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Thought I would bring this issue up again.
This specific issue was last mentioned in Jan 2007, as best I can tell via search on "intraday open".
The building of Intraday bars is incorrectly using the first trade at 9:30:00 regardless of the type of trade. The Form-T trades should NOT be included in Intraday RTH bars, since they are not RTH trades.
The screenshot should illustrate what's happening.
LAM
This specific issue was last mentioned in Jan 2007, as best I can tell via search on "intraday open".
The building of Intraday bars is incorrectly using the first trade at 9:30:00 regardless of the type of trade. The Form-T trades should NOT be included in Intraday RTH bars, since they are not RTH trades.
The screenshot should illustrate what's happening.
LAM
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