I have merge non back adjusted setting for contract rollover, so for the most recent roll, I should see the 6/26 contract price data through EOD on 6/12, with a large gap at the open on 6/14 (6/15 trading day) that updates to the higher price on the 9/26 contract. This is what happens on every rollover since CME made it the Monday before the 3rd Friday of the month.
This time, I have a gap on the open of 6/12 and another on 6/15. The gap on 6/12 isn’t there on the 6/26 contract, and the gap on 6/15 (open of 6/15 trading day on 6/14) is smaller than it should be. Basically the 2 gaps combined should all be one gap on the 6/15 roll to the 9/26 contract.
I have reset historical data and created a brand new chart not part of a workspace, both gaps still show. I’ve attached a chart to illustrate. I tried to attach another to show what it should look like, but apparently “new users can only attach one media item” (per the error I got trying to post with 3 pics).
I saw that I can manually adjust historical data, but it looks like I have to adjust every minute within the 2 hours in question (opening hour of 6/12 and 6/15). I’m hoping there’s an easier way.
Thanks!
