Recent futures data surprises

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sluggo
Roundtable Knight
Roundtable Knight
Posts: 2986
Joined: Fri Jun 11, 2004 2:50 pm

Recent futures data surprises

Post by sluggo » Sat Jul 25, 2009 11:16 am

I find it useful to run programs that look at my downloaded data and notify me of "surprises". Occasionally these surprises turn out to be actual errors in the data, but most often the data is correct and the software is merely noticing Unusually Big Moves in price. There's a free download for Blox customers called "Futures Data Investigator" that performs a large number of checks for these kinds of things, at viewtopic.php?t=3993

Here are some data surprises that I've noticed recently:

Code: Select all

 2009/07/22  MNA    Suspicious daily low; range =   3.65 ATRs
 2009/07/10  NGL    Abnormally tall bar; range =    3.90 ATRs
 2009/07/08  SY     Abnormally tall bar; range =    4.31 ATRs
 2009/07/08  HY     Big gap down; range today =     3.67 ATRs
 2009/07/08  EJ     Big gap down; range today =     3.98 ATRs
 2009/07/06  OJ     Abnormally tall bar; range =    4.35 ATRs
 2009/06/24  SS     Big gap up;  range today =      4.76 ATRs
 2009/06/24  RZ     Big gap up;  range today =     11.25 ATRs
 2009/06/19  LRC    Abnormally tall bar; range =    4.43 ATRs
 2009/06/05  TU     Abnormally tall bar; range =    5.75 ATRs
 2009/06/05  FF     Abnormally tall bar; range =    5.92 ATRs
 2009/06/05  ED     Abnormally tall bar; range =    5.18 ATRs
 2009/06/04  FEI    Abnormally tall bar; range =    3.58 ATRs
 2009/06/01  SY     Big gap up;  range today =      4.03 ATRs
 2009/06/01  SS     Big gap up;  range today =      3.60 ATRs
 2009/06/01  FC     Abnormally tall bar; range =    3.83 ATRs
 2009/05/28  TU     Suspicious daily low; range =  11.68 ATRs
 2009/05/18  SIN    Suspicious daily low; range =   6.01 ATRs
 2009/05/18  QE7    Abnormally tall bar; range =    5.24 ATRs
 2009/05/15  QE7    Abnormally tall bar; range =    3.70 ATRs
 2009/05/07  SSI    5 days without price data, prev= 20090501
 2009/05/07  SJB    5 days without price data, prev= 20090501
 2009/05/07  JTI    5 days without price data, prev= 20090501

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