ES Spike

[dloomis]

Apparently the CME is going to bust trades in the ES above 860 at the end of the day today.

Is it possible for eSignal to remove the tail above 860?

Tick filtering chops my 5 min chart off at 85250.

thx

[ScottJ]

Hi,

We've now removed all the trades above 860. The chart still shows quite a spike after 1:00 PT but at least it looks better now. If we get word from CME to further delete during that timeframe, we'll do our best to do so.

Thanks.

[christineesq]

what about continuous ES #F? any corrections planned?

thanks in advance

Christine

[ScottJ]

I can confirm a few issues still remain from 2/4/03. Our QA group will do all they can to clean the data as much as possible.

Intraday data for ES #F and ES #F=2 still show the busted trades over 860.

Daily data for ES #F looks good but the bad high is still present on ES #F=2.

Daily high for ES H3 show 861, where as it should be 860 ( as it is for ES #F ).

All of these have been reported and will be worked on a little bit later this morning (Pacific Time).

Thanks,

[ScottJ]

All has been fixed except for intraday data for ES #F=2. It's pretty time consuming fixing this large a batch of bad ticks but we will get to this last symbol ASAP today.

In the meantime, and if it helps, please use ES H3=2 as a substitute for ES #F=2

Thanks.

[ScottJ]

Intraday data for ES #F=2 now fixed.

We had approximately 4000 ticks to fix since the busted trades were used by several symbols ( continuous, day, night, etc ).

Many of these corrections were done manually as we don't currently have a utility to "mass" correct the database. That's something in the works though.

Thanks.