Re: Rollover data

["Eric Langley" <elangley@xxxxxxxxxxx>]

Tom,

Thanks for your post.

I trade 45 and 60 minute bars on the S&P and NQ. I typically use 50 and 75
bars back.

The problem is that on the 9th of the rollover month the data for the new
contract from the 1st to th 8th is sporadic at best. I would rather use the
previous months data that is adjusted to the new price for the dates 1st to
8th of the current contract. This would give better data for the signals.

And yes, figuring out where you are at rollover with mid time frame term
systems is a problem.

Eric


----- Original Message -----
From: Thomas Brun <TDBRUN@xxxxxxxxxxxxxxxx>
To: Eric Langley <usergroup@xxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Wednesday, April 12, 2000 9:21 PM
Subject: Re: Rollover data


> Eric,
>
> I trade based on 30 minute data and another system on daily data.   I
don't
> trade the front months on my daily system. My intraday system references
50
> bars and I don't seem to have any trouble.  I don't notice any problems
with
> the bars but as I said I am only referencing 50 bars.
>
>  I just trade the front month and switch on the next trade after rollover
> day.  I find the fill quality the biggest problem.  I've never seemed to
> figure whether it was better to stay in the trade until the next signal,
to
> rollover at the close, or to rollover at the open.  I have tried rolling
> over different ways but I think the best is to rollover at the open.
>
> Hope that helps a little.
>
> Regards,
>
> Tom
>
> ----Original Message-----
> From: Eric Langley <elangley@xxxxxxxxxxx>
> To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
> Date: Wednesday, April 12, 2000 6:04 AM
> Subject: Rollover data
>
>
> >I have posted this before but....
> >
> >At contract rollover I have trouble with my hourly and 45 minute systems
> due
> >to lack of quality back data.
> >
> >Does anyone know if there is a way to back adjust the previous contract
and
> >then prepend it to the front month so that systems will work properly?
> >
> >Any help would be appreciated.
> >
> >Eric Langley
> >DSORUG
> >
> >
>