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Futures Roll over data's manipulations in 2000i GlobalServer :
At each roll over contract date, In order to have a NON adjusted continuous
contract I need to do a little manual adjustment in the global server symbol
datas :
1- one contract (july) ends at 16:00 on the last trading day( 07/30/04 )
2- The next month contract (august) is running from 8:00 am for the same
day. So there is a period of double.
3- I want to keep the july datas values until the last quotes at 16:00 and
start the august contract with the values of the 16:01 quotes (one minute
time frame) in order to have a continuous non adjusted contract, accepting
the gap between the values at that time.
The problem is
- How to insert the values for the July last day contract (from 8:am to
16:00) to the august contracts beginning at the row for 16:01 the same day ?
Or
- How to add the values of the new august contract to the july contrat but
only from the rows of vales after 16:00 (from 16:01 to 8:00 Pm)
It is around 680 rows to insert or add at each roll over !
Do somebody knows how to do that in one easy operation ?
Otherwise I will be obliged to
Either
ignore the august datas from 16:01 to 8:00 on the roll over date and begin
the new contract the following day,
Or
DO not takes the july real values until the last day at 16:00 and have the
new august contract beginning the day before.
But this is not ideal at all for my purpose as it is frequent that my roll
over are done near the last trading hours of the roll over date.
Any advice would be very welcome.
Thanks.
Philippe
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