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Hello DH,
There are several options. Forward Adjusted, back adjusted
(apparently added recently), unadjusted. With the latter, by using
the el code they provide your system will exit the expiring contract
and enter the new contract, just as you would do in actual trading.
I've never worked with that option however.
Best regards,
Jim Johnson
Friday, April 20, 2001, 1:03:56 PM, you wrote:
>> Jim - I understand the continuous contract generator has been updated and
>> now has 3 different options for stitching together futures contracts.
D> What are the options? I got the impression from their web page that they
D> just stiched together the contracts with no adjustment. They showed some
D> EL code for stopping trading at rollover and not starting again until
D> maxbarsback. Will it add (or subtract) the spread at rollover?
--
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