Eurodollar quote value seems off?

gary

2009-01-24 14:13:00 UTC

Hello

There are 3 different methods of generating continuous contracts. They have symbols of 1600, 1601 and 1602. These are described in the help file under commodities.

The 1600 method switches contracts when the volume in the far contract exceeds the volume in the near contract. This works well for most actively traded index products like the S&P, Nasdaq and russell contracts.

However, it doesn't work well for some other contracts like the Eurodollar, for that contract, a fixed date rollover is better, using EC1601 gives you a different chart, and also gives you the last price that you are looking for. The default rollover for the 1601 contract is the last day of the near contract, that can be changed, the procedure is described in the help file.

We have 3 different methods because there is no one right way for all contracts.

Best regards

Gary Lyben

----- Original Message -----
From: toddk63
To: quotes-plus-***@public.gmane.org
Sent: Friday, January 23, 2009 2:15 PM
Subject: [quotes-plus] Eurodollar quote value seems off?

Pick any of the eurodollar QP Quote. For simplicity, I'll pick EC1600
Eurodollar combined session.

Yesterdays (1/22/09) QP quote was on the order of 98.3. Whereas the
CME/Globex actual data was more like 98.8. Also the peaks and valleys
of the charts look a bit different. Is this a QP error or am I looking
at the wrong QP contract?

Thanks,

Todd K.