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OK, Jim, I get the conversion. But how do you spice the two contracts?
Thanks,
Randy Murphree
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> From: Jim Osborn <jimo@xxxxxxxxxx>
> To: omega-list@xxxxxxxxxx
> Subject: Re: TS 5.0 Charting and Data questions
> Date: Saturday, January 24, 1998 10:56 PM
>
> "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
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