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Direct MessagesDate/Time: Sat, 04 May 2024 23:01:14 +0000
Post From: Treasury futures - bad roll - ZNZ5 contract bad data at midnight Aug-30/31 (last night)
| [2015-09-01 01:01:47] |
| User71961 - Posts: 144 |
|
i see the problem. You are using the opening prices of the session, but this particular session had a bad open for US treasury futures(if you look at a chart of the spread between sept and dec, the bad spread at the open only lasted for a minute). How can i fix this? |