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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Again: possible wrong continuous contracts LL# and IE#
Author Topic: Again: possible wrong continuous contracts LL# and IE# (5 messages, Page 1 of 1)

mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Apr 5, 2011 05:49 PM          Msg. 1 of 5
Possible wrong continuous contracts LL# and IE#.

I've downloaded tick history (4 months) for LL# (continuous ) and LLU11 (single).
LL# ~ 2 Mb (ASCII file)
LLU11~ 20 Mb (ASCII file)
difference - 10 times!
It means that continuous contract have less liquidity than single contract (at 10 times!).
Obviously something wrong with continuous contract LL# (as it was for QGC#)
The same is for IE#

mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Apr 5, 2011 06:10 PM          Msg. 2 of 5
LG# "lost" ALL(!) liquidity between 28-feb-2011, 28-mar-2011 !
And another 4-5 months in 2010.
It looks like LG# have the same problem - wrong rolling dates.

PS Why is it so hard to keep accurate rolling dates for continuous contracts?

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Apr 6, 2011 08:07 AM          Msg. 3 of 5
Hi Mvvcorp,

Our Market Integrity dept is checking the data & contracts. I will let you know what they find out.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Apr 7, 2011 07:47 AM          Msg. 4 of 5
Good Morning Mvvcorp.

This should be fixed over the weekend. We’re going to eliminate all other contract months from charting except H/M/U/Z. This will help the chart look a lot smoother.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Apr 7, 2011 07:35 PM          Msg. 5 of 5
Thank you
Please, let us know when the process will be over.
 

 

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