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» Again: possible wrong continuous contracts LL# and IE#
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| 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# |
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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? |
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006 
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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. |
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006
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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. |
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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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