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Jake Carriker's

Comparison Study

 

Sun, 24 Jul 2005

Ed,

 

Thank you for the update. You have data from me for the CSI version of the December 2005 contract. I suggest that as one source to cross check the volume and open interest problems.  I am happy to assist if you wish.

BTW, here are the entries for the CSI data on the example dates you post on the progress page: (the fields are Date, Open, High, Low, Close, Volume, & Open Interest, in that order)

20050708 1215 1223.5 1207.5 1222.5  110   11417
20050711 1225 1229.7 1225    1229.6      9  11393

This data shows a change in open interest of 24 on volume of 9 contracts, just as you report the sample data does. I notice that this data shows open interest of 11393 on July 11 rather than the 11394 you report. At any rate, it appears that the issue you report exists for this example with the CSI data.

I also suggest that we check for data inconsistencies across all exchanges that provide data we might wish to test, not just the CME.

 

If the CME is providing erroneous data, it is possible a lot of other exchanges are too. It might be efficient to put together a plan for doing the checking systematically, divide the work into several pieces, distribute one or more pieces of the work to each willing member of the support team, and have each member report back to you with the results of his work. This kind of parallel effort might move along faster than other methods if there are willing and competent team members.

Best,


Jake Carriker