I have mentioned before that I use CSI as my main provider for Futures data. Overall, I judge CSI’s service as good quality – however one drawback is the closed aspect of the data access. And I decided to write a utility to make it more “open”.
To access the historical data, you have to go through their software (Unfair Advantage), which extracts and decrypts it from their proprietary binary format. You can always “build” historical files to disk, but these are usually pre-processed with a special algorithm (ie. back-adjusted, etc.).
What more, if you decide to stop your subscription to CSI’s data services, you will not be able to access any data any more, even historical data downloaded under the subscription contract.
For some of the reasons above, it might be interesting to be able to extract/store CSI’s raw data in plain text files. This would allow for:
- Browsing the data outside of the CSI’s Unfair Advantage software
- Applying back-adjustment or other manipulation algorithms not supported by CSI’s UA (such as calculating the yield curve)
- Keep the historical data independently of your CSI subscription
Note: what I consider CSI raw data is the actual daily information for each contract traded on any day. For example, in the Corn market, there are currently 15 different contracts trading (with different maturities), each with their own Open, High, Low, Close, Volume and Open Interest.
CSI API to the rescue
Now, you could easily go to Unfair Advantage and pick every single historical contract that you want to extract… but this would be a fairly tedious job
Luckily for us, the API allows for programmatic access to CSI’s data to automate the process of extracting all contracts that we want – so I decided to write a little utility to do just that. And now my data is really mine!
Below is a zip file containing the files to copy to “install” the utility:
Note that you need to have Unfair Advantage installed on the machine running this exe (which does not come with any guarantee by the way… but I have been using it fine so far).
The operation is very simple: just enter CSI’s number for the market you want to extract and choose which path the files need to be extracted to.
Hope you’re finding this tool useful…
Note: You can receive a 10% discount on CSI data subscriptions (use coupon code LIBERTY)