data differs

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data differs

Stephen Choularton-3
Hi

I am studying the spread between a couple of interest rate futures on
the ASX using R and IB

The futures are IR and IT.

This data line is produced by a callback looping on them at 4:30 pm when
trade finishes:

time ->  2020-01-21 16:29:59.818593 last IR -> 99.19 last YT -> 99.26
spread ->  -0.0700000000000074

This data is produced by a call to reqHistoricalData for close yesterday
(21 Jan)

                                    last IR ->  99.2 last YT ->  99.29
spread ->  -0.01993848

I know they are 'similar' but is it normal for them to differ?

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Regards
Stephen Choularton PhD, FIoD
0413 545 182

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Re: data differs

braverock
They are different symbols with  different tenors, so yes, it is normal
for them to differ.

iirc, IR is a 90-day interbank rate, and YT is a 3-yr bond  

It's been a while, so I might have those tenors wrong, but either way
they are futures for different rates.  Why would you expect them to be
the same?

On Wed, 2020-01-22 at 15:10 +1100, Stephen Choularton wrote:

> Hi
>
> I am studying the spread between a couple of interest rate futures
> on
> the ASX using R and IB
>
> The futures are IR and IT.
>
> This data line is produced by a callback looping on them at 4:30 pm
> when
> trade finishes:
>
> time ->  2020-01-21 16:29:59.818593 last IR -> 99.19 last YT ->
> 99.26
> spread ->  -0.0700000000000074
>
> This data is produced by a call to reqHistoricalData for close
> yesterday
> (21 Jan)
>
>                                     last IR ->  99.2 last YT ->
> 99.29
> spread ->  -0.01993848
>
> I know they are 'similar' but is it normal for them to differ?
>

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