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CSI Eurodollar Error

Posted: Tue Aug 24, 2010 3:21 am
by J D Canning
Anyone else got crazy values for ED on 18 August?

20100817,99.62500000,99.64500000,99.62250000,99.64250000, 1263873, 7843965,201009,99.64250000
20100818,95.93000000,96.02500000,95.93000000,95.91500000, 248, 4667,201009,95.91500000
20100819,99.65250000,99.66000000,99.65000000,99.65500000, 1527734, 7852899,201009,99.65500000

Should CSI be informed of this anomaly?

Posted: Tue Aug 24, 2010 7:30 am
by sluggo
I think it would be a good idea to notify CSI of this problem, at their special "data point error reporting" address: (here's a link to their website where they mention this address)

I've found it helps to tell them the particular contract, month, and year of the datapoint(s) that seem wrong. (The continuous contracts Blox uses for backtesting are stitched together from many contract months). So I include the magical letter "N" in my ASCII Field Layout; it attaches the month (and year) of the parent contract, to each day's price data. This info allows me to notify CSI that, for example, the April 2014 contract of Eurodollars seems to have wrong prices on July 3, 2010.

Posted: Tue Aug 24, 2010 12:24 pm
by J D Canning
Done. All sorted. They were actually very helpful.