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»Forums Index »Product Support »Data and Content Support »@LE#C prices
Author Topic: @LE#C prices (2 messages, Page 1 of 1)

-Interested User-
Posts: 2
Joined: Nov 14, 2020

Posted: Nov 14, 2020 11:18 AM          Msg. 1 of 2
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 67 times)

-DTN Evangelist-
Posts: 165
Joined: Jul 3, 2019

Posted: Nov 20, 2020 08:06 AM          Msg. 2 of 2
I am looking into this now.

Gary Stephen
DTN IQFeed Implementation Support Specialist


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