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Dear List,
I would like to thank everyone who has kindly informed me that today was
rollover day. Phew! I did not know that there were so many people on this
list.
It's my fault. I should have been more precise with my original question.
To save anyone else mailing me with this information, I shall try again in a
different way.
Today I received 951 ticks for SP8M. I thought this was low even for a
rollover day. Some 'gap' periods were 20-30 minutes.
Normally, I would have just accepted this as a very quiet 'old' contract but
when I noticed that the VIX was even worse (I only received 7 ticks all day,
with nothing at all from 10:50 a.m until 15:50 p. m), I didn't know if
something else was going on other than rollover day.
This made me wonder if anyone else had such low input(s). Obviously, this is
not the case.
Thank you all for your help.
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