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Neil asked for details of how I splice these contracts together,
and I thought I'd share the answers with the list:
"Neil Jon Harrington" <njh@xxxxxxxxx> writes:
>Jim,
>
>Could you just indicate the steps you go through when a new contract becomes
>active. For example, let's use the transition from the June to the September
>S&P contract. Come Thursday, June 11, 1998, the front contract at the CME
>will be SP8U. Please tell me the steps you go through to back adjust the
>SP8M and "add it" to SP8U, and when.
>
>Thank you very much for doing this.
>
>Neil
On Wednesday evening, June 10, I will copy out the tick data
for SP8M, from June 10 back to about March 15. This will
produce three files, let's call them sp8m, sp8m.dat, and sp8m.idx.
I'll toss sp8m.idx, and run sp8m.dat through a little
C program I wrote that runs on the Linux side of my computer.
Having noted the closing prices of SP8M and SP8U, I'll tell the
C program what factor to multiply all the SP8M ticks by to bring
the two series in line. The C program will extract each SP8M tick
from sp8m.dat, rename it as an SP8U tick, keep the date and time,
and adjust its price, and create a new file in TS 3.5 .dat format,
let's call sp8u.dat. I'll rename the tiny file "sp8m" to "sp8u."
Then I will go back to TS and delete all the SP8U tick data between
March 15 and June 10, and tell it to paste in the tick data from the
file sp8u.dat. TS 3.5 will look in its paste-in directory, see the
sp8u and sp8u.dat files, and will create a new file called sp8u.idx.
Then it will paste in the SP8U ticks, derived from the SP8M data,
and come Thursday morning, I'll see charts with robust history.
I'll be missing the globex SP8U ticks from after I performed this
little exercise until the end of Wed night's session, because the
SP8U won't start trading on globex until Thursday night. If I
wanted to do the whole thing between 9:15 and 9:30am ET, I wouldn't
have this gap. So I simply fix this little hole the next night.
That's all there is to it. The key is having a nice friendly .dat
file to work with, instead of TS 4.0's closed .omz file, which
simply encapsulates the same three files in an oddball compression
format.
Jim
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