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Jim Sullivan responded directly to me on this subject. I thought
the list might find the clarification worth reading.
Jim, the trouble with using the pre-active tick data in the S+P
is, as you note, the thinness of the trading. On a 500-tick-bar
chart (roughly an hourly) you'll have just one bar per day before
the contract becomes active. Even on a 100-tick-bar chart, it'll
be horribly distorted. The visual difference of the charts, once
I started using real data for the history was like night and day,
I'd HATE to lose that capability, now that I've experienced it.
I find some of my best information comes from those "hourly" charts.
I also find that there's so much significant action on the globex
session now that it's really important to include it in the picture,
and that requires tick-bar charts, because of the sparse globex trading.
And yes, I do adjust the back contract data so that the close on
Wednesday matches on the two contracts.
Maybe if I get some free time, I'll put a bit of that "adjusted"
SP8M data up on my ftp site, so those who are interested can see
the difference. We're well past rollover now, of course, but you
can get the idea. And June isn't that far away...
Jim
Jim Sullivan <jimsul@xxxxxxxxxxxx> writes (off list):
>Jim,
>
>I also use TS 3.5. I just start collecting tick data on the next
>contract a couple of months before rollover. It's a little thin in
>ticks at the beginning, but it lets all my indicators update.
>
>What advantage to you get by combining the old contract with the new?
>And do you adjust for the price difference, or leave a gap?
>
>I have 4.0 on the shelf, but I see no advantage which is worth the
>problem of converting.
>
>Thanks for keeping the Omega-List going.
> Jim Sullivan
>----------------------------------------------------------------------------
>Jim Osborn wrote:
>>
>> Thanks for the suggestion, Hans,
>>
>> The trouble with ASCII charts is they don't show the new, real-time
>> ticks as they come in. That's what's important to me. I'm working
>> with real-time data, and I need to be able to control what's in
>> my real-time database.
>>
>> Jim
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