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I have found CSI to be very responsive and keen to help with any problems so
I thought that I'd drop a copy of Leslies email to support@xxxxxxxxxxx . I
got a response this morning seeking my view of the problems. It seems that
they are having difficulty reproducing Leslies problems and asked me if I
got the same issues.
I checked my data and found the results below. Basically I can't see
the problems Leslie is alerting us to but if anyone else does I am sure that
csi would appreciate you letting them know including your version of UA in
the email.
John
"not affiliated in any way with any vendor - just another customer :-)"
MY RESULTS (as forwarded to CSI):
I dont have the negative numbers either but the volume for TY looked a bit
light on the dates he specified. I dont care about volume really but
thought I should alert you to the possible problem. Lets see what I have:
I'm running 2.4.4 which I am happy with so I havent moved to 2.5.
For my backadjusted contracts I adjust on 2nd consecutive day of higher OI.
I am aware that the last day is always a fiction and in the contracts below
gives a very low number.
So heres a go:
1) TY20_IOB 20021021 vol 84536 looks light.
2) 20021011 looks light but not stunningly at 95305
2b) I cant understand Leslies issue with the 14th of October ... I have no
trading on that day and I seem to recall that it was a holiday for certain
markets including the financials (Columbus??).
but ... all of the OI figures look ok.
3) EC2 and JY2 OI figures look just fine.
4) NG I dont have any negative numbers but perhaps Leslie had them
historically?
5) Soy beans and TY missing prices - between Sept 5 to 10th. I didnt have
any problems and I look at them every day so I would notice.
Regards, John
----- Original Message -----
From: "Leslie Walko" <l.walko@xxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Thursday, October 24, 2002 11:30 AM
Subject: Waring: CSI data errors
Anyone trading CSI data should be on the lookout for
Volume and Open Interest errors, missing prices, and
NEGATIVE volume.
I found all of these errors in their contract since
August. See list below.
This may effect your system even if your analysis ignores
volume. Why? Many traders roll contracts on OI,
or OI+Volume, thus errors in volume causes strange rolling
effects. (Remember, once your rolled, you cannot UNROLL,
and go back to the prior contract.)
Ten Year Note:
Right now, their Ten Year note, day session, TY2
Contract Volume figures are dropping the leading character.
The TY2 Open Interest is off by 900,000 contracts.
(Yes, Nine Hundred THOUSAND.)
Look at dates for today, yesterday, Oct. 11, Oct. 14.
Euro Currency, Japanese Yen:
I just had a quick look.
Volume and OI are missing digits.
(An order of magnitude error!)
Natural Gas:
In August, CSI was reporting NEGATIVE volume on NG,
Natural Gas contract on my birthday (Aug 24th) and
for a week prior to and subsequent.
(I felt really special when I took a quick 20,000 drawdown
due to their data errors.)
Soy Beans and Ten Year:
Between Sept 5 to 10th, they failed to report prices for
some commodities icluding TY2 and Soy Beans.
If you note errors, please call them to report the error,
and impress upon them the importance of accuracy.
Leslie
--
Regards,
Leslie Walko
610-688-2442
--
"Life is a tragedy for those who feel, a comedy for those who
think"
Horace Walpole, 4th earl of Orford, in a letter dated about 1770
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