|
PureBytes Links
Trading Reference Links
|
Adam Hardy wrote:
It would be interesting to find out what the CSI continuous /
synthetic contract compilation software is like.
The one from CRB Infotech offers the following optional parameters:
- non-adjusted / back-adjusted / nearest / continuation compilation
- roll-over day options, with choice of:
* number of days before expiration
* specific day of previous week
* specific day of previous month
* some others which aren't clear (!)
- choice of which contracts months to include
- whether to include VOI (for contract, not sum of all months)
- output format
CSI can basicaly do all this also... More in depth info can
be found here:
http://www.csidata.com/custserv/onlinehelp/OnlineManual/
Go to the section Adding/Editing Files and then the sub section
Contract selection and then Back Adjested contracts.
There you find exactly what roll triggers can be used.
|