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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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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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