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Direct MessagesDate/Time: Tue, 07 May 2024 19:09:23 +0000
Post From: How long is the period for volume based back adjusted continuous contracts?
| [2018-11-12 20:17:43] |
| Programming_autotrading_phonesup - Posts: 59 |
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Is it possible you include an example calculation table in your help file where you Displaying Rollover Transition Times and Contract Months in a table with the previous contract Open price (CL-201712-NYMEX 11-15-2017 23:55 Open = xx.xx) and Next contract Open price (CL-201801-NYMEX 23:55 Open = xx.xx) , including the calculated back-adjusted roll-over price (CL-201712-NYMEX 23:55 Open = xx.xx [CB],) for a few rows of intraday data ? I looked at the CL-201712-NYMEX back-adjusted 15M intraday chart, next to the same CL-201712-NYMEX 15M none intraday chart and it seem that all the CL-201712-NYMEX back-adjusted pricing was back-adjusted, from each day, instead of just one particular bar at the roll-over day, session start time. Even the pricing 10 days earlier have been back-adjusted. Which I think is a good thing, but I'd like to better understand how this 'smoothening process' is done by being able to view an example table with formula. CL-201812-NYMEX [CBV] 15 Min #1 | CL-201711-NYMEX Open price on 2017-10-17 is 51.93. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201712-NYMEX Open price on 2017-10-17 is 52.2. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201711-NYMEX price difference to CL-201712-NYMEX is 0.27. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201712-NYMEX Open price on 2017-11-16 is 55.3. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201801-NYMEX Open price on 2017-11-16 is 55.51. | 2018-11-12 14:12:01 CL-201812-NYMEX [CBV] 15 Min #1 | CL-201712-NYMEX price difference to CL-201801-NYMEX is 0.21. | 2018-11-12 14:12:01 I think it would be helpful if there is an example calculation of a time-period (not just a single 5-minute bar) to clarify what happens at the roll-over period. I understand that when there is a rollover from one futures contract to the next, on the day of the rollover, the difference between the newer futures contract open price on that day and the prior futures contract open price on that same day is calculated. This is the back adjustment amount between those two contracts. What I saw is that this is applied on all the days of the back-adjusted period, not just the Roll-over day. But from your answer above, I understand this is only done on roll-over day itself. I am confused there. Especially when intraday data is involved. A table would help me visualize what happens and I hope you can add that to your documentation for further clarification. ( Continuous Futures Contract Charts: Understanding Back Adjusted Price Data and Comparisons ) |