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----- Original Message -----
From: "Leslie Walko" <l.walko@xxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Wednesday, October 23, 2002 9:30 PM
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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