The exchanges want to avoid obligating themselves in delivering data with any guaranteed timeliness. The exchanges currently do not recognize the concept of "de-layed-data." They will recognize a "time-interval" (that starts when data is received by their data-vendors) during which, if received by a subscriber, the exchange charges a fee because the data so received is "fee-liable"; if received after the end of that interval, they dont charge a fee because then the data is "non fee-liable."

This time interval, in minutes (identified in literature distributed by some vendors as "Optional Delay"), has been chosen differently by the membership of each exchange. Table . 1 is a list of delay times at various futures exchanges and Table B.2 is for stock exchanges.

Table b. 1 Fee-liable interval at several exchanges

Minutes Futures Exchanges

These numbers may change. Before relying on this data, verify the current value for each relevant exchange.

These numbers may change. Before relying on this data, verify the current value for each relevant exchange. **Only last sale price and volume are delivered from these exchanges when delayed.

Questions to Ask

f Which time frame do you prefer: real-time, delayed, or EOD?

What is the average transmission delay for the markets you want? Ask for real numbers, not what the sales department says it should be on a quiet market. If the data always arrives at your site later than the advertised time of delay, can

i you cancel your subscription and be refunded for the unused portion of the

\ contract. Any penalties?

Symbol Assignments

Whatever market you want to trade will have a unique identifying symbol, for example, an "IBM" security and a "JO" (frozen orange juice) contract. Some instruments are also traded in the evening and/or around the world (24 hours). With regard to trading the same market, some data vendors will retain the same symbol for trades after the days session and some will assign a different symbol. This can be either desirable or undesirable, depending on the traders needs. Investors preferring 24-hour continuous charts want the symbol unchanged, whereas others like to keep them separate because market behaviors in the after-day sessions (e.g., Globex) are uniquely different and they have a different system trading the evening and night sessions.

Data Broadcasting Corp. (DBC) has two feeds: BMI and Signal. BMI uses the same symbol for all sessions. Signal uses different symbols. Some other vendors are inconsistent in their treatment. For example, you may find GC and SI (gold and silver) retain the same symbol through the night sessions, although all the energies and currencies are renamed.

Finally, not all vendors use the same symbol for the same market during day trading. If data coming from multiple vendors have assigned dissimilar symbols, the receiving database software may have a problem combining them. Some software

products (e.g., WINdoTRADEr) combine, if necessary, these separate symbols into one chart and let the user toggle between day only, and day/night trading.

Questions to Ask

Do any symbols differ between day, evening and GLOBEX sessions? Can your data server and charting software handle the symbols properly? If you determine that the server software is not processing symbols properly, can you get a refund? Request the refund be retroactive to the day you first called in with this problem. This way, there is no profit for the vendor in delaying your technical support.

Contract Rollover (for Futures and Commodities Trading)

Commodity contracts have a limited life span. After all, delivery has to occur sometime. Consequently, at any one time, contracts having any one of a number of expiration dates are being traded. Contracts for the same commodity on the same day may have different prices simply because their expiration dates differ. This is a big headache for system builders wanting to test their strategies with years of historical data. To produce a long series of historical futures prices that "roll over" from one contract to the next, one must "splice together" two time series by any sensible technique that might be considered continuous where the discontinuity at expiration has been dealt with to smooth the transition. Although there will likely be some absolute deviation of the continuous contract price from the actual price, the relative short-term tick-to-tick or bar-to-bar variations are largely preserved.

There apparently is no universal agreement regarding the definitions of and differences between "continuous" and "perpetual" contracts. Each vendor seems to have their own idea as to what those two words mean. I have not seen a definitive explanation of a perpetual rollover process.

To produce a database of continuous historical prices, some data suppliers will roll contracts using their own formula. For example, one vendors continuous contract data is both back and forward adjusted. Continuous contract files are back adjusted up to January 31, 1995, and henceforth forward adjusted. The reason is probably because back-adjusting huge amounts of data consumes many hours of customer-computer processing time.

If you dont like the way a data vendor is rolling over contracts, you can "roll your own." There are numerous ways to do this. Some data suppliers offer contract-building software, of varying quality and flexibility. One user complained, "The rollover software does not correctly create about half of the types of contracts it claims to do. Two of the choices, for example, create a continuous contract where the bar of the roll day has the same ohlc of the day prior to roll. "To avoid such bugs in the code, use one of the following methods: