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I can second Leslie's findings. CSI may have a broad source of futures
data but the continuous contract building algorithm included in UA is
buggy (even in the current version 2.5.4). So always double check the
results.
If you want to check it out for yourself make a continuous contract
(symbol:LKD, forward adjusted, roll trigger is volume, third consecutive
trigger). No look at the chart in the 1969/1970 area.
The questions then are:
- Why does it roll on 19690402 to the 197005 contract?
- How comes the data hole following that rollover?
You will notice that during that period the rollover is completely out
of sync. Same thing happens to other contracts...
IMO CSI should concentrate more on their core business, that is, supply
good reliable data and data management tools (like the contiuous
contractor) then to make additional _unsupported_ and/or _poorly
documented_ utility programs like the market scanner, position
manager,...
Christian
>>>>
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
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