IG's ASX200 CFD versus SPI

[Gringotts Bank]

I've just been comparing IG's various ASX200 CFDs against the SPI. I know the CFD is synthetic, and there will be mismatches, but something is weird with IG's data and charts. I thought I'd ask here because I never get any help from the phone boys. Shouldn't they be reasonably close to each other? Sometimes the data is so far off it's quite stunning.

 

[skyQuake]

I've just been comparing IG's various ASX200 CFDs against the SPI. I know the CFD is synthetic, and there will be mismatches, but something is weird with IG's data and charts. I thought I'd ask here because I never get any help from the phone boys. Shouldn't they be reasonably close to each other? Sometimes the data is so far off it's quite stunning.

pic plz

If its a discrepancy at 4 or 4:10 then its due to divvie adjustments.

 

[Gringotts Bank]

pic plz

If its a discrepancy at 4 or 4:10 then its due to divvie adjustments.

My SPI data came from a buddy so I don't know of its accuracy. But eg. on 6/8/2013, the SPI was:

O - 5054
H - 5068
L - 4982
C - 4986

A 1.3% drop approx. The biggest one day drop in the immediate vicinity.

Then I look on the CFD chart and that same big drop is dated 7/8/2013. Here's the CFD chart.

Thanks for the assistance.

 

[skc]

My SPI data came from a buddy so I don't know of its accuracy. But eg. on 6/8/2013, the SPI was:

O - 5054
H - 5068
L - 4982
C - 4986

A 1.3% drop approx. The biggest one day drop in the immediate vicinity.

Then I look on the CFD chart and that same big drop is dated 7/8/2013. Here's the CFD chart.

Thanks for the assistance.

First thing I'd do is to check the timezone/date setting for your chart.

Secondly - the open and close times for the CFD and the SPI would be different so the OHLC will sometimes be different.

Thirdly - the numerical value for the ASX200 CFD will not be the same as the SPI due to dividend components and cost of carry.

Lastly - just bring up both instruments and watch them tick through the day. You' will soon realise they move in unison.

 

[skyQuake]

Might be data issue. IG looks right.

Several things to consider:
Sept Contract?
Day Night combined contract?
Is charting software using 12:00am as "Open"?
etc

My OHLC for 7th Aug is verg similar to IGs and (6th too)

 

[Gringotts Bank]

First thing I'd do is to check the timezone/date setting for your chart.

Secondly - the open and close times for the CFD and the SPI would be different so the OHLC will sometimes be different.

Thirdly - the numerical value for the ASX200 CFD will not be the same as the SPI due to dividend components and cost of carry.

Lastly - just bring up both instruments and watch them tick through the day. You' will soon realise they move in unison.

Comprehensive! Thanks a lot. Was the timezone.

- - - Updated - - -

Might be data issue. IG looks right.

Several things to consider:
Sept Contract?
Day Night combined contract?
Is charting software using 12:00am as "Open"?
etc

My OHLC for 7th Aug is verg similar to IGs and (6th too)

My SPI data (in Amibroker) is set to "day only", but I forgot to adjust for timezone. So long as IG is accurate that's my main concern. Cheers.

 

[Caveroute]

Comprehensive! Thanks a lot. Was the timezone.

- - - Updated - - -



My SPI data (in Amibroker) is set to "day only", but I forgot to adjust for timezone. So long as IG is accurate that's my main concern. Cheers.

SPI EOD SNFE RTH data for past 6 weeks - from AMP/CQG

1/08/2013 4:30:00 PM, 5027, 5052, 4984, 5007
2/08/2013 4:30:00 PM, 5059, 5074, 5050, 5068
5/08/2013 4:30:00 PM, 5075, 5078, 5052, 5063
6/08/2013 4:30:00 PM, 5058, 5070, 5036, 5059
7/08/2013 4:30:00 PM, 5036, 5039, 4955, 4965
8/08/2013 4:30:00 PM, 4961, 5035, 4959, 5001
9/08/2013 4:30:00 PM, 5026, 5028, 4973, 5004
12/08/2013 4:30:00 PM, 5000, 5066, 4996, 5059
13/08/2013 4:30:00 PM, 5065, 5119, 5055, 5116
14/08/2013 4:30:00 PM, 5146, 5147, 5099, 5119
15/08/2013 4:30:00 PM, 5107, 5119, 5092, 5109
16/08/2013 4:30:00 PM, 5079, 5081, 5053, 5071
19/08/2013 4:30:00 PM, 5070, 5102, 5067, 5087
20/08/2013 4:30:00 PM, 5068, 5079, 5031, 5050
21/08/2013 4:30:00 PM, 5070, 5085, 5042, 5078
22/08/2013 4:30:00 PM, 5030, 5054, 4996, 5039
23/08/2013 4:30:00 PM, 5082, 5120, 5065, 5106
26/08/2013 4:30:00 PM, 5124, 5140, 5107, 5125
27/08/2013 4:30:00 PM, 5102, 5127, 5086, 5123
28/08/2013 4:30:00 PM, 5063, 5074, 5053, 5068
29/08/2013 4:30:00 PM, 5061, 5081, 5042, 5076
30/08/2013 4:30:00 PM, 5073, 5126, 5055, 5117
2/09/2013 4:30:00 PM, 5130, 5190, 5126, 5183
3/09/2013 4:30:00 PM, 5201, 5204, 5182, 5188
4/09/2013 4:30:00 PM, 5177, 5178, 5145, 5155
5/09/2013 4:30:00 PM, 5180, 5182, 5109, 5137
6/09/2013 4:30:00 PM, 5146, 5161, 5110, 5144
9/09/2013 4:30:00 PM, 5179, 5192, 5148, 5191
10/09/2013 4:30:00 PM, 5208, 5219, 5194, 5206
11/09/2013 4:30:00 PM, 5232, 5239, 5219, 5231
12/09/2013 4:30:00 PM, 5237, 5257, 5229, 5240
13/09/2013 4:30:00 PM, 5235, 5235, 5209, 5227
16/09/2013 4:30:00 PM, 5278, 5281, 5247, 5256

 

[Gringotts Bank]

SPI EOD SNFE RTH data for past 6 weeks - from AMP/CQG

1/08/2013 4:30:00 PM, 5027, 5052, 4984, 5007
2/08/2013 4:30:00 PM, 5059, 5074, 5050, 5068
5/08/2013 4:30:00 PM, 5075, 5078, 5052, 5063
6/08/2013 4:30:00 PM, 5058, 5070, 5036, 5059
7/08/2013 4:30:00 PM, 5036, 5039, 4955, 4965
8/08/2013 4:30:00 PM, 4961, 5035, 4959, 5001
9/08/2013 4:30:00 PM, 5026, 5028, 4973, 5004
12/08/2013 4:30:00 PM, 5000, 5066, 4996, 5059
13/08/2013 4:30:00 PM, 5065, 5119, 5055, 5116
14/08/2013 4:30:00 PM, 5146, 5147, 5099, 5119
15/08/2013 4:30:00 PM, 5107, 5119, 5092, 5109
16/08/2013 4:30:00 PM, 5079, 5081, 5053, 5071
19/08/2013 4:30:00 PM, 5070, 5102, 5067, 5087
20/08/2013 4:30:00 PM, 5068, 5079, 5031, 5050
21/08/2013 4:30:00 PM, 5070, 5085, 5042, 5078
22/08/2013 4:30:00 PM, 5030, 5054, 4996, 5039
23/08/2013 4:30:00 PM, 5082, 5120, 5065, 5106
26/08/2013 4:30:00 PM, 5124, 5140, 5107, 5125
27/08/2013 4:30:00 PM, 5102, 5127, 5086, 5123
28/08/2013 4:30:00 PM, 5063, 5074, 5053, 5068
29/08/2013 4:30:00 PM, 5061, 5081, 5042, 5076
30/08/2013 4:30:00 PM, 5073, 5126, 5055, 5117
2/09/2013 4:30:00 PM, 5130, 5190, 5126, 5183
3/09/2013 4:30:00 PM, 5201, 5204, 5182, 5188
4/09/2013 4:30:00 PM, 5177, 5178, 5145, 5155
5/09/2013 4:30:00 PM, 5180, 5182, 5109, 5137
6/09/2013 4:30:00 PM, 5146, 5161, 5110, 5144
9/09/2013 4:30:00 PM, 5179, 5192, 5148, 5191
10/09/2013 4:30:00 PM, 5208, 5219, 5194, 5206
11/09/2013 4:30:00 PM, 5232, 5239, 5219, 5231
12/09/2013 4:30:00 PM, 5237, 5257, 5229, 5240
13/09/2013 4:30:00 PM, 5235, 5235, 5209, 5227
16/09/2013 4:30:00 PM, 5278, 5281, 5247, 5256

Thanks Cave. That matches IG's CFD by the looks of it.