Milling Wheat (MATIF) CSI Symbol BL2 #517 Bug#1

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longmemory
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Milling Wheat (MATIF) CSI Symbol BL2 #517 Bug#1

Post by longmemory » Wed Jul 13, 2011 6:41 pm

Bad Open Interes data for Wheat (Milling) causes rolling problems.

Using CSI UA 2.7.10.119 Beta

On April 14, the 2004-May contract has Open Int=3,681
On April 15th, OpenInt=5,781
On April 16th, OpenInt=3,707
See below...

The only trouble is that the day open interest INCREASED by 2,100 contract although contract Volume was 543.

Since 543 < 2,100, where did the extra Open Int come from?

Date Symbol Exchange Numeric Delivery Month Close Volume Open Interest Total Volume Total Open Interest
20040413 BL2 EURONEXT 200405 151.25000000 283 3919 349 10032
20040414 BL2 EURONEXT 200405 150.00000000 476 3681 539 9844
20040415 BL2 EURONEXT 200405 148.75000000 543 5781 619 11978
20040416 BL2 EURONEXT 200405 147.75000000 596 3707 688 9992

In case anyone rolls by open interest, expect bogus roll.

LM

p.s. before posting a reply "It is a block trade..." please note that exchanges which do allow off exchange block reporting do also report the volume of the block trade.

sluggo
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Post by sluggo » Wed Jul 13, 2011 7:06 pm

Maybe CSI has accurately reported the numbers provided by the exchange, i.e., if somebody made an error, it wasn't CSI.

One way to investigate this possibility is to locate somebody who has historical price data on this contract, from a completely independent source. A data source which is not CSI, which is not somebody that supplies data to CSI, and not somebody that receives data from CSI. Such as perhaps CQG or Bloomberg or ThomsonReuters or TickData.

Then find a way to motivate this person, so that she will provide the data to you.

When you've got data from an independent source, you can check to see whether it also contains the discrepancy you report here.

You may also want to investigate writing your own continuous contract builder software (or hiring someone to do it for you). Then you can design and implement safeguards, sanity-checks, and reality constraints in your rollover algorithm. Some nifty software design ideas are discussed in (this) thread.

longmemory
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Post by longmemory » Thu Jul 14, 2011 5:53 am

Sluggo,

Yes, Exchange could have reported bad data.
All exchanges make erroneous reports. Data providers know that and have front end data edit programs to identify potential problems. CSI has a data validation department where the staff does catch and correct a lot of errors.

In this case, the data is in error. Where the error came from? Who knows...

The Open Interest as reported by CSI should have failed simple arithmetic validation.

LM

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