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I created this set of instructions this morning, partially from info off of
Jim's FTP site. For TS2000i users only, but general principle is probably
ok for TS4.
I have not "tested" my instructions yet. I.e. I can do this myself but
haven't double checked the instructions to make sure they are sensible and
in the right order etc. Buyer beware and all that.
If you do this after hours, make copies of both your contracts, and save
them somewhere, then you need not worry too much, you can always restore.
Hope this helps someone
Mike
>Mike,
>
>Here's how it is done, preferably not at 3am like I did because I messed
>one of
>them up, but that can always be recovered.
>
>A: First, when to do it:
>----- Original Message ----- From: "Patrick White" To: "RealTraders
>Discussion Group" Sent: Saturday, December 14, 1996 1:59 PM Subject: Re:
>Rolling Over To The Next Month's Contract
>
>Re: When to rollover to the next month's contract. The S&P futures expire
>the 3rd Friday of the month in March, June, Sept, and Dec. The day before
>the 2nd Friday of the month (Thursday) is the day the new contract begins
>to trade actively. This will usually be the 2nd Thursday of the month, but
>could be the 1st Thursday of the month if the first day of the month is a
>Friday - thus I say the day before the 2nd Friday of the month.
>
>
>
>B: How to do it:
>For examples sake lets use this years SP H1 and SPM1 contracts, we want to
>add SPH1 to SPM1.
>
>1. Rename the new front month contract if you already have it in Global
>Server. Just edit the "Trading Name" to something like SP M1-bak.
>Alternatively if you don't care about the data in it, export it, and delete it.
>
>2. Export your old contract data. Export SP H1. Save the file as SPM1-roll.xpo
>
>3. Rename your old contract data. Rename SP H1 to SP H1-bak
>
>4. Import your SPM1-roll.xpo data
>
>5. At this point you have another SP H1 (just imported it) and we will
>rename this to SP M1. Rename SP H1-back to SP H1 again. ** EDIT SP M1 and
>change the contract month to June (or the approriate month) **
>
>6. Find the closing value of both the OLD and the NEW contracts on the
>Wednesday prior to roll over day (Thursday). Create a multiplier based on
>dividing NEW/OLD i.e. for SP Its prices have been multiplied by
>(1279.0/1265.5) to match the closing prices of the two contracts on Wed
>3/07/2001.
>
>7. Apply the multiplier for all the time resolutions you track. I capture
>Daily, 1 Minute and Tick data (only 5 days of tick). ** important ** apply
>the multiplier in this order:
>1. Daily
>2. Minute
>3. Tick
>
>When you are applying the multiplier you need to Edit Data within Global
>Server, select the appropriate time resolution, retrieve all the bars for
>that time resolution, ***highlight them all***, Modify Data, Multiply, etc.
>
>At this point you are done.
>
>I have to rebuild my SP M1 later today and will follow these instructions
>to make sure I've got everything. But if you want to try it out just
>create a symbold of your own name so you don't mess up what you have.
>
>PS, if you are going to fix this after the new contract starts heavy
>trading, what I would do is delete all data in your exported SPH1 file
>after the close on Wednesday. Then modify per the instructions, and
>reexport the modifed file. Rename your SPM1-bak file to SPM1, import the
>exported modified file, and you should have everything together.
>
>Let me know if all this works for you. ALWAYS make backups of your data!
>
>Buyer beware.
>
>Etc.
>
>Mike
>
>At 11:51 AM 3/8/2001 -0700, Michael Mueller wrote:
>>Hi Mike,
>>
>>You asked me to write and remind you about the merging of contract
>>data. If it's not a lot of trouble I'd really appreciate some
>>instructions on
>>how to do this.
>>
>>Anyway, thanks for your help.
>>
>>Happy trading.
>>
>>mike
>>H. Michael Mueller
>>RR - 2
>>Camrose, Alberta
>>T4V 2N1
>>phone 780-672-3023
>>fax 780-679-4141
>>hamicmu@xxxxxxxxx
>
>
>IntelligentSpeculator.com
>Michael Watkins
>Chief Technical Officer
>mwatkins@xxxxxxxxxxxxxxx
>
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