JCL,

while underlying prices in Zorro-provided *.t8 file are correct (and are taken at around 16:00 ET, end of RTH), 1min bars in *.t6 files are not.


Pls have a look at 2 screenshots. One is Zorro-provided *.t8 vs Zorro *.t6 file, and the other is Zorro's *.t6 vs IB's data (which matches underlying prices in the *.t8 file).


For 2020, SPY prices in t8 and t6 files are close, but not for earlier years. Basing strike/ vol calculations on such prices is erroneous.

But even at the end of 2019, when prices in t6 are close to correct, they are shifted by 1min (i.e. reflect start of the bar).

So, what are the prices in *.t6?

Attached Files SPY_1min_vs_t8_19-01-03.JPGSPY_1min_vs_IB_19-12-27.JPG