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When I switch, I try to make the switch the week the OI exceeds the old
current month. At that time I just change the symbol and continue on.
However, if I'm building a historical database, I will load each month
individually. I then go back and delete all current month activity to where
ever it looks like the OI changed and then change the symbol to the next
month.
Guy
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Rui Marques
> Sent: Wednesday, January 27, 1999 4:49 AM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Data Sevice
>
>
> When you switch contracts for your continuous version, do you back adjust
> prices, or just feed in the new prices?
>
> -----Original Message-----
> From: Guy Tann <grtann@xxxxxxxxxxx>
> To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
> Date: Thursday, December 31, 1998 7:55 AM
> Subject: RE: Data Sevice
>
>
> >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
> >
>
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