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Date/Time: Sat, 04 May 2024 23:21:26 +0000

Post From: Treasury futures - bad roll - ZNZ5 contract bad data at midnight Aug-30/31 (last night)

[2015-08-31 21:30:50] Link To Thread - Link To Post [Go To First Post]
User71961 - Posts: 144
if you look at ZNZ5 (continuous contract, with volume based rollover) and back adjusted for the roll, my chart has a 6 tick gap from 127-04+ --> 127-10+ at midnight last night (Aug-31st). There was no gap in the actual contract. There should be no gap. There was no significant trading activity at that point in time. It looks like there is a problem with the back adjustment, because ZNZ5 was trading in the range of 127-09+ --> 127-12 for an hour on either side of midnight last night. It looks like the other US treasury future also have a problem with the rollover last night (ZF has a similar large error...ZB has an error, but small). i am using ThinkorSwim as my trading platform, and the SC data feed.