I'm kind of new to futures and here lies my problem. Now after rolling-over to the new Dec contract I have two separate daily charts. The one of the Sept contract and the one for the Dec contract. Obviously, the Dec contract chart is almost worthless until the point were most volume moved into it. And the Sept contract chart is almost worthless once most volume moved away. So, how do I combine the Sept chart with the Dec chart to include only the dates I want from each? Thank you Missing-Link
What you could have done on roll day is rename your es u3 symbol as es z3; you would have kept all your existing data, but the new data would have been for the Dec contract. This is like a pseudo continuation contract. You could still do this with your Sept contract, but unless you have a way to fill in the 'gap' since last Thurs you will be missing data. You can also construct a cotinuation contract, es #f. This is added to your symbol dictionary as an index instead of a future, and it will have no monthly contract information.
I tried renaming the symbol but that caused all the old data to disappear and left me as if I just opened a new window with the new symbol. How do I construct continuation contract? I can't find information on that anywhere.
What data vendor are you using? If you use Esignal, you can create the symbol "ES #F" in the Global Server and it will pull the continuous contract that Esignal provides.
http://www.tssupport.com/support/base/?action=article&id=538 If it's past the rollover date, use the second method on that page. That's how I've done it with no problems at all. Read the instructions carefully. Once you try it they will make perfect sense Mark