|
PureBytes Links
Trading Reference Links
|
If you want to do it properly, go and have a look at Jack Schwager's
Complete Guide to the Futures Markets and he'll give you a thorough
grounding in the different ways to combine the contracts into one.
Alternatively just do back adjusting. Start with the spot contract and add
the previous contract to it after adjusting all its data points by the
difference between the old and the spot closing price 3 days prior to
expiry.
Then do the same to the contract before that, using the difference between
that contract and your new continuous contract.
HTH
Adam
-----Original Message-----
From: Ian MacAuslan <imacauslan@xxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Wednesday, September 22, 1999 12:29 AM
Subject: Combining SP9x symbols into 1 Data series
>Hi
>I'm a stock trader, and recently started receiving the futures contracts
>tick data real-time from CME. I'd like to referecence this data in Data
>Series 2, for some of the stocks I trade (5 minute bars). However,
>since the contract "symbol" changes/expires several time per year
>(currently SP9Z)--I am wondering if there is a way I can combine them,
>so they are a continuous stream, for historical back-testing purposes?
>
>Thanks!
>Ian MacAuslan
>
>
|