Hi, I have a lot of ASCII files with single futures contracts (daily and intraday). I'm looking for a software tool to link these contracts together into continuous contract ASCII files, preferably with some kind of back-adjusting. Any suggestions? Thanks.
I understand that it is a very interpretative area and a bit of an artform to create the right contracts. Probably better just getting historical backadjusted contracts from a market data provider. Some data providers will sell a disk of 20 years of continuous contracts on various commodities for less than $200.
i use a large file editor to patch together intraday data to form one long continuous file that i use for replay and backtesting. It takes 30 seconds to do.
Our Pinnacle CLC data package has almost 40 years of history on some commodities, continuous contracts and also all the indivdual contracts. The cost is $243.00 including a year of daily updates. In addition you will get Forex data including the borrowing and lending rates free. http://www.tradersstudio.com/Produc...cmd/CatalogItemDetails/psmid/657/Default.aspx