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Date/Time: Fri, 18 Jan 2019 08:45:54 +0000

Post From: Corrupted data on futures contracts prior to June 2017

[2017-12-08 14:10:12]
User401662 - Posts: 7

I have a problem with the data of all futures contracts prior to June 2017. As you can see on the screenshot of the S&P500 e-mini contract of June 2016, there are gaps everywhere, sometimes as big as 4 ticks, which is impossible for such a heavy market. I don't have any gap on most recent contracts anyway.

I cannot work with such data. Do I have to set up something to avoid these gaps? Or does the problem comes from the data provider itself (CQG)?

Thanks for your help.
imageF.US.EPM16 2000 Trades #1 2017-12-08 12_52_51.426.png / V - Attached On 2017-12-08 14:09:31 UTC - Size: 75.97 KB - 76 views