# SPI Night data format



## andrew100 (10 January 2010)

Hi,

I got some night SPI data from one of the forum members but that person might be on break at the moment.

Would someone be able to confirm for me whether the date on the following data is either at the start or the end of the night session?

Date          O      H      L       C
2/03/07	5796	5823	5661	5764
7/07/08	5080	5080	5036	5057
15/09/09	4529	4581	4513	4575

Thanks in advance,

Andrew


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## Richard Dale (10 January 2010)

The SPI typically trades with multiple deliveries months simultaneously so you can't just say "is this the SPI Night session"?



> 2/03/07 5796 5823 5661 5764



This is the 2007H delivery (March 2007) of the night session of the SPI 200  finishing early morning 20070302.



> 7/07/08 5080 5080 5036 5057



This is the 2008U delivery (September 2008) of the night session of the SPI 200 finishing early morning 20080707.



> 15/09/09 4529 4581 4513 4575



This is the 2009U delivery (September 2009) of the night session of the SPI 200 finishing early morning 20090915.

Further clarification:

So right now, there's a March 2010, June 2010, Sep 2010, Dec 2010, March 2010, June 2011 all trading each and every day, EACH with their own open, high, low, close (settlement), volume and open interest.

The SPI Combined (Night + Day session) had the following prices for 8 Jan 2010:
YAP2_2010H.csv:20100108,4886.0,4929.0,4875.0,4895.0,16492,199497
YAP2_2010M.csv:20100108,4939.0,4939.0,4917.0,4917.0,27,1546
YAP2_2010U.csv:20100108,4917.0,4917.0,4917.0,4917.0,0,1822
YAP2_2010Z.csv:20100108,4917.0,4917.0,4917.0,4917.0,45,311
YAP2_2011H.csv:20100108,4917.0,4917.0,4917.0,4917.0,0,0
YAP2_2011M.csv:20100108,4917.0,4917.0,4917.0,4917.0,0,281

(there are also separately available prices for the SPI 200 Day and SPI Night only sessions)


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## andrew100 (10 January 2010)

Thanks Richard,

Andrew


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## symmetry (20 February 2010)

one thing you be aware of with the spi

your data  you get will be inaccaurte , you need to define the start of the trading day !!!   as when you combine data for the spi -  the data feders wil cut data off at 6pm or 12am midnight , then restart the data for the new day ! 

THIS IS  incorrect  the trading day is form mornign to morning  and hence your high lows can be out giving you incorrect indicators, data, accurate calculations.

its a problem with the spi the data needs ot be accuarte or you get waward calculations.

so check it out high and lows wil be different and therefore your daily , weekly will be different as the data is also carried over to the monday and thus monday data is actually partly friday nights data 

hope it helps, it has made a significant difference for me


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## Richard Dale (20 February 2010)

symmetry said:


> one thing you be aware of with the spi
> 
> your data  you get will be inaccaurte , you need to define the start of the trading day !!!   as when you combine data for the spi -  the data feders wil cut data off at 6pm or 12am midnight , then restart the data for the new day !
> 
> THIS IS  incorrect  the trading day is form mornign to morning  and hence your high lows can be out giving you incorrect indicators, data, accurate calculations.




This is not correct.

Your futures positions are valued according to the settlement time. i.e.  if you make a trade at 7pm Friday time, your trade is settled on Monday at 4:30pm.  

They are not valued according to your timetable.

Good data vendors give you:
Day only session
Night only session
Combined Night + Day session

Therefore the combined session dated Monday actually represent trades made any time from Friday 5:10pm through Monday 4:30pm.

This is the convention across all futures exchanges and forex transactions worldwide.


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## Trembling Hand (21 February 2010)

Richard Dale said:


> This is not correct.




Unless he is talking about the rubbish that CFD providers & MM fx give their "clients". In that regards he is right. 

Just like their most expensive brokerage "free" trades their "free" data is about the same value. Crap.


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## symmetry (21 February 2010)

it is correct in a data sense , that the trade for the day or week is not over !  no wonder so mnay loose on the spi.

i have rigidlously tested it and i can show a much more profitable outcome and have accurate highs and lows which in turn provide accurate techncial analysis . hey im only one guy and there be conventions in what is percived to be the norm, however inthis case the spi has unusual carry over data, there fore my trading day is as such.

indidually yes day is xxx and night is xxxx ( night still is fromt he 5:30pm time to the next day , i odnt care if the trades are recored for next day , its a TRADING SESSION...  not tick past 12 midnight. 

anyway wasnt here to argue jsut relay a valid point and worth noting in trading techncially not fundamentally


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## ThingyMajiggy (22 February 2010)

symmetry said:


> it is correct in a data sense , that the trade for the day or week is not over !  no wonder so *mnay loose* on the spi.
> 
> i have *rigidlously* tested it and i can show a much more profitable outcome and have accurate highs and lows which in turn provide accurate *techncial* analysis . hey im only one guy and there be conventions in what is *percived* to be the norm, however *inthis* case the spi has unusual carry over data, there fore my trading day is as such.
> 
> ...




Damn, that must suck trying to post while getting attacked by a swarm of Bees, you did well mate :


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## symmetry (22 February 2010)

lol,  far from me to tell experts how to deliver data, however i have noticed alot  of occurances where the trading day is so much different to the data day as i call it , puttign all "it traded on this day " or  blah  blah blah, i believe alot of techncial inaccuracy comes into play when traders just beleive or are fed info without looking into it. we trust data feedwers to do the right thing but how often do we check it and logiclaly place  it into the right areas.

alot of day/night markets are ruined ( high / lows) combined data due to cutting off the next day at 5pm or 12am or 4 am when the data handler feels/deems it is as so !  traders rely on trading days! , thats my bit sorry for romping your post mate , enjoy the spi200


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## Richard Dale (22 February 2010)

symmetry said:


> alot of day/night markets are ruined ( high / lows) combined data due to cutting off the next day at 5pm or 12am or 4 am when the data handler feels/deems it is as so




Good data vendors provide both the day, the night and combined sessions separately, so you have exclude the night sessions if you wish.

And data vendors don't "deem" it so.  It is due to the way daily settlement occurs with respect to your margins and the way the exchange decides to split up the trading day.  It's the end of the day sessions too that determines whether you get a margin call.

You're of course welcome to take intraday data and turn it whatever your own sessions like.  You'll find a lot less liquidity and more slippage during the SPI's night session though.


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## georgey (24 February 2010)

Trembling Hand said:


> Unless he is talking about the rubbish that CFD providers & MM fx give their "clients". In that regards he is right.
> 
> Just like their most expensive brokerage "free" trades their "free" data is about the same value. Crap.




Hi TH
If I buy/sell some index SPI or currency contracts with CMC and
it moves say 50 pips/points in my favour and I close with a nice 
profit, how can that be "expensive" if there is no brokerage to pay?
I am guessing you are referring to scalping rather than slightly longer
term holds because of the spread, is that correct?
Thanks in advance.


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## Trembling Hand (24 February 2010)

georgey said:


> If I buy/sell some index SPI or currency contracts with CMC and
> it moves say 50 pips/points in my favour and I close with a nice
> profit, how can that be "expensive" if there is no brokerage to pay?




No brokerage you are kidding??

The cost is always cheaper with the real market, futs or ecn, Always.

To trade the SPI with CMC (AUSSIE200) you are paying the equivalent to $100 dollars brokerage in the spread. With the Futs you pay $10.

If you don't think that "free" brokerage  is expensive well I'll leave ya to it.


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## georgey (24 February 2010)

TH, if I buy 10 lots of SPI at 4698/4700 and it moves to 4710/4712,
I make $100. How is that different to futs and how do you get the
100 vs 10 figures. If it's that much better, where does one 'enrol'.
I used to be with AOT on their Webiress platform.


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## Trembling Hand (24 February 2010)

Georgey I have got a long article on exactly the cost here,

http://tremblinghandtrader.typepad.com/trembling_hand_trader/2007/06/the_real_cost_o.html

Read or ignore if you want. Most CFD traders don't want to hear it. I suspect most don't even understand their cost but you're getting ripped off. Thats the bottom line.

Basically the spread is always smaller on the futs and and the real killer, that CFD traders who are just use to hitting a button to enter/exit never seem to grasp, is that with CFd you always have to cross the spread. A good futs trader is not locked into paying up the spread.

The $10 vs $100 come from the SPI which is $25 per tick, CMC is $1 so to trade the equivalent size on CMC you have to trade 25 contracts and therefor your cost is twice the spread- spread being 2 points therefore $100 dollars of "free" brokerage, lol. Brokerage on the futs is around $10 per round trip, for some much cheaper.


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## skyQuake (24 February 2010)

Trembling Hand said:


> Georgey I have got a long article on exactly the cost here,
> 
> http://tremblinghandtrader.typepad.com/trembling_hand_trader/2007/06/the_real_cost_o.html
> 
> ...




Just like to add that with a CFD provider, you will never be able to get filled on the bid (if you're buying) or the ask (if you're selling). You will ALWAYS pay the 2pt+ spread. (more at night)
Doubt many spi traders would do well with -2pts to their expectancy!


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## georgey (24 February 2010)

TH
If I buy 25 lots at 4698/4700 is that not $50 to cover the spread, not $100.
If you buy the futures at 4699/4700 is that not $10 brokerage plus the spread
(assuming you had to buy at ask and sell at bid).
So difference seems to be only $15 not $90 - $35 vs $50.


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## Trembling Hand (24 February 2010)

No the price has to move 2 points to get to breakeven with a buy trade entered on the bid and then has to move 2 points further to get the same target price as an limit exit.

It would be 3 points if entered at market.


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## georgey (24 February 2010)

Ok, got it. But as my main focus now is to pay down our mortgage,
Cfd's seem ideal at present as can do 1-2 lots without getting into
too much trouble. My 2 grand bank has varied between 2300 and 1500 and 
is now at 2100 after 6 months so obviously still working out my 'system'
and could have taken some big hits otherwise. I think it's better than
paper trading, but I may never get to 25 lots as I like to scale in so
would mean 50-75 contracts on at one time. Would definitely look at the 
SPI with another broker at that time as I wonder whether 'things' would
happen with a MM once a certain size is reached.
Thanks for info


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