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I disagree, standardizing futures contracts is a very commonly use exercise for backtesting. I know of ample examples of people who trad futures, just trying to understand the procedure. These are real contract which don't have a liquid ETF

@ to be, I apologize I don't completely understand the nuances of different adjustment methods. One thing I can say that I prefer the ratio method over the difference method owing to the risk of negative prices. Please let me ask you this though, does my reasoning seem ok to you? I don't...

Thanks guys, please bear with me here. I am new to this but fairly smart so if you guys explain it me clearly I will get it. Here is my detailed exposition. And it is really important for me to understand this. @tobbe, pick the ratio historic back-adjust. Let's pick an example. Say we have 3...

I read this, but not sure if you see what I am trying to ask. I guess the question is how do I back adjust the contract F3? I think I need a F4 to do that but I don't have one. Doe that make sense or am I off?

Not sure how you mean, I am trading futures, there is no liquid spot. For instance imagine commodity markets?

Sure, I guess my problem is the fact that at any given point in time I just have 3 contracts. Maybe I am reading the posts out there wrong. But for instance I read this http://www.activetradermag.com/index.php/c/Trading_Basics/d/Continuous_futures_prices This is a pretty simple...

Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three futures, F1, F2 F3. They basically have monthly, 2 month and 3 month expiries. I have daily OHLC...

Hi, this may be a classical or a rather simple problem. I am looking to build a pairs trade using futures contracts that have monthly expiries. An obvious question is how to deal with expiration aside from the fact that I need to roll any expiring positions. My question is basically around...

I need 1 minute historical data for NSE futures going back say 6 months. I am not even sure if I can do this with Interactive Brokers and IBrokers. This is what I did, t = twsFUT(conId = "125220543", symbol="AXISBANK",exch="NSE",expiry="20130627",currency="INR",include_expired="1") Now...

Thanks a lot guys. @ Steve, I posted in the user group, got no response. @Pippi, I would be grateful if you could exactly tell me how to do that, how to exclude the brokers, while compiling. Many thanks again.

I am a new user to Tradelink and would really really appreciate if someone can help me. I did the follows http://code.google.com/p/tradelink/wiki/TradeLinkBuild I have also installed Nunit and Visual Studi 2012 Express. The errors I ran into are attached. I would really really...