There seems to be a problem "rolling" the AX !1-DT.
I just downloaded 10 days worth of tick data and its a mess.
Starting and end times for the trading day are all over the place. A 150 tick bar lasts for hours, which seems to be attributed to not or wrongly rolling the continuous contract.
Please take a look at this.
Either way.
Happy holidays,
Matt
I just downloaded 10 days worth of tick data and its a mess.
Starting and end times for the trading day are all over the place. A 150 tick bar lasts for hours, which seems to be attributed to not or wrongly rolling the continuous contract.
Please take a look at this.
Either way.
Happy holidays,
Matt
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