check your CSI data for short interest rates, eg. EuroDollar

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longmemory
Roundtable Knight
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Posts: 128
Joined: Tue Apr 12, 2011 11:46 am

check your CSI data for short interest rates, eg. EuroDollar

Post by longmemory » Fri May 27, 2011 4:31 pm

Hi,

Some of the short interest data looks very strange.
My version of UA is 2.7.10.118

Problem: price data seems to have almost no Highs and Lows. Chart looks like dots.

Occurrence: tonight, it is Eurodollar, ED, CSI #141.
Two days ago: EBL, EBM, EBS, Euro German Bund, Bobl, Schatz.
These are the most liquid contract in the world so data is more dense then eMini SP.

Look at chart of ED, Eurodollar, ED_A26B.csv
Settings: Roll by date, 10 month prior, 26th day of month, back adjusted.

Setting of Roll by data, 1 month prior, 26th day of month looks equally bad.

I've traded this market for years and normal data should not look like this.

Enclosures:
ED_A260B
ED_1260B
jpeg of ED_A260B as viewed in UA.

If you have an OLDER build, build number less then 118, does your data look right?

L
Attachments
eurodollar_price_data_lacks_price_range.jpg
eurodollar_price_data_lacks_price_range.jpg (758.52 KiB) Viewed 1645 times

longmemory
Roundtable Knight
Roundtable Knight
Posts: 128
Joined: Tue Apr 12, 2011 11:46 am

Post by longmemory » Fri May 27, 2011 4:40 pm

Enclosed please find zipped up EuroDollar, two files
26th day 1 MPDM
26th day 10 MPDM

image corresponds to 10 MPDM, but 1MPDM looks just as bad.

I've reported the issue to CSI.

Prior to placing trades, it would be wise to chart data and looking at each market, one at a time.

L
Attachments
Eurodollar_rollOneMonth_tenMonthPriror.zip
(449.13 KiB) Downloaded 122 times

longmemory
Roundtable Knight
Roundtable Knight
Posts: 128
Joined: Tue Apr 12, 2011 11:46 am

Post by longmemory » Fri May 27, 2011 5:03 pm

Please IGNORE !

I had a look at the chart data and raw data in Excel.
When the Excel file looked normal, I notice CSI chart label
"Converted from USD to EUR per Contract"

Setting ought to be
mouse-R > Display in Currency :: "In Trading Units"

Reinstalled UA.

Restored few days old
c:\ua\archives\portfile.adm
from back up.

Issue went away.

L

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