Continuous Futures Prices

Discussion in 'Financial Futures' started by rlb21079, Jun 25, 2003.

  1. I'd like to track futures prices month to month, are there single tickers which can do this? I am not concerned about trading these or realistic backtesting, just consistent data.

    I use Lycos LiveCharts to retrieve quotes. Here's an example of my problem:

    I start with YG03M (Gold, '03, June Contract) and dowload EOD data. It is stored on my hard drive and the data is not correct until the time I am downloading nears the contract expiration date.. After the contract expires I change the symbol in AmiBroker and download YG03N (Gold, '03, July Contract). The earliest data for this contract is, like the previous contract, not really correct b/c it is so thinnly traded. The big problem is that this data replaces what good data I had from the previous contract.

    I believe I have heard of tickers which adjust to the most current contract date and have consistent data, but I have no idea what they are, what they are called, or where to look for them.

  2. I know in TS, the continuous contract symbols for the financial futures are "@ES" or "@YM", but this syntax doesn't seem to work on YG.
  3. I am most concerned with: (only one when duplicates)

    Silver (AG)
    Light Crude (CL)
    Gold (YG)
    US Dollar Index (DX)
    10yr US Treasury Index (TY)
    Nasdaq 100 Index (ND)
    S&P500 Stock Index (SP)

    Dow Jones 30 (DJ)
    S&P500 (ES)
    Nasdaq100 (NQ)

    I would also like:
    German Mark (DM)
    EuroFX (EC)
    Jap. Yen (JY)
    30yr Treasury Bonds (US)

    These symbols are from Lycos LiveCharts, but I think most are universal. I have emailed Lycos several times. They were helpful at first but when I asked them this question...well, I don't think they understood what I wanted and I tried to explain.