euro shatz data

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7432
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euro shatz data

Post by 7432 » Mon Dec 15, 2008 9:07 pm

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

sluggo
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Post by sluggo » Mon Dec 15, 2008 11:32 pm

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.
Attachments
schatz.png
CSI plots of the 3 Schatz contracts having data for 07 Sept 1998.
schatz.png (67.57 KiB) Viewed 1082 times

7432
Roundtable Knight
Roundtable Knight
Posts: 199
Joined: Wed Dec 31, 1969 7:00 pm
Location: sandy, ut

Post by 7432 » Mon Dec 15, 2008 11:59 pm

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

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