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Direct MessagesDate/Time: Sat, 18 May 2024 23:42:43 +0000
Post From: chart anomaly?
| [2020-04-22 21:03:21] |
| User500078 - Posts: 2 |
|
Thank you for pointing me to the documentation for "Continuous Futures Contract - Date Rule Rollover, Back Adjusted." However, that documentation is unclear to me. Perhaps you can clear up some of the terminology used? In the third paragraph I assume "At the very first rollover in the chart..." means the oldest rollover, the one on the far left of the chart--for example, if I downloaded a daily historical chart for Oats (ZOK20) beginning with 1 Feb 2018 to the present time, the first rollover would be on the date the March 2018 contract transitions to the May 2018 contract. Is this correct? Then, the documentation states: "This total amount is the amount by which the prior contract is adjusted by." I have two questions. The first question is: which "prior contract" is being referred to? Keeping with the chart example above I infer it is the March 2018 contract. Is this correct (i.e., for that example)? My second question is about the term "adjusted by" and assuming my inferences above are correct: does the back adjustment made mean that all of the daily prices recorded for the trading days during the March 2018 contract are BUMPED UP OR DOWN by the total of the cumulative differences between opening prices for every rollover that occurred from March 2018 to the present? And given the same logic, would the back adjustment to the May 2018 contract daily prices be the same as that for the March contract, excepting the opening price difference between the March and May contracts on the day of that rollover? Thank you, Chazz B |