Re: [amibroker] Attn. Gurus: Help Requested with Q reg. Data History of a new Futures Contract, AmiBroker Email List Archive

Hi Sanjay,

Some analysts use a "continuous contract" - where a data provider
merges various expiries together - and there are a few ways of
doing this - google "continuous contract" , "back adjusted" etc.
Note that you can't actually trade a "continuous" contract.

The main driver of a futures contract is the underlying commodity -
being either the index, bonds, wheat whatever. So you should
probably do some analysis on the underlying, and not just the
contract. Having said that, the futures contract will be a bit more
volatile, and in the cases of the indices, the first and last 30 mins
of the days trade will be more volatile and less liquid ( You didn't
mention which time frame you were looking at. )

From my point of view, I analyse each expiry one by one. It
takes more work but it is closer to the results I achieve
in trading. My rules for trading ( and this is is for bonds and
indices) is to trade the most liquid expiry, and never trade the
contract on the expiry day, and this determines the analysis
that I do.For some of the Asian indices, the spot month is not
always the most liquid - so you just have to do it on a case
by case basis.

Hope this helps

Robert Z

From: Sanjay Arora <onlinetrade.skpobox@xxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Cc: STOCKRESEARCHER@xxxxxxxxxxxxxxxx; aiii@xxxxxxxxxxxxxxxx
Sent: Tuesday, 2 June, 2009 1:07:30 AM
Subject: [amibroker] Attn. Gurus: Help Requested with Q reg. Data History of a new Futures Contract

Hello all

I would like to know how TA handles a new futures contract, when it has no historical data? The new symbol is different from the old one, so how would it inherit history? And then more than one futures contract runs for the same underlying for different months...so who inherits whose history? What are the linkages between an underlying & its multiple futures contracts, from the point of data history & charting? What is the usual charting practice for a futures chart?

In stocks we use tick, minute,hour, day, week, month, year charts....long time.....futures are alive only during the contract period so what are the charting & data normalization practices?

All comments, insights, advice & links appreciated.

Hope someone can help me understand how it works.

With best regards.
Sanjay.