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Joe,
Perhaps this will help you get started.
Michael
At 08:42 PM 3/9/2001 +0000, Michael Watkins wrote:
>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
>>
>>Its a CNBC Power Lunch Cool Site
>>http://www.ispeculator.com/cnbc.htm
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