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[amibroker] constructing "Continuous contracts" with eSignal data for Non-US futures


  • To: "Amibroker Yahoogroup" <amibroker@xxxxxxxxxxxxxxx>
  • Subject: [amibroker] constructing "Continuous contracts" with eSignal data for Non-US futures
  • From: "Rakesh Sahgal" <rakeshsahgal@xxxxxxxxx>
  • Date: Sat, 16 Aug 2008 17:29:17 +0530

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Hi All,

Any advice on methods to construct continuous futures contracts using esignal intra-day data? Am just starting out and whatever I was able to find on their KB seems to indicate that they only facilitate continuous contracts for US futures via the #F symbol route(which also is constrained to the eSignal charting platform). If my understanding is incorrect, will be very grateful to anyone who can point me in the right direction.

One work aorund that I can think of is , keep the basic symbol and manually change the extension/addition to the symbol which denotes the contract specs every rollover date and keep on saving the data locally.This however seems to be an error prone method as, in my case(the Indian market), there are a  total of approx 240 odd symbols which comprise SSF symbols and Index futures and a typo is all thats required to make any symbol incorrect.


Best Regards



R


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