Continuous contracts

Discussion in 'Financial Futures' started by ChrisM, May 12, 2003.

  1. ChrisM

    ChrisM

    Does anybody know how exactly continuous and back-adjusted continuous data is created ?
    Thx in advance.
     
  2. m_c_a98

    m_c_a98

    This depends on who is doing the adjusting. You could manually do it with text files if you want.

    It could be done based on expiration dates or when volume switches over.

    Here is an explanation by Bob Fulks from the omega list.
    http://www.traders2traders.com/papers/backadjusting_futures_contracts.htm
     
  3. ChrisM

    ChrisM



    Thx so much. This is exactly what I was looking for.
     
  4. Esignal says they do it on the rollover dates used by the exchanges. Some contracts have exceptions, can't remember which ones though.
     
  5. man

    man

    CSI gives some choice of how you want to adjust on your own.


    peace