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Chuck
I guess that's why the continuous contracts normally go to the last day and
then switch, to minimize any major price discrepancy. I have seen some big
gaps though, over the years.
In our own systems we maintain a field called C-Bar (C with a bar over it).
We also include the previous day's close in the current days prices.
Therefore we are always able to determine the delta close (the amount
today's close moved with respect to yesterday's close). That's the number
that gets added to the C-bar.
In determining our P or L on a given trade, we take the C-bar on the day we
made the trade and either add or subtract today's C-bar (depending upon
whether we're long or short) to come up with the total move basis close.
This technique effectively wipes out any problems caused by switching
contract months.
Regards
Guy
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Chuck Wemlinger
> Sent: Thursday, December 31, 1998 11:53 AM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Data Sevice (continuous data)
>
>
> Guy,
>
> Warning, stupid questions follow:
>
> The following are quotes for SP500. While Primate uses the 9th to switch
> months for building the continuous contract, your date would
> typically be 4
> days later based on open interest. Do you make an adjustment for
> the price
> difference? If so, how? Primate does not adjust so if someone wanted to
> adjust they would have to look back at individual months on that
> day to see
> what the price difference is.
>
> JUN 98 SP O---------- H--------- L--------- C--------- V----- OI-----
> 06/09/1998 1115.80 1122.00 1112.80 1119.50 1229 287768 *
> 06/10/1998 1115.50 1127.50 1110.00 1113.10 1683 272552
> 06/11/1998 1113.40 1116.00 1091.70 1091.90 0745 235043
> 06/12/1998 1094.00 1102.00 1080.50 1102.00 1008 193548 ~
>
> SEP 98 SP O---------- H--------- L--------- C--------- V----- OI-----
> 06/09/1998 1128.00 1134.10 1124.90 1131.70 0228 116635 *
> 06/10/1998 1127.00 1139.80 1121.00 1125.20 0502 129872
> 06/11/1998 1126.00 1127.90 1102.00 1103.60 1755 166916
> 06/12/1998 1106.50 1113.00 1092.00 1112.00 1845 224281 ~
>
> SEP 98 SP O---------- H--------- L--------- C--------- V----- OI-----
> 09/09/1998 1026.00 1027.50 1001.80 1003.00 1903 322804 *
> 09/10/1998 982.000 989.900 965.000 969.400 860 286914
> 09/11/1998 972.000 1015.00 967.100 1013.20 513 234714
> 09/14/1998 1022.00 1041.50 1022.00 1030.20 696 204321 ~
>
> DEC 98 SP O---------- H--------- L--------- C--------- V----- OI-----
> 09/09/1998 1038.00 1038.00 1012.50 1013.20 0456 114793 *
> 09/10/1998 992.500 999.000 976.000 979.000 2186 147061
> 09/11/1998 982.000 1024.00 977.000 1023.00 1839 221029
> 09/14/1998 1033.00 1052.00 1032.00 1040.40 1678 258035 ~
>
> DEC 98 SP O---------- H--------- L--------- C--------- V----- OI-----
> 12/09/1998 1184.20 1186.90 1176.40 1184.10 1343 310687 *
> 12/10/1998 1185.60 1189.00 1163.50 1166.40 1229 288443
> 12/11/1998 1164.00 1169.50 1153.50 1163.40 0899 239948
> 12/14/1998 1156.50 1159.50 1137.00 1139.50 0533 212418 ~
>
> MAR 99 SP O---------- H--------- L--------- C--------- V----- OI-----
> 12/09/1998 1195.00 1199.00 1188.00 1197.00 0436 132545 *
> 12/10/1998 1199.00 1199.00 1176.20 1178.30 0467 158320
> 12/11/1998 1175.30 1181.50 1165.00 1175.30 1445 213932
> 12/14/1998 1169.00 1171.20 1148.50 1150.50 1335 246073 ~
>
> * Denotes the PRIMATE rollover day to create continuous contract
> ~ Denotes the open interest rollover day
>
> -----Original Message-----
> From: Guy Tann <grtann@xxxxxxxxxxx>
> To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
> Date: Thursday, December 31, 1998 1:16 AM
> Subject: RE: Data Sevice
>
>
> >Chuck
> >
> >My understanding of continuous contracts is that they take the most
> current,
> >active month and place that day's activity into the continuous contract.
> >You don't switch months and move over to the next month until
> that current
> >month's contract goes off the board.
> >
> >We, OTOH, develop our own continuous contracts by switching
> months when the
> >next month's open interest exceeds the current month's open interest.
> >
> >When the June OI (currently around 8,000) exceeds the March S&P OI
> >(currently around 369,000) is when we would change months to June. Our
> >thought is we want to always base our calculations and trade the most
> active
> >month. Just what we do.
> >
> >Regards
> >
> >Guy
> >
> >
> >> -----Original Message-----
> >> From: owner-metastock@xxxxxxxxxxxxx
> >> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Chuck Wemlinger
> >> Sent: Wednesday, December 30, 1998 11:35 AM
> >> To: metastock@xxxxxxxxxxxxx
> >> Subject: Re: Data Sevice
> >>
> >>
> >> Guy,
> >>
> >> I am such a greenhorn about commodities that now since I opened
> >> my mouth Ill
> >> try not to stick my feet in, but here is what I understand from talking
> to
> >> Primate. Example: SP500. The months used to create the
> >> continuous contract
> >> are Mar, Jun, Sep, Dec. The rollover day is the 9th over the delivery
> >> month. They do not shift prices on the rolloverday. That's left
> >> up to the
> >> user. Probably a good thing. But you make your own continuous
> >> dataset from
> >> the lead month anyway don't you?
> >>
> >> I would like to understand more about continuous contracts.
> How they're
> >> used, adjusted, why, how traded etc.?
> >> Can you give me some suggestions as I have not seen this topic
> covered in
> >> any of the books I've read so far.
> >>
> >> Regards,
> >>
> >> Chuck
> >> -----Original Message-----
> >> From: Guy Tann <grtann@xxxxxxxxxxx>
> >> To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
> >> Date: Wednesday, December 30, 1998 12:42 AM
> >> Subject: RE: Data Sevice
> >>
> >>
> >> >Chuck
> >> >
> >> >By unadjusted continuous contracts, what do you mean. I make my own
> >> >'modified' continuous contracts by choosing the day to switch months
> >> myself.
> >> >I also use the regular S&P continuous contract, where each
> active month
> >> runs
> >> >to the last trading day and then switches months.
> >> >
> >> >Regards
> >> >
> >> >Guy
> >> >
> >> >
> >> >> -----Original Message-----
> >> >> From: owner-metastock@xxxxxxxxxxxxx
> >> >> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Chuck Wemlinger
> >> >> Sent: Tuesday, December 29, 1998 6:13 PM
> >> >> To: metastock@xxxxxxxxxxxxx
> >> >> Subject: Re: Data Sevice
> >> >>
> >> >>
> >> >> Another plus for PRIMATE is that the data is not pre-packaged
> >> into Stocks
> >> >> only or Commodities only Plans.
> >> >> I get an assortment Stocks, Commodities, and Options quotes for one
> low
> >> >> price.
> >> >> Note: Commodities continuous contract data is unadjusted.
> >> >>
> >> >> -----Original Message-----
> >> >> From: Al Taglavore <altag@xxxxxxxxxx>
> >> >> To: MetaStock List Group <metastock@xxxxxxxxxxxxx>
> >> >> Date: Tuesday, December 29, 1998 4:24 PM
> >> >> Subject: Data Sevice
> >> >>
> >> >>
> >> >> >I have run into a stone wall as relates to changing data providers
> and
> >> >> >using the Equis downloader. I want futures and stock
> quotes, I need
> >> them
> >> >> >to be clean, and I want to access these quotes thru a dial up
> >> >> number, just
> >> >> >as I have for my Dow Jones Service. I have contacted
> Theresa at QP2,
> >> and
> >> >> >really don't understand what she has to tell me. From
> past posts on
> >> this
> >> >> >lists, Rueters and Telescan and Dial Data have drawn much criticism
> as
> >> to
> >> >> >their reliability and accuracy. Does anyone have a
> suggestion? I do
> >> not
> >> >> >want to leave the MS program, but it seems as though I must
> >> now consider
> >> >> >that as one of my options.
> >> >> >
> >> >> >Al Taglavore
> >> >> >
> >> >>
> >> >>
> >> >
> >> >
> >>
> >>
> >
> >
>
>
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