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Direct MessagesDate/Time: Mon, 29 Apr 2024 17:03:03 +0000
Post From: Continuous future data for different months
| [2021-07-14 22:52:28] |
| Good Man - Posts: 5 |
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In order to back-test calendar spreads strategies it is necessary to use different continuous future time series, one for the front month, and others for the following months. This can be done with Trade Station or with other services such as Quandl/SCF https://www.quandl.com/databases/SCF. I have read the documentation (Continuous Futures Contract Charts) and it is written: "11. Make certain the Symbol is set to the current futures contract month assuming that you want the latest contract month at the end of the chart. If the Symbol is set to a further forward futures contract symbol that is not currently actively traded, then this can cause a problem with the construction of the chart." 1)What is meant by "current futures contract month"? 2)Are following (after front) months continuous futures supported? Based on the above it seems not, and I tried comparing to TradeStation data or Interactive Broker continuous future data, I get different data, suing the same rollover/adjustment rules. 3)The problem is that the notion of current month depends on the rollover method, and for example the most liquid corn future at the time of writing this post is December 21, not July 21, which is presumably what is meant by current month. 4)Can I download via API the expired/active future data to construct my own continuous future series for the different months(front and following)? In general, is there a way to make some API request of the historical data? 5) On the same page it is also written "As of January 1, 2021, the Continuous Futures Contract Chart feature is not supported when using Interactive Brokers, CQG, Rithmic, CTS, Gain Capital unless you are using one of the Sierra Chart Real-time Exchange Data Feeds with those services which will provide the necessary data for this feature. " I am interested in historical continuous futures data on exchanges not supported by Denali, but only CQG. The historical and continuous future data provided by SC is reliable for those exchanges? Thanks |