
heybitch
-Interested User-
Posts: 2
Joined: Nov 14, 2020
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Posted: Nov 14, 2020 11:18 AM

Msg. 1 of 2
Hello. I can't understand the @LE#C price calculation.
According to your website it "Rolls 10 trading days from the end of the month prior to expiration". So the front month is December now, and it will roll to February on 17.11.2020. @LE#C is supposed to have the December prices with simple gap adjustments for prior contracts.
Here is what HIT API call returns (OHLCV): @LEZ20: 2020-11-13 14:05:00 110.250 110.250 110.075 110.100 173 @LE#C: 2020-11-13 14:05:00 112.550 112.550 112.375 112.400 173
I've attached the daily close plot to illustrate the difference Blue - @LEZ20 Orange - @LEG21 Green - @LE#C
Could you please explain how is that possible?
File Attached: screenshot_1605373080.png (downloaded 767 times)
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