Direct CP violation in nonleptonic hyperon decays can be established by comparing the decays of hyperons and anti-hyperons. For Xi decay to Lambda pi followed by Lambda to p pi, the proton distribution in the rest frame of Lambda is governed by the product of the decay parameters alXi alLam. The asymmetry A_Xi Lambda, proportional to the difference of alXi alLam of the hyperon and anti-hyperon decays, vanishes if CP is conserved. We report on an analysis of a fraction of 1997 and 1999 data collected by the Hyper CP (E871) collaboration during the fixed-target runs at Fermilab. The preliminary measurement of the asymmetry is AXiLam = [ -7 pm 12(rm stat) pm 6.2(rm sys) ] times 10-4, an order of magnitude better than the present limit.