Software to construct a continuous contract?

Discussion in 'Automated Trading' started by dyson, Feb 23, 2012.

  1. dyson

    dyson

    Anyone know of a software program that will stitch together individual futures contracts into a continuous contract for backtesting? Thanks
     
  2. Yes. I know. Question answered.

    Note: you definitely want a database of daily information (ohlcvi) so you can easily plan which contract to use from which day.
     
  3. dyson

    dyson

    I already have text files with OHLCVOI for the individual contract months. I am looking for software to automate the joining of the files together into a continuous contract.
     
  4. That is not what you asked. Sorry, I don't know any prebuild software for that ;(
     
  5. cashcow

    cashcow

    Any software which does this generally does it incorrectly. From experience you may spend ages and find software and will then be very disappointed by the results. Best bet is to learn to program and write a bit of code, or pay someone to write some code which creates continuous contracts exactly the way you require.
     
  6. dyson

    dyson

    That was my question "Anyone know of a software program that will stitch together individual futures contracts into a continuous contract for backtesting?"
     
  7. dyson

    dyson

    I was afraid of that. My previous searches did not find anything useful.
     
  8. Ridu

    Ridu

  9. cashcow

    cashcow

    CSI has very good data - unfortunately it is limited to daily data though. I think the question was to process an existing data series, as opposed to software that gives you an adjusted series. Many of the charting/data apps including CSI, CQG and eSignal have varying degrees of creating a chained series.
     
  10. dyson

    dyson

    Thanks, I have used CSI in the past. I should have mentioned my data files are intraday (1 min). CSI is end-of-day only.
     
    #10     Feb 26, 2012