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Taken from mprhead5 on another forum, just a good FAQ for MSM newbs:
Answers to your basic questions about modding your MSM
Common problems:
Stock diverter valve leaks from factory. This can cause many stock mazdaspeeds to have differant power levels when stock depending on how bad the leaking is. This is a number one priority replacement as the leaking can bleed off a lot of boost 1-3 psi. A drop in replacement is available from forge motorsports.
Stock intercooler is way too small and heat soaks after just a few pulls. this can have a large effect on power and can make dyno tuning the car very annoying as power will fall off after just a few runs. a EBAY 28x7x2.5 intercooler is an easy install but T-bolt clamps are needed at least on the tubing side or they will slip off and leave you stranded. the larger intercooler will stand up to race conditions without heat soak.
Stock ECU. This is the real weakness of the MSM. not all MSM's show problems but most do. you can feel the problem as the car will accel sluggishly up to 5,000 rpm then take off as the computer kicks into open loop. This can also cause a lean spot to appear prior to switch over. FM sells an O2 mod ( clamp ) that will fool the computer into kicking into open loop as soon as you go into boost which will vastly improve drivability and smooth out the power delivery.
Stock Throttle body inlet tube Has a tendency to slip off the throttle body under load and has also been known to crack. Replacement units are available from FM and BEGI
THE BOG!
this has been a mystery in the MSM community for some time and presents as a sudden bog of the engine that persists until the car is restarted. Not all MSM's have this problem but it is well documented. recent findings have possibly linked the bog to a sticking EGR valve but as I have never experienced the bog I don't have the answers.
ADDING POWER
The MSM responds much like any turbo car in that intake and exhaust upgrades make a large difference in the power of the car.
Downpipes. FM and BEGi both make good downpipes and yield 15-17whp. BEGI makes a separated downpipe that adds a little more than the single pipe designs but can overwhelm the wastegate on the stock turbo and cause boost creep if wastegate mods have not been done. Downpipes improve spool up a good bit, maybe 500 rpm's. You can also simply gut the stock DP for similar results if you don't care about emissions
Intakes. several companies make good intakes for the MSM. The injen should be avoided as it has been known to cause a CEL. and intake and boost controller up to 10.5 psi can produce 20whp
Catback. not a whole lot of power here but will still yield 3-7 whp and improve spool up maybe 200 rpms.
Intercooler. BEGI and FM make intercooler kits but an EBAY intercooler is just as good and costs a whole lot less. 28x7x2.5 is a common upgrade size for intercoolers and will stand up to race conditions without issue.
ECU/FUEL. The limitations of the stock ECU come into play as you finish the basic boltons. By that point you will be in the 190-200 whp range. you can go with 305cc injectors if you want a little more fuel and don't have the cash to spend on an ECU option or if you are experiencing detonation at that point. The 2 Major ECU options on the market that have been proven with the MSM are the Hydra EMS and the XEDE piggyback. Both work well the hydra is a full ecu and has much better functionality and can increase the rev limit beyond the meager 6500 rpm that Mazda gave us. Megasquirt is also on the market but is as yet an un proven yet promising option and offers cost savings at the expense of more demanding install and tuning.
TURBOS. There are more options that I can go through in any detail. I have a Bloushe upgrading installed on my car but the more common upgrade now is the one from deadbolt. Deadbolt offers many services and can even fix up the wastegate on the stock unit to remove boost creep issues. Full upgrades are available from BEGI and FM and there is not shortage of options. a compressor upgrade can get you to 230-255whp depending on type, fuel quality, tuning quality.
Clutch. The stock clutch is rock solid and if treated right will last into the 250whp range without issue
Tires. Traction becomes a huge problem when boosting power past the 220whp range. Falken azenis RT-615 215/40/17 work very well to keep traction in hand but past 230whp even the best street tire will show weakness.
This is just the basics but I hope it will answer some questions if anyone is interested.
This is just a simple guideline to help you in modding your MSM and to let you know what to expect and what certain problems are common. I personally have never gotten the bog(knock on wood) so I can't comment much on that. With the simple boltons listed above(no ecu or turbo upgrade) people typically range anywhere from 195-220whp @ 10-11psi, this is not much but on a 2400lb car it moves pretty good.
Another route people have started to go to avoid the expensive aftermarket ecu is to go stage 1 meth injection. They can then go up to 13-14psi and hit the 250whp mark on the stock ecu. This will be my next mod after I get the injectors I just ordered installed.