Continuous contracts

[ChrisM]

Does anybody know how exactly continuous and back-adjusted continuous data is created ?
Thx in advance.

 

[m_c_a98]

Quote from ChrisM:

Does anybody know how exactly continuous and back-adjusted continuous data is created ?
Thx in advance.

This depends on who is doing the adjusting. You could manually do it with text files if you want.

It could be done based on expiration dates or when volume switches over.

Here is an explanation by Bob Fulks from the omega list.
http://www.traders2traders.com/papers/backadjusting_futures_contracts.htm

 

[ChrisM]

Quote from m_c_a98:



This depends on who is doing the adjusting. You could manually do it with text files if you want.

It could be done based on expiration dates or when volume switches over.

Here is an explanation by Bob Fulks from the omega list.
http://www.traders2traders.com/papers/backadjusting_futures_contracts.htm

Thx so much. This is exactly what I was looking for.

 

[lescor]

Esignal says they do it on the rollover dates used by the exchanges. Some contracts have exceptions, can't remember which ones though.

 

[man]

CSI gives some choice of how you want to adjust on your own.


peace