I rolled over ESU1 to ESZ1 this morning at 09:46 by buying a calendar spread, but the execution prices in my trade log aren't anywhere near where the market was at that time. The spread value is correct. The prices look to be pretty close to yesterday's closing prices, if I had to guess where they came from. Is this anything to be worried about? ES;;BAG;;;;;BOT;2;true;-5.70;13:46:05;20110908;GLOBEX; ES;ESZ1;FUT;20111216;;;;BOT;2;;1193.30;13:46:05;20110908;GLOBEX; ES;ESU1;FUT;20110916;;;;SLD;2;;1199.00;13:46:05;20110908;GLOBEX;
As long as the spread level itself is correct then you should be 'good to go'. The P&L discrepancy between your existing Sept. contract price contrasted with the spread's Sept. contract price should be offset accordingly by the the spread's Dec. contract price versus the outright Dec. future, yes ?