Hi all, I am downloading futures contract historical data... since it is across multiple months. Is there a way to download always the automatic rollover for futures contract? Or, is there a generic version of the futures contract? Thanks a lot!
No, unfortunately no support at all for roll-over on contracts. Right the opposite: Expect pain when trying to glue things (futures with different expiry) together. For information on principles how a cont. contract can be constructed: http://www.premiumdata.net/support/futurescontinuous.php http://www.csidata.com/cgi-bin/getManualPage.pl?URL=backadjustedoverview.htm Look for the methods: back forward and proportional adjustment (But: it might be good advice to think about whether a cont. contract is really needed)