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In 2000 the US 30 year T-Bond future changed its spec and the data I
have from CRB Trader was adjusted to compensate.
CRB Trader say basically the spec was changed from 8% to 6% for the
notional underlying bond.
Unfortunately the pre-2000 data is not back-adjusted, it's all just
nearby-futures with no adjustment at roll-over, all in one file.
What CRB Trader did with their historical data was to lump all the
pre-2000 data into the one file and call it contract 1999Z. This data
came direct from CBOT and CRB Trader didn't change it, apparently.
I have the old original pre-2000 contracts still, and am compiling a
back-adjusted continuous contract.
However when comparing mine against the CBOT data, I immediately see
price differences, sometimes between days, sometimes relatively between
one day's OHLC points and I'm worried about back-testing against it.
My instinct is not to worry about it. Surely the back-adjustment should
iron out price differences due to the spec change, even if in some of my
tests, I have a trade appear which spans that 1999 / 2000 roll-over?
Does anyone disagree?
Adam
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