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Andrew,
Your message was lost for a few weeks. I'm sorry, but, I find continuous
contracts rather worthless. The subject came up in conversation last night.
I have always felt that the only way to trade or run historical analysis is
with the lead contract. I don't even build continuous contracts.
Take care,
Steve Karnish
Cedar Creek Trading
http://www.cedarcreektrading.com
----- Original Message -----
From: Andrew Peskin <Andrew@xxxxxxxxx>
To: <kernish@xxxxxxxxxxxx>
Sent: Tuesday, November 28, 2000 12:43 PM
Subject: [RT] Continuous Contracts ...
> I have been working on a small application to build continuous contracts
> and wanted a little peer review. I am attaching a contract for the
> Swiss franc with this message. I have zipped (about 128 K) it as not to
> take up too much bandwidth. I was hoping that some of you could run
> your systems on this data series and then on your own Swiss Franc data
> series and see if any discrepancies arise. If any obvious errors are
> present in my data, please let me know. If you are interested, I have
> zipped files for US Bonds, Gold, and Cotton as well (email me if you
> want me to send them to you directly).
>
> The reason I wrote this was so I could test and trade on the same data.
> I now have the ability to create a new continuous contract daily, with
> the proper alignment and naming conventions for the actual contract
> which orders are being executed on. I was a little surprised to see the
> magnitude of differences between different continuous contracts floating
> around out there and wanted to create a standardized method for data
> maintenance.
>
> I encourage and welcome all feedback. Looking forward to hearing back
> from you soon.
>
> Best regards,
>
> Andrew
>
>
> To unsubscribe from this group, send an email to:
> realtraders-unsubscribe@xxxxxxxxxxx
>
>
>
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