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Adam,
you are right that the Euro itself is a new instrument. However as
bilateral exchange rates are fixed between member countries the
USDDEM trades as a proxy for the Euro. That's why it is best to
convert USDDEM histories into EURUSD - which is not possible in TS.
Furthermore it is imperative to change histories of instruments
which are redenominated into Euros - from whatever currency. This is
not possible in TS either.
Gerrit
> Gerrit,
>
> I've been considering this problem myself. I consider the Euro as a new
> product. It has existed for several years but the volume of trades in its
> futures market was too insignificant to give good data.
>
> Surely the fact that the Euro will incorporate the franc, the guilder and
> whatever as well as the DMark will mean that the bunds, the euromarks, the
> Pibor etc etc when denoted in Euros will be different products from their
> former incarnations denoted in marks or francs or whatever even after
> currency conversion.
>
> I think backtesting on historical bund data denoted via conversion of DM to
> Euro will not give you realistic results. The Euro will be too different.
> I'm open to discussion!
>
> regards
> Adam
>
>
> >>>>>>>>>
> TS will not be EURO-ready unless Omega comes up with a patch until
> the end of the year - backtesting will not be possible. Please put
> pressure on them.
>
> As mentioned before many Europaen instruments will convert to Euros
> on the 1st of January. Furthermore many instuments like currency
> futures will disappear and be replaced by Euro futures. This means
> that symbol histories in TS will need to be converted into Euros
> otherwise backtesting is not possible.
>
> 1 In theory the conversion can be done with the stock-split function
> in the server. However the input field allows only for 5 digits
> whereas the Euro conversion involves 7 digits by law.
>
> 2. In order to get proper OTC forex Euro histories it is necessary to
> convert for example USDDEM histories into EURO histories. BUT the
> dealing convention will be EURUSD. This means that the history needs
> to INVERTED. THIS IS NOT POSSIBLE IN TS.
>
> I have already communicated with tech-support regarding this matter
> but they have not come up with an answer that this problem will be
> solved - the are simply clueless.
>
> I therefore suggest that AS MANY AS POSSIBLE users of TS communicate
> this problem to techsupport and Bill Cruz otherwise we will be stuck
> with useless histories on many instruments.
>
> Please demand that histories can be inverted in the server and that
> splits can be done with 7 digits and not just 5 digits UNTIL the 1st.
> of January 1999. (These changes are trivial and just involve a few
> man-hours of programming)
>
> The relevant authorities are:
> Mr. Cruz and techsupport.
> officeofthepresidentmegaresearch.com
> TechSupp <TechSuppmegaResearch.com>
>
> Sincerely,
>
> Gerrit Jacobsen
> <<<<<<<<<<
>
>
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