CSI symbols MW, MW1, MW2 confusion
Posted: Tue Mar 02, 2010 12:38 pm
I downloaded quite a few symbols from CSI and ran some initial liquidity screens to generate a starting point for possible tradeable instruments. MW, MW1 and MW2 all made the cut.
When going through on my second pass to prune out some of the duplicate markets, I became rather confused about a lot of what is going on with CSI's data. For example, MW/MW1/MW2, for all of this year in the March 2010 contract have identical volumes. How is that possible? Either the data is wrong or the assumption that MW is pit, MW1 is electronic and MW2 = MW+MW1 is wrong. Attached are my data files that I downloaded from CSI yesterday.
There's a lot of confusing things going on with CSI's data. Especially with the volumes.
When going through on my second pass to prune out some of the duplicate markets, I became rather confused about a lot of what is going on with CSI's data. For example, MW/MW1/MW2, for all of this year in the March 2010 contract have identical volumes. How is that possible? Either the data is wrong or the assumption that MW is pit, MW1 is electronic and MW2 = MW+MW1 is wrong. Attached are my data files that I downloaded from CSI yesterday.
There's a lot of confusing things going on with CSI's data. Especially with the volumes.