how to combine monthly future data into one with globalserver

Quote from spike500:

I don't think your data will be correct. If im not wrong, the quotes of the last day in a contract will be calculated on a different base than the the first data on the new contract, due to time value.
If you look at the last quote from a contract and the first quote i the new contract, the price will be completely different.

There are continuous contracts but they recalculate the quotes to avoid the gap problem.
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The added chart shows what i mean; in dec 2006 you see the quotes of the old and the new contract simultaneously. The quotes are different. How can you do reliable calculations on these data? Dependeing on the pint from where you import the data, you will get different data and as a result different calculations.
 

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i have used this method to allow for a longer data set
for backtesting strats. it's a poor mans way i suppose..
it's not a continuous contract, just a continuous data set.
i have edited the data to adjust gaps at contract change-over.
(under edit symbol in gs). this can be tedious as well. currently, at end of contract.. i would just change the names of my symbols to new contract and proceed. i do prefer to have a long-continuous data stream for ATS development. if i was simply day-trading, i wouldn't bother..
good luck,
bb
 
Quote from robinxing:

BigBubba

now I am day trading

so I do not have to adjust the data to fill the gap
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You can take the roll-over period to collect data in both contracts.
This means that you should have about 1 week of data at the best before you must roll-over tho the new contract.
That should be enough historical data for a daytrader. Daytraders normally don't need more historical data and even if they would, the data they would use (not corrected) is wrong to make correct calculations.
How can you draw trendlines? How can you calculate any indicator correctly if you use data from two different contracts? You can't.

I daytrade since 1990 and i never use data older than a few days.
 
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