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Date/Time: Fri, 26 Apr 2024 23:54:05 +0000



Question about Continuous Futures Contracts

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[2014-08-06 10:28:51]
Sierra Chart Engineering - Posts: 104368
hi, im considering your service. I seek historical data for several commonly traded futures like CL, ES and so forth. I trying to back test. I switch months based on open interest. i believe the way you adjust the price at the change of month makes your continuous contract more accurate. can you explain more on this. Also, when i switch month, ideally I'd like to see a couple of prior weeks daily data of the new month. in other words, if I'm short at the transition day, I may or may not be short on the new month , it depends on the prior 2 weeks of the new month.

ideally, I dont want a continuous contract, ideally I want all the history of each front month so i can manage my own transitions but i cant find a service that provides all the months history. so i'm left with continuous contracts but it seems your service goes further to provide meaningfull data. appreciate the help.

Sierra Chart will meet your requirements. You will want to use a Sierra Chart Historical Data Service:
http://www.sierrachart.com/index.php?page=doc/SierraChartHistoricalData.html

It provides historical daily data going back many years for futures.


You will want to use the Continuous Futures Contract feature. It is fully documented here including how the back adjustments are done:
https://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html

You can control the transition date from one contract to another by adjusting the Rollover settings in the Global Symbol Settings for the symbols :
https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php



Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2014-08-06 10:29:31

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