Traders' Roundtable

could someone with a data supplier other than csi please check out the euro shatz data for 19980907?

open and low of 98.395 looks very out of place.
it is possible since the US 2 year was closed that day but there was no action in the bobl that corresponds.
I've emailed csi about it but no response yet.

thanks

CSI says three Schatz contracts traded on 07 Sept 1998: the Sep-98, the Dec-98, and the Mar-99. All three are shown below. Only the Dec looks wonky, with open = low = 103.33

I opened up a historical file of 1-minute bars provided by TickData Inc, for the Dec 1998 contract of Schatz, from 04 Sept 1998 to 08 Sept 1998. (Because I wasn't sure which timezone the time stamps referred to). Across this 4 day period, which includes the day you are concerned about, the highest high was 104.25 and the lowest low was 104.1. So TickData agrees with your suspicion that 103.33 is a wonky (too-low) price.

Don't allow yourself to be confused by the backadjustments applied to a continuous contract. The heights of the bars are determined by the original ("raw") CSI contracts, that are spliced together to form a continuous contract.

thanks for that, I was looking at everything but the other tradable shatz contracts.
I have the roll based on when IB starts sending me nasty emails about first notice and forced liquidation.
keeping the contract in sep for a few more days gets rid of the 'bad' dec open/low print.

thank you