[R-SIG-Finance] data differs
Brian G. Peterson
br|@n @end|ng |rom br@verock@com
Wed Jan 22 07:49:44 CET 2020
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
On Wed, 2020-01-22 at 15:10 +1100, Stephen Choularton wrote:
> I am studying the spread between a couple of interest rate futures
> 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
> trade finishes:
> time -> 2020-01-21 16:29:59.818593 last IR -> 99.19 last YT ->
> spread -> -0.0700000000000074
> This data is produced by a call to reqHistoricalData for close
> (21 Jan)
> last IR -> 99.2 last YT ->
> spread -> -0.01993848
> I know they are 'similar' but is it normal for them to differ?
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