|
PureBytes Links
Trading Reference Links
|
"Randy Murphree" <murpran@xxxxxxxxxxxx> and others ask:
>Will you please explain how you manipulate the data to add the
>expired contract to the new one?
Okay, okay, since so many of you asked. I know the subject is
controversial, and some hold their feelings about it passionately,
but what the hell... here's the way I currently like to do it:
I simply multiply the old data by an amount that makes the closing
prices of the old and new contracts match on the last day of active
trading of the old contract.
This seems to make the smoothest transition, well, smooth by
definition, really. Anyway, I like it better than simply butting the
old data onto the new contract, or adding a fixed offset. But
as I said, I know others have their own favorite ways. I may even
change my own preference some day.
Cheers :),
Jim
|