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