Continuous Charts On Contracts with Expirations...

Discussion in 'Automated Trading' started by TheGoonior, Feb 8, 2010.

  1. For you guys rolling your own systems/platforms,do you have any recommendations for creating continuous charts with contracts that expire? I've noticed that a new contract starts picking up volume maybe a week or so out from when current contract expires. Do you just simply merge the data streams and switch over to the new contract symbol a couple of days before expiration or do you do something more exotic like a weighted moving average, etc.

    Input appreciated.
  2. My understanding is during rollover week, you simply watch volume and as soon as far month volume > near month volume, you start tracking far month.