I'm in the process of importing 3rd party historical tick data into NT7 and will also need to trasition to ZF historical and live data. I'll ask the question specifically for CL - on the rollover day does the switch from the old front month to the new one occur during the session break at 3:15 to 4:00 pm Mountain Time on 08/19/10 ? I specifically checked the 09-10 and 10-10 contract tick data where the offset is listed in Instrument Manager as .35. On those contracts at that time the price is not equal to .35, it's close - .32 difference on the first tick of the session, .38 diff on the closing tick of the previous session. Do you perhaps average the 2 closes and open differences to arrive at .35?
Thanks,
Paul
Comment