideas/advice/suggestions, I'd be much obliged.  Obviously there is a problem with UA.dll but I don't know what or why.

EDIT: I think I got it; though I'd closed UA when I opened it, the process was still running.  Closing it seemed to allow the code to run. 


jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2009-09-03 23:03
Re: CSI --- data quality for SFE seems to be an issue.  I've found 10 errors in Aussie and Kiwi Bank Bill futures data over the last month vs. one error over 60 other market data over the last 2y.  Can anyone comment on this?  CSI seem to be extremely unresponsive, as I've repeatedly emailed them to ask them to confirm which corrections have been made and when, and have heard nothing. 

"Alors, c'est bien foutu, les systeme". Alphandery

Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2009-09-04 00:36

If you email (or post) some specific dates and the errors you see for both, I will try to compare them to what Iress says.

Edit: any issues with the Aussie 3s and 10s?

Edit2: we find that you have to be VERY specific with them, basically do their job for them to point out the error, sort of like with brokers.  We send a screenshot of the system with the data highlighted in the table, and then they can go right to it.  This usually gets a decent response for us.


Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2009-10-08 00:23
This might be useful to R and CSI users: RCSI.

thefullmoby


Total Posts: 1
Joined: Sep 2008
 
Posted: 2010-01-01 17:59
Has anyone tried the RCSI package? My systems live in the 'NUX world and I'm trying to find a straightforward way to extract the CSI data on an old laptop without too much IT effort ...

dgn2


Total Posts: 2048
Joined: May 2004
 
Posted: 2010-01-01 19:50
I haven't tried the RCSI package, but I also live in the 'NUX world. I had to resort to virtualbox + Windows XP 64 to run both eSignal and CSI

...WARNING: I am an optimal f'er

Tradenator


Total Posts: 1579
Joined: Sep 2006
 
Posted: 2010-01-02 03:12
I still use python for all my CSI data acquisition needs.  You should be able to get it to run on an older machine.

quantz


Total Posts: 237
Joined: Jan 2009
 
Posted: 2010-01-06 07:12
jungle, at my previous firm we always got SFE data direct from SFE rather than CSI. (there's a way to download from SFE website, not sure if you have to pay them.) I was not particularly impressed with CSI in my experience of downloading futures data, also their customer service was bad/non-existant

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2010-02-25 14:11

Today I got this error message:

COMException was unhandled: Creating an instance of the COM component with CLSID {6F2F99A3-6600-11D3-B331-525400E8C92C} from the IClassFactory failed due to the following error: 80010105.

which occured at this line of code which is part of a program that downloads data from CSI and uploads it to my db:

API2Class uaApi2 = new API2Class();

Any ideas? 

EDIT: HTML formatting removed.


Dizzy


Total Posts: 247
Joined: May 2006
 
Posted: 2010-02-25 14:49

Tried rebooting? Cool

"An engineer, a mathematician, and a computer programmer are driving down the road when the car they are in gets a flat tire. The engineer says that they should buy a new car. The mathematician says they should sell the old tire and buy a new one. The computer programmer says they should drive the car around the block and see if the tire fixes itself."

Pray, Mr. Babbage, if you put into the machine wrong figures, will the right answers come out?
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