data differs
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?