Software to build continuous contracts

Discussion in 'Trading Software' started by B.Willis, Mar 15, 2008.

  1. B.Willis



    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?
  2. 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.
  3. 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.
  4. B.Willis


    Thank you psytrade.
    I did not find any provider for daily and intraday data in this price range.
  5. No intraday available, but scarrtrading has continuous back adjusted contracts I do believe.
  6. Murray Ruggiero

    Murray Ruggiero Vendor

    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.