i have noticed a problem when i merge futures contracts
if i have 2 future data sets both with good data :
day high lows matching same minute bar max high + min lows for the day
i then merge old into new using merge (nt6,5) ..
day + minute data high lows for new merged contract are now different in pre merge dates
ie do minute data + day data use a different offset when merging ?
do i need to equalize minute + day data in old contract pre- merge ? ie eod close = last minute bar close ?
rgds
alex
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