Rounding/Ranging
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· | As published: This option provides files and charts with the actual open, high, low and settlement, even when the settlement is outside the trading range. When the settlement committee decides, after the close, that the settlement should be at a level where no trading occurred, charts can show a no-trading gap between the actual high/low bar and outlier settlement price.
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Appropriately programmed analysis software can make maximum use of available information through this choice. Please note that some CSI-compatible analysis software CANNOT process closes outside the trading range. If you experience unexpected results with another analysis product using "As published" settlements, consider changing to Modify High/Low.
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· | Modify High/Low (the default, for a typical open-high-low-close bar): This option makes the close price (settlement) fall within the high/low range by adjusting the range. It produces files and charts with possible adjustments to highs and lows when the settlement is outside the trading range. A traditional open, high, low, close bar chart results. By taking this option, you may produce an artificial trading range, which includes an area where no trading occurred. Some analysis programs require this data presentation.
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· | Modify Close: This option makes the close price (settlement) fall within the high/low range by changing out-of-range settlements. It produces files and charts where the closes (settlements) may be modified if the settlement price lies outside the daily trading range. In the event that the settlement lies outside of the high-low range, the settlement may be adjusted to match the high or low which is closest to its value. This technique ignores the settlement price, but preserves an accurate view of the market's trading range. Settlement accounting users would not obtain an accurate view of a portfolio's value using this option.
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· | Round values to nearest tick: This selection forces the calculated values of back-adjusted price reports as well as standard contract data to conform to exchange sanctioned minimum tick values. We recommend this selection be used when output values are in decimal form. Where possible, CSI reports opening futures prices as the midpoint of the opening range.
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· | Loading is the extra cost some mutual fund companies pass on to consumers at the time of purchase or sale. If you want this loading to be reflected in your data series, click "Show Loading" from the above selection screen. If not, leave the checkbox empty.
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