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Creating a continuous contracts is fairly simple.
Using a backadjusted method is the most popular in testing systems.
TradeStation 4.0 will handle about 13K bars at a time so you'll need
to decide where to break the files.
To create a back adjusted contract, the Close(s) @ time on the day of
rollover are the calculation values that are used for the adjusting
calculation. This is done by finding the Close/Last at a specified
time (usually the Close of the day) of the last contract and the next
contract on the same day at the same time and using that difference
as the adjusting value for all the data elements that are backwards
in time from that date and time.
This means that as the file gets larger with more contract periods,
then more data will be adjusted. The purpose of the adjustments is
the keep the most recent contract at current/actual market values.
The full name given to these contracts is "Continuous Back-Adjust
Current at Actual Contracts". The name says is all so the
calculations are just simple addition or subtraction.
Roger...
-----Original Message-----
From: Nixon(MLS) [mailto:mbjp57@xxxxxxxxxxxxxx]
Sent: Sunday, May 30, 1999 10:46 AM
To: omega-list@xxxxxxxxxx
Cc: Code-List
Subject: CL_creating continuous intraday data
I want to create a continuos chart of 60min SP data going back as far
as TS4
will let me for the purposes of testing some systems. What is the
best
way of doing this? My only thought at the moment is to extract to
Excel
and adjust the data at each rollover date and then re-import back
into TS
I.e. assume rollover date is March 18 then take the difference
between the
March contract and the June contract on that date (say 2500 points)
and
adding 2500 to each O/H/L/C in the march contract. Then doing the
same
adjustment between march and dec (which would be a difference of 2500
plus
whatever the difference between march and dec). Am I on the right
lines
here or am I being over-simplistic? Any and all guidance would be
gratefully received.
Many thanks
Philip
http://www.markbrown.com
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