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Vince,
There is no industry standard, and the topic produces endless debate. Some
people are adamant that no continuous format <sic> be used. Here are my two
cents (assuming you're talking about EOD data only). Pinnacle Data
currently offers three ways to create continuous data for a future: Back
Adjusted, Forward Adjusted and No Adjusting. And the date of rolling
between most active contracts is specific to each future; examples
Contract and front month Roll Date
YX-NYSE COMP INX SEP SEP 9
NK-NIKKEI INDEX SEP SEP 3
DX-DOLLAR INDEX SEP SEP 8
AD-AUSTR. DOLLAR SEP SEP 8
DJ-DOW JONES IDX SEP SEP 9
ES-MINI S&P 500 SEP SEP 9
ND-NASDAQ 100 SEP SEP 9
Pinnacle will offer a fourth method with some similarities to CSI's method
in their new version. The choice is yours (for data vendors, method and
roll date). Others on this list are adamant that they know the "right
method". I consider this similar to saying that they know the only "right"
trading system. But it's up to you to decide. My decision is Pinnacle's
methods (I use more than one), with secondary backup from another vendor
that also carries stocks, options, funds, etc. Although Pinnacle is
exceptionally good at customer service and correcting mistakes that are
usually made by the exchanges (not the data vendor), I would never rely on a
single source for data. Many traders use at least three data sources. I
get a way with two since I am an EOD trader and can afford to simply not
enter a trade when there is disagreement in the two data sources and my
exits are based on stops that I know ahead of time (not system signals).
My opinions only, I am not associated with Pinnacle in any way other than a
user.
Ross Kovacs
rossrk@xxxxxxxxxxxxxx
> -----Original Message-----
> From: VBatla@xxxxxxx [mailto:VBatla@xxxxxxx]
> Sent: Friday, August 27, 1999 3:40 PM
> To: omega-list@xxxxxxxxxx
> Subject: Correct data format?
>
>
> I'm using CSI data. My systems call for the continuous format.
> Is there an
> "industry standard" way of rolling? I'm using the greatest
> amount of vol &
> open interest method. It rolls when: Reported (Std + 2 days).
>
> Any comments will be appreciated! Thanks, Vince
>
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