Support Board
Date/Time: Mon, 25 Nov 2024 08:31:16 +0000
Post From: SC 2528 vs 2604
| [2024-03-19 20:54:23] |
| User579155 - Posts: 7 |
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Hi, I recently updated my SC from 2528 to 2604 and there is a few irregularities in the data I found, while performing compare check between those two versions. While I know 2528 is outdated version, I am trying to figure out the reason for some of those differences I found: 1) Back-adjustment (Continuous Futures Contract - Date Rule Rollover) It is clear the two versions have different back-adjustment mechanic. This is clearly visible from different historical prices. When plotting the prices, it seems like the 2604 is smoother and more consistent, however v2528 provides me with very different prices. I am, however, unable to find any mention about change in back adjustment in SC update notes. Could you please give me more info on this one? 2) Numbers bars When comparing numbers bars for CME futures, both versions are pretty close, give or take 1% of multiple-year sample. However, when comparing numbers bars data for EUREX instruments, I am looking at two almost different data sets. Is there any explanation for how can this be? 3) Roll dates When comparing the two versions in real time side by side, I observe that rollover dates are cut around 13:00 for 2528, but are complete for the v2604. I assume the 2604 version is the correct one and I am also quite certain, in the past, even the 2528 provided full days even for roll days. Was there any change done? The reason I must do very detailed compares is the number of my custom studies I am using, so this is the way I am checking, whether my studies work properly compared to previously used version. This time around, I found a lot of differences as described above. I am aware there is a long time gap between those versions and will update more frequently going forward, but I still need to make sure which version is correct. Thank you for your reply in advance. If needed, I can provide further info. |