Time frame = 5 Min.
Instrument = ES 09-17
Session = CME US Index Futures RTH
Start date = Today
Load days = 200
Now scroll back to some day outside the current contract (to trigger policy "Merge back adjusted") and compare the values - they don't match between NT7 and NT8.
Examples for March 2017:
01-Mar-2017, first bar of day (= Open of March):
NT7: Open = 2376.25
NT8: Open = 2375.75
27-Mar-2017, second bar of day (= Low of March)
NT7: Low = 2315.75
NT8: Low = 2315.25
31-Mar-2017, last bar of day (= Close of March)
NT7: Close = 2356.50
NT8: Close = 2356.00
Obviously, there's a constant difference of 0.50 between NT7 and NT8.
I didn't notice any differences when looking at days which do belong to the current contract.
There seems to be a difference in the merge-back logic.
Can you test this and perhaps give some explanation where this comes from?
Note: I'm charting both charts with the same data connection (Rithmic, historical data provided by Ninja if I remember right).
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