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jpartner
Posted 3/29/2015 08:35 (#4483851 - in reply to #4483827)
Subject: RE: Blu. ?


blu - 3/29/2015 07:23

Thanks JP.

 

I'm surprised and sorry to see there's such discrepancy between quote sources

Make one wonder

Hi Blu,

Appreciate your work.  I don't think there is any discrepancy in the source, since it can only come from one place.  What happens though is how different data providers handle the rolls.  I get questions here all the time about it.  I will post a chart, and some fellow NATer is following along on their chart.  The lines don't match, and it leads to the question why, so in comes the email. Most every time it comes back to when the contract data was rolled.  Some do it when the volume is higher in the first deferred, others do it on a certain date, others still don't roll til expiration.  Then on top of that, how are the gaps handled from the roll on the continuous.  Some continuous charts, especially those made for algorithm trading, remove the gaps by adjusting all the previous data. Other's still leave it static.  Gaps combined with multiple roll dates all add up to the questions you guys pose.  Like you mentioned, the gaps can be numerous, and honestly plagued me for years.  They screwed up the chart completely, and made it unreadable. Now, I "hard-wire" my charting program's continuous charts to collect front month to expiration, and if there is a gap, it is completely relevant as is treated no different than if it gaps on Sunday night.  

Have a great week

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