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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: Brian Hornby who wrote (17164)	3/2/1999 8:09:00 AM
From: Patrick Slevin	Respond to of 44573

Yes, the slippage over time on the Small vs the large is slight. The SP8Z Closed November 30 at 1162.50, yes. Then Opened Dec 1 at 1162.40, approximately. Closed that day at 1174.20 You have it entering the Short on the Close at 1185.80; that was the Close of the SP9H. By December 4 you were probably in the March Contract. There was a gap up Open that day from the 1164.50 level to 1175 which retreated to 1174. I'm not looking at your data at the moment but I would hazard a guess that everything is March at this point, the December 4 time frame that is. <I hope I don't have to go back and adjust everything myself with a spreadsheet or whatever...> PROBABLY, you just have to download the entire file 4 times a year. That should take care of the error and as long as one of your determining variables isn't the Closing Price then it should not affect the output. I'm sure you would have seen this earlier if you had a contract carry over a roll day.