|
It is not only the continuous contract, but also
the March contract that has lower volume.
If March became the front on last Monday, it should
be the reverse and it ususally is.
At least accord to the number of ticks, because the
volume reported by CME became
today higher for March than for Dec. They
reported Tues volume lower for March than Dec.
Jan Philipp
----- Original Message -----
Sent: Wednesday, December 08, 2004 2:30
PM
Subject: Re: [RT] TS8 tick volume
today
Jan,
It would appear that your data feed changed the front month
for the continuous contract from the December contract to the March contract
today. Usually that would occur tomorrow or on the Friday before
expiration day. Each data feed constructs the continuous contract differently
in order to drive us crazy and create the maximum amount of
confusion.
Pete
---------------------------------------------------------------------
"Eliminate
annoying spam!
My mailbox is protected by iHateSpam, the #1-rated spam
buster."
----- Original Message -----
Sent: Wednesday, December 08, 2004 5:14
PM
Subject: [RT] TS8 tick volume
today
How do you explain the following:
Today, for
- @EC
contin. contract, 18,440 ticks from 7:20 to 14:00 CT
- ECH05 - the
same
- ECZ04 - 32,200 ticks
Jan Philipp
| Yahoo! Groups Sponsor |
ADVERTISEMENT
![click here]() | |
![]() |
Yahoo! Groups Links
|