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You will need a new ticker symbol anyway for the new contract so your
old contract history is automatically preserved (don't delete the old
symbol).
As to adjusting you can export the data to excel, shift all the prices
by the gap amount, then re-import. Watch out for negative values if you
have a lot of history. If this happens you have to do proportional back
adjusting. I don't know how to do this, but I think I have a "paper' on
it somewhere. You can probably google a technique.
To export the data I have attached an AFL file for daily data
contributed by Graham. Instructions are inside.
(If you don't get emails from the list you won't get the attachment.)
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of drainesss
Sent: Thursday, August 17, 2006 23:46
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Ccontinuous Future contract
Hi
What is the best way to deal with the above situation.
Today we have a QM crude oil future roll-over.
How can I continue to recieve the data from Interactive brokers for
the new contract QMv6 (the old one is QMU6)and keep the historical
data of the old one.
There is a problem of GAP in price between the two contracts.
My first idea was to export somehow the data from the database and to
manualy add the gap to the price column but HOW to export the data?
Then there is a Split option - How to use it in this case?!
Maybe I am missing something?!
Thanks guys.
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