Problem with CNY A0-FX

[eostrom]

We are still doing more research on this. Hopefully we can get this data looking a little better.

[bpschultz]

There was a bad problem with the data on the evening of 6/13/12 (for trade date 6/14/12). Please see the attached chart.

[bpschultz]

2 consecutive days of bad data

Please see attached chart for bad data on trade date 6/15/12

[eostrom]

This is bad data coming from the contributors that we have unfiltered to get more data into the charts for the CNY.

Basically this is how it works. We have a set number of banks that quote the CNY. These banks can basically put out any data on the CNY that they want because it's not actionable data. There are no rules to say that their prices have to be in line with each other. So what we are left with is the options of filtering out data in a certain price range, filtering out that bank's data completely, or if there isn't any good data for a symbol the option would be to not support that symbol.

Because the original issue was that there wasn't enough data we unfiltered all the contributors/banks we have for the CNY. Some of these put out data that appears to be way out of range (the reason they were filtered to begin with). We are still working on what we are going to do with the CNY symbol to filter the data a bit better and if/when I get some more information on this I will post it here.

[bpschultz]

The Problem is Mostly in the First 2 Hours

Eric,

Since the recent feed(s) were added, the problem seems to occur predominantly in the first 2 hours of Chinese trading from 21:30 to 23:30 EDT. Please see today's attachment as well as the other recent charts I have uploaded in the past few posts for examples.

Thanks.

[eostrom]

These ticks are being sent from one of the contributors we added to the feed. We can filter this contributor out again, but it does mean that some of the good data coming from them will also be filtered.

[bpschultz]

Latest Problem 6-25-2012

Please see the attached chart with explanation.

Thank you.

[eostrom]

We haven't changed anything in the feed since we renabled the filtered contributors. These are what is causing the bad data to come through. As I said before, we can filter this data gain if you like.

[bpschultz]

Have you looked at any of the following feeds?

Netdania
SWFX
FXCM

[eostrom]

Originally posted by bpschultz
Have you looked at any of the following feeds?

Netdania
SWFX
FXCM

Netdania - does quote the USD/CNY pair, but i'm not sure what contributor they are using. I'm currently trying to see if I can get this informaiton

SWFX and FXCM - don't quote this pair

[eostrom]

Doesn't look like Netdania is going to give me any more informaiton on what contributor they are get the data from. Though it is clear that they have a different contributor than what we have.

[bpschultz]

Thanks for checking with Netdania.

I don't understand why the contributors are so erratic from day to day. I'm not really sure how to deal with the situation when the choices are effectively little or no data vs. data that can be really great or really horrible (and anything in between).