Suspicious data

General discussions about futures.
sluggo
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Post by sluggo » Wed Feb 23, 2011 10:40 am

March 2011 BAX @ Montreal looks wrong in CSI, OK in Futuresource
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sluggo
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Post by sluggo » Thu Mar 31, 2011 8:50 pm

French stock index futures CAC-40 @ MATIF (April 2011 contract)
Whoopsie Daisy sniffer software wrote: 2011/03/31 FCH Suspicious daily high; range = 6.03 ATRs

Daily data from CSI looks suspicious, intraday chart from FutureSource looks normal. I'm guessing that the intraday chart is correct and the daily chart needs an error correction.
Attachments
intraday.png
15 minute bars, today's chart
intraday.png (19.35 KiB) Viewed 9112 times
daily_CSI.png
daily bars, today is rightmost bar
daily_CSI.png (10.65 KiB) Viewed 9112 times

zacharyoxman
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Post by zacharyoxman » Sun Apr 03, 2011 1:30 am

I had a few clients stop in to CAC, but we didn't show the fill in real time. I had them refresh their CSI data (as did I), and the bad bar was corrected and the fill was removed from their Order Sheets.

sluggo
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Post by sluggo » Sat Apr 16, 2011 10:46 am

CSI Unfair Advantage has bogus data for the Nifty (Indian) stock index futures traded at SGX. I don't think it actually traded or closed at "zero".
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AFJ Garner
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Post by AFJ Garner » Sat Apr 16, 2011 12:38 pm

14th April was a holiday in India and I don't think therefore that the contract traded on SGX on that date. My CSI (correctly I suspect) gives no data for that day.

AFJ Garner
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Post by AFJ Garner » Sat Apr 16, 2011 12:42 pm

SIN. :D
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sluggo
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Post by sluggo » Sat Apr 16, 2011 1:00 pm

Yes giving UA the ritualistic fire-hose enema mentioned (HERE) has fixed the problem.
I suggest performing the following voodoo rituals, they can't hurt and they may help. The full list takes 15 - 30 minutes to complete.
  • Launch UA. Click Database / Download Replacement Fact files. When complete, exit UA.
  • Launch UA. Click Database / Refresh Database Price History. When complete, exit UA.
  • Launch UA. Click Database / Perform Database Integrity Search. When complete, exit UA.
  • Launch UA. Click Download Data. When complete, exit UA.
  • Have another look at SIN prices.
[/size]

zacharyoxman
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London Cocoa, 4/21/11

Post by zacharyoxman » Tue Apr 26, 2011 11:08 am

Volume/Open Interest "0" for London Cocoa:
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sluggo
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Post by sluggo » Thu Jul 07, 2011 10:33 am

Looks like somebody transposed the first two digits of the Close price in September SPI-200 stock index futures at the Sydney Futures Exchange (CSI Symbol "YAP", Commodity Number 728).

The exchange says the close was 4585.0 but CSI Unfair Advantage says 5485.0.

Thank goodness for software like the Futures Data Investigator, (LINK to Blox Marketplace download of F.D.I.) which yelled about a suspiciously tall bar.
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YAP_stockindex.png
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zacharyoxman
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LWB (EURONEXT WHEAT)

Post by zacharyoxman » Thu Aug 11, 2011 11:02 pm

For those trading LWB, there was a bad entry tonight in the OI column (0 shown), causing a false roll to X12.

Front month is still X11, I have emailed CSI on the mistake.

Zach

Chris67
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Post by Chris67 » Sun Aug 14, 2011 1:38 am

Zach - thanks for this
Ive had to untick generate forward to solve the problem as it doesnt look liek theyve resolved it at CSI Data ?
Best
C

zacharyoxman
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Post by zacharyoxman » Mon Aug 15, 2011 8:45 am

Chris,

You are correct. I've sent another email this morning and will follow up with a call today.

Zach

sluggo
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Post by sluggo » Sat Aug 27, 2011 12:32 pm

London Natural Gas seems to have moved 5.2 ATRs in one day. Hope you were long!
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zacharyoxman
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Post by zacharyoxman » Sat Aug 27, 2011 8:25 pm

That's a good bar....I show that close via. eMIdas on an open long trade as well.

October settling at 68.12 for IPE Nat Gas

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Suspect Data, NBB (again)

Post by zacharyoxman » Mon Oct 24, 2011 3:56 am

Twice in two days...bad high in NBB.

Looks like someone transcribed a DEC high price in for the MARCH contract....

CSI has been alerted
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aa.jpg
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nbb.JPG
bad NBB bar
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sluggo
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Post by sluggo » Mon Oct 24, 2011 1:18 pm

Yes it is curious that different products at the same exchange, products which are all in the same market sector, show up so differently on the "suspicious data" reports.
  • ASX/SFE Australian 90 day Bank Bills --- never any problem reports (CSI "YBA")
  • ASX/SFE Australian 30 day Bank Bills --- lots and lots of problems (CSI "AIB")
  • ASX/SFE New Zealand 90 day Bank Bills -- lots and lots of problems (CSI "NBB")

zacharyoxman
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Post by zacharyoxman » Tue Oct 25, 2011 12:22 am

Sluggo,

It is almost a weekly event that NBB has issues. It is happening so frequently that I have a specific contact at CSI that I deal with for these data issues. She is great at making corrections when I discover the suspect data.

Seems there are a lot of transcription errors with different prices along the curve being combined (Dec high in March data). I have found that this is the cause of many issues.

sluggo
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Post by sluggo » Tue Oct 25, 2011 11:16 am

Then you might want to alert her to these suspicious data points

Code: Select all

 2011/10/13  NBB    Abnormally tall bar; range =    3.81 ATRs
 2011/08/05  NBB    Abnormally tall bar; range =    4.45 ATRs
 2011/07/28  NBB    Abnormally tall bar; range =    4.76 ATRs
 2011/07/18  NBB    Abnormally tall bar; range =    4.14 ATRs
 2011/06/13  NBB    Abnormally tall bar; range =    3.88 ATRs
 2011/06/09  NBB    Suspicious daily low;  range =  3.87 ATRs
 2011/02/24  NBB    Abnormally tall bar; range =    3.63 ATRs
 2011/02/23  NBB    Abnormally tall bar; range =   10.24 ATRs
 2011/02/22  NBB    Abnormally tall bar; range =    4.58 ATRs
 2010/05/06  NBB    Abnormally tall bar; range =    4.46 ATRs
 2009/12/10  NBB    Abnormally tall bar; range =    7.96 ATRs
 2009/04/30  NBB    Abnormally tall bar; range =    3.88 ATRs
 2009/01/29  NBB    Abnormally tall bar; range =    4.35 ATRs
 2009/01/13  NBB    Abnormally tall bar; range =    3.69 ATRs
 2008/11/05  NBB    Big gap up;  range today =      3.78 ATRs
 2008/10/08  NBB    Big gap up;  range today =      5.86 ATRs
 2008/09/26  NBB    Suspicious daily high; range =  4.19 ATRs
 2008/09/11  NBB    Abnormally tall bar; range =   10.82 ATRs
 2008/06/09  NBB    Suspicious daily high; range =  9.13 ATRs
 2008/05/22  NBB    Suspicious daily high; range =  3.93 ATRs
 2008/05/08  NBB    Abnormally tall bar; range =    7.19 ATRs
 2008/04/24  NBB    Suspicious daily high; range =  4.12 ATRs
 2007/06/07  NBB    Abnormally tall bar; range =    8.52 ATRs
 2007/04/26  NBB    Abnormally tall bar; range =    4.49 ATRs
 2007/04/13  NBB    Abnormally tall bar; range =    4.79 ATRs
 2007/03/08  NBB    Abnormally tall bar; range =    4.26 ATRs
 2007/01/25  NBB    Suspicious daily high; range =  5.77 ATRs
 2006/12/07  NBB    Abnormally tall bar; range =    4.50 ATRs
 2006/10/26  NBB    Abnormally tall bar; range =    6.15 ATRs
 2006/09/14  NBB    Abnormally tall bar; range =    5.84 ATRs
 2006/07/18  NBB    Abnormally tall bar; range =    3.74 ATRs
 2006/07/17  NBB    Abnormally tall bar; range =    4.30 ATRs
 2006/06/07  NBB    Abnormally tall bar; range =    4.05 ATRs
 2006/03/24  NBB    Abnormally tall bar; range =    6.26 ATRs
 2006/03/09  NBB    Abnormally tall bar; range =    6.06 ATRs
 2006/01/31  NBB    Abnormally tall bar; range =    4.42 ATRs
 2005/10/14  NBB    Abnormally tall bar; range =    4.33 ATRs
 2005/05/31  NBB    Abnormally tall bar; range =    3.71 ATRs
 2005/03/10  NBB    Abnormally tall bar; range =    8.09 ATRs
 2004/12/09  NBB    Big gap down; range today =     5.07 ATRs
 2004/10/28  NBB    Abnormally tall bar; range =    5.89 ATRs
 2004/09/09  NBB    Abnormally tall bar; range =    6.50 ATRs
 2004/08/06  NBB    Abnormally tall bar; range =    3.56 ATRs
 2004/07/29  NBB    Abnormally tall bar; range =    3.61 ATRs
 2004/06/10  NBB    Abnormally tall bar; range =    6.26 ATRs
 2004/04/29  NBB    Abnormally tall bar; range =    6.60 ATRs
 2004/04/05  NBB    Big gap down; range today =     4.07 ATRs
 2004/03/11  NBB    Abnormally tall bar; range =    6.03 ATRs
 2004/01/29  NBB    Abnormally tall bar; range =    8.42 ATRs
 2003/12/12  NBB    Big gap up;  range today =      5.95 ATRs
 2003/12/11  NBB    Big gap down; range today =     8.31 ATRs
 2003/12/04  NBB    Abnormally tall bar; range =    6.99 ATRs
 2003/11/05  NBB    Big gap down; range today =     5.79 ATRs
 2003/07/24  NBB    Abnormally tall bar; range =    3.69 ATRs
 2003/06/26  NBB    Big gap down; range today =     4.46 ATRs
 2003/04/24  NBB    Abnormally tall bar; range =    8.93 ATRs
 2003/03/06  NBB    Abnormally tall bar; range =    4.40 ATRs
 2002/12/13  NBB    Big gap up;  range today =      3.52 ATRs
 2002/06/26  NBB    Abnormally tall bar; range =    4.82 ATRs
 2002/03/20  NBB    Abnormally tall bar; range =    5.32 ATRs
 2001/09/12  NBB    Big gap up;  range today =      9.64 ATRs
 2001/09/10  NBB    Abnormally tall bar; range =    3.94 ATRs
 2001/09/07  NBB    Abnormally tall bar; range =    4.07 ATRs
 2001/06/28  NBB    Big gap down; range today =     3.84 ATRs
 2001/03/30  NBB    Suspicious daily high; range =  4.53 ATRs
 2001/03/14  NBB    Abnormally tall bar; range =    3.70 ATRs
 2001/01/05  NBB    Abnormally tall bar; range =    4.89 ATRs
 2001/01/03  NBB    Abnormally tall bar; range =    3.57 ATRs
 2000/12/07  NBB    Abnormally tall bar; range =    3.86 ATRs
 2000/12/06  NBB    Abnormally tall bar; range =    4.50 ATRs
 2000/08/16  NBB    Abnormally tall bar; range =    4.08 ATRs
 2000/04/26  NBB    5 days without price data, prev= 20000420
 2000/04/19  NBB    Abnormally tall bar; range =    3.66 ATRs
 2000/03/15  NBB    Abnormally tall bar; range =    7.71 ATRs
 2000/01/05  NBB    5 days without price data, prev= 19991230
 1999/12/13  NBB    Abnormally tall bar; range =    4.29 ATRs
 1999/09/24  NBB    Abnormally tall bar; range =    5.72 ATRs
 1999/08/27  NBB    Abnormally tall bar; range =    4.03 ATRs
 1999/08/25  NBB    Abnormally tall bar; range =    3.91 ATRs
 1999/05/19  NBB    Abnormally tall bar; range =    3.53 ATRs
 1998/08/20  NBB    Abnormally tall bar; range =    3.71 ATRs
 1998/03/18  NBB    Abnormally tall bar; range =    4.14 ATRs
 1997/12/16  NBB    Abnormally tall bar; range =    3.58 ATRs
 1997/12/05  NBB    Abnormally tall bar; range =    3.66 ATRs
 1997/07/18  NBB    Abnormally tall bar; range =    4.94 ATRs
 1997/03/13  NBB    Abnormally tall bar; range =    3.91 ATRs
 1996/12/11  NBB    Big gap up;  range today =      4.20 ATRs
 1996/10/15  NBB    Abnormally tall bar; range =    3.60 ATRs
 1996/09/13  NBB    Abnormally tall bar; range =    3.77 ATRs
 1995/12/14  NBB    Abnormally tall bar; range =    5.13 ATRs
 1995/10/18  NBB    Abnormally tall bar; range =    3.88 ATRs
 1995/10/17  NBB    Suspicious daily low;  range =  3.52 ATRs
 1995/07/18  NBB    Suspicious daily high; range =  3.56 ATRs
 1995/07/10  NBB    Abnormally tall bar; range =    4.32 ATRs
 1994/11/30  NBB    Abnormally tall bar; range =    5.28 ATRs
 1994/06/27  NBB    Abnormally tall bar; range =    5.49 ATRs
 1993/11/08  NBB    Big gap down; range today =    13.81 ATRs
 1993/03/11  NBB    6 days without price data, prev= 19930304

zacharyoxman
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Post by zacharyoxman » Tue Oct 25, 2011 11:19 am

I will see what I can do...not hopeful that they will fix these though.

I do love the FDI (Futures Data Investigator) though...it's a great tool!

zacharyoxman
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Post by zacharyoxman » Wed Oct 26, 2011 11:55 am

Another bad high in NBB overnight. CSi is reporting the March high as 97.22 and the actual high was 97.15

Yet another DEC into MARCH price error.

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