CSI® Technical Journal
Volume XVI, Number 10, October 2000
In this Issue
Defining The Trading Day on
U.S. Security Exchanges
Tech Talk
Defining The Trading Day on U.S. Security Exchanges
Technological advances continue to streamline transactions at U.S. equity exchanges but,
surprisingly, some trading innovations have led to delayed quotations of daily summary data. For
example, changes made at the stock exchanges in October 1999 led some CSI customers to
complain that they did not get their stock data early enough. We agreed that later was generally
not better, but in this case, later was the only way to maintain an accurate record of market
activity. Fortunately, the inconsistencies introduced in October 1999 and explained below are
coming to an end. We anticipate that the very latest innovations at the U.S. securities exchanges
will be good news for CSI customers and traders around the world.
Let’s review: Before October 1999, all of the U.S. equity exchanges closed at 4:00 p.m. Eastern
time. Until then, it was fairly easy for CSI’s staff to verify and post the current day’s summary
data by about 5:00 p.m. These updates included prices, trade volumes, stock split information,
dividends, etc. Starting in October 1999 and continuing for nearly a year, while the NYSE halted
trading at 4:00 p.m., Nasdaq and some regional exchanges offered trades of Big Board (NYSE)
stocks (as well as their own listings) during the evening hours.
A complicating feature of this arrangement was the inconsistent way trades were reported for the
various exchanges. All trades for Nasdaq-listed issues that occurred in the late trading session
(after 4:00 p.m.) were sent from Nasdaq as Form-T trades. By Nasdaq rule, these trades were not
(and still are not) allowed to change the official daily high-low-last price data, but they do
increment the volume. Ostensibly, this is because Nasdaq uses 4:00 p.m. prices to calculate
indices. They (apparently) have no way to preserve the 4:00 p.m. price quote for each index
component. In contrast, trades on Nasdaq of NYSE-listed issues were sent as regular trades,
which altered the official composite high-low-last quote.
CSI has traditionally supplied only the complete (official) summary composite stock prices for
NYSE stocks, and we continued with this practice during the year of inconsistent closing times.
This meant that our quotes for NYSE stocks contained trade records through the 6:35 p.m.
closing at Nasdaq and regional exchanges. Any after-hours trades that were sent to the
consolidated tape were included, though trades through ECNs (electronic communication
networks such as Island, Instinet, and Archipelago) were not.
After all the U.S. stock exchanges close trading for the day, CSI’s data banking department runs
programs that perform tolerance checks on high-low ranges, insures that all dividends are
included and of reasonable value, verifies split ratios, checks to be sure no stocks are missing,
etc. When these issues have been addressed, all of this information is packaged into various file
formats, compressed, etc. for customer downloading. By the time the Nasdaq close of NYSE
stocks rolled around at 6:35, it generally allowed for data availability from CSI around 7:30 p.m.
Eastern time.
This delay should be a thing of the past by the time you read this Journal. We are pleased to
report that the NYSE introduced a rule that, beginning September 21, 2000, all after-hours trades
of NYSE-listed issues must also be designated as Form-T trades. Therefore, the high, low and
last now reflect the 4:00 p.m. NYSE close.
We speculate that this change was precipitated by Richard Grasso’s (chairman of the New York
Stock Exchange) expression of concern to the Securities and Exchange Commission that afterhours trades distorted the market, based on the fact that there were many instances of significant
stock price volatility on small-lot trades during the low-volume, after-hours trading interval.
With the advent of Form-T trades for NYSE issues, small-lot, after-hours trades will no longer
distort prices.
National newspaper reports deliver prices from all exchanges as of 4:00 p.m. daily, despite the
fact that volume reports are incomplete and, before September 21, NYSE stock prices were
incomplete. The 4:00 p.m. close is now a more legitimate figure for all U.S. securities and we are
contemplating a procedure change here at CSI to better accommodate it so that data delivery
times can be vastly improved. We hope to provide for one update of stock data in an early
snapshot form (as newspapers do), and then offer a later or alternate update including the same
prices with late trading volume. Of course, this action, if and when taken, would be accompanied
by a possible doubling of access frequency without additional cost. We welcome the new FormT new designation for after-hours trades of NYSE stocks, as it means that prices are reported
uniformly for all U.S. securities, regardless of their primary exchange listing.
As this Journal goes to press in mid September, we are awaiting implementation of the new
NYSE rule. We expect that it will result in earlier availability of securities prices and earlier
access times for CSI customers. Despite the human body’s need for rest, the seemingly remote
possibility of heavy night trading volume could further expand trading hours beyond 6:35 p.m. In
any event, CSI’s goal is to provide the most timely, accurate record of exchange-sanctioned data
available anywhere.
Bob Pelletier
Tech Talk
Each month in this column, the CSI technical support staff addresses topics of interest to many
CSI customers in a Q & A format. This month they discuss Commitments of Traders (COT)
data, adding indices to your portfolio and maximizing your charting space with Unfair
Advantage® (UA).
Q. You mentioned upcoming changes to Commitments of Traders (COT) data in a recent CSI
Technical Journal and asked readers to complete a survey with recommendations. Has the CFTC
taken any action and, if so, how will my data be affected?
A. According to Steve Briese, editor of The Bullish Review and the supplier of CSI’s COT data,
“The CFTC has announced that weekly release of the Commitments of Traders report will begin
in October. This affects the Futures Only report, which will be released at 2:30 central time every
Friday, instead of the current biweekly schedule. The Futures + Options report will still be
released on the current alternate Mondays schedule. As you know, the current report is compiled
as of each Tuesday's close and released on alternate Fridays. It is not clear whether the tabulation
date for the Futures Only report will remain Tuesday or be switched to Mondays. We are
attempting to find out.”
CSI will continue to post COT data at the earliest possible time after it is received. For more
information on Commitments of Traders data, please see The Bullish Review website at
www.BullishReview.com.
Q. I am trying to add indices to my portfolio but I cannot find a listing for them in the Unfair
Advantage (UA) factsheets. Where are they located?
A. The indices are listed with stocks and mutual funds. The fastest way to find them from the
data series selection window is to select: Market Type - Stocks and Mutual Funds; Sort by Exchange; Locate - Index. Before you have finished typing “index,” an alphabetical list of all
indices will display. Scroll through the listing to the indices of your choice and check the
adjacent boxes (in the “Se” column) to include in your portfolio.
Q. UA’s ability to display both my portfolio and one or more charts simultaneously is nice, but
sometimes I want to see a single chart in as large a format as possible. Is there a way to remove
the portfolio listing?
A. The portfolio listing cannot be removed entirely, but the screen space it occupies can be
adjusted according to your needs. To reduce (or expand) the space used by the portfolio window,
use your mouse pointer to grab the vertical dividing line between the chart and the portfolio list.
The cursor will change from an arrow to a double vertical line with arrows pointing to the left
and right. Click and hold your mouse button while you drag the line to the desired position. You
can make the portfolio listing so narrow that only the first letter of each symbol shows or so wide
that most of the factsheet information is visible.
Another way to economize space in the portfolio window is to adjust the size of the columns. For
example, if you don’t care to see which directories hold your various files, you can grab one of
the column dividers for the “directory” heading and move it toward the other so the “directory”
column becomes very narrow. This will allow more room to display columns that are of interest
to you.
UA’s printed charts are designed to maximize the charting space on the page and do not include
portfolio information.
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