Support Board
Date/Time: Sun, 11 Oct 2026 23:57:28 +0000
Post From: Add a new back adjustment for continuous futures contracts
| [2026-09-08 07:39:36] |
| User899259 - Posts: 6 |
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Just occurred to me there is an edge case that may come up. If there is a negative price on the roll, it will render the series meaningless. I did check, and no mainstream contract has ever turned negative before either a volume or a OI based roll (WTI turning negative was on the penultimate day of the contract when volume and OI had moved to the next month days ago). Negative prices do occur for the much less liquid contracts but I don't think SC even has the symbols for most of those. In cases where price does become negative, a work around could be an additive fallback for that specific roll, so instead of multiplying by the ratio, just use the current additive method for that specific roll. I am not asking for this to be included but just letting you know there is an edge case (highly unlikely) that could be problematic. |