Software to build continuous contracts

B

B.Willis

Hi,

I have a lot of ASCII files with single futures contracts (daily and intraday).

I'm looking for a software tool to link these contracts together into continuous contract ASCII files, preferably with some kind of back-adjusting.

Any suggestions?
Thanks.
 
I understand that it is a very interpretative area and a bit of an artform to create the right contracts.

Probably better just getting historical backadjusted contracts from a market data provider. Some data providers will sell a disk of 20 years of continuous contracts on various commodities for less than $200.
 
i use a large file editor to patch together intraday data to form one long continuous file that i use for replay and backtesting. It takes 30 seconds to do.
 
Quote from psytrade:

I understand that it is a very interpretative area and a bit of an artform to create the right contracts.

Probably better just getting historical backadjusted contracts from a market data provider. Some data providers will sell a disk of 20 years of continuous contracts on various commodities for less than $200.
More...

Thank you psytrade.
I did not find any provider for daily and intraday data in this price range.
 
Quote from psytrade:

I understand that it is a very interpretative area and a bit of an artform to create the right contracts.

Probably better just getting historical backadjusted contracts from a market data provider. Some data providers will sell a disk of 20 years of continuous contracts on various commodities for less than $200.
More...

Our Pinnacle CLC data package has almost 40 years of history on some commodities, continuous contracts and also all the indivdual contracts. The cost is $243.00 including a year of daily updates. In addition you will get Forex data including the borrowing and lending rates free.

http://www.tradersstudio.com/Produc...cmd/CatalogItemDetails/psmid/657/Default.aspx
 
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