[IB] Automatic roll-over for futures contract historical data?

Discussion in 'Data Sets and Feeds' started by mizhael, Jun 26, 2009.

  1. 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!
  2. 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:

    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)