Close outside of high/low range in CSI raw data

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sunyata
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Close outside of high/low range in CSI raw data

Post by sunyata » Sat Nov 10, 2012 5:07 pm

CSI's raw contract data sometimes shows the close outside of the high-low range. The CSI sample futures portfolio that comes with TB addresses this by adjusting the high or low to the close.

My question is: do you think this is the best fix, since the adjusted high or low would not have occurred during the trading day? My understanding is that the exchange sometimes adjusts the closing price after trading has ceased for the day, which means the closing price is sometimes outside the high-low range. I am not quite sure why they do this sometimes. Nonetheless, it seems to me that it might better reflect actual market action to adjust the close instead to the high or low of the day.

Input appreciated.

Thanks!

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