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Hello Jerome, List,
How do you prepare continuous CAC contract from individual contracts data?
I have converted data from Matif site into 15-minute Metastock format from
scratch.
{You were right... Best to do it myself if I'm about to periodically add new
data}.
However what I end up with is a pile of individual contracts with just about
3 months of active trading each, not much use for longterm indicators.
There's no Open Interest in Matif data, so I have no choice but to use
volume as a basis for the continuous contract.
Of course, there's much less problem with daily chart, but on intraday
volume for a few sessions is now bigger in one contract, now in another.
Any hints, tips or tricks? Maybe an Excel spreadsheet with formulas?
Thanks. Best regards
Yarroll
***
http://republika.pl/yarroll999/
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