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Date/Time: Mon, 23 Dec 2024 01:07:58 +0000



Post From: Treasury futures - bad roll - ZNZ5 contract bad data at midnight Aug-30/31 (last night)

[2015-09-01 01:01:47]
User71961 - Posts: 144
i see the problem.

You are using the opening prices of the session, but this particular session had a bad open for US treasury futures(if you look at a chart of the spread between sept and dec, the bad spread at the open only lasted for a minute).

How can i fix this?