logo
Welcome Guest! To enable all features please Login or Register.

Notification

Icon
Error

Options
Go to last post Go to first unread
michael.colantoni  
#1 Posted : Monday, November 27, 2017 8:59:02 PM(UTC)
michael.colantoni

Rank: Newbie

Groups: Subscribers, Unverified Users
Joined: 10/8/2017(UTC)
Posts: 1
Location: Sydney

Thanks: 1 times

The code for this contract is YAP. The current contract is YAPZ7.

There seems to be continuous versions but not in OHLC format. They only have single daily data points.

I want a continous OHLC data file by joining sequential contracts on a volume traded basis. Otherwise, the code is unusable after each rollover to the new contract for weeks until sufficient new data points are available for the indicators I use.

How do I create this continuous contract?

MS Support  
#2 Posted : Monday, November 27, 2017 10:40:20 PM(UTC)
MS Support

Rank: Advanced Member

Groups: Moderators, Registered, Registered Users, Subscribers
Joined: 10/8/2010(UTC)
Posts: 1,411

Thanks: 33 times
Was thanked: 107 time(s) in 103 post(s)
Originally Posted by: michael.colantoni Go to Quoted Post

The code for this contract is YAP. The current contract is YAPZ7.

There seems to be continuous versions but not in OHLC format. They only have single daily data points.

I want a continous OHLC data file by joining sequential contracts on a volume traded basis. Otherwise, the code is unusable after each rollover to the new contract for weeks until sufficient new data points are available for the indicators I use.

How do I create this continuous contract?

Hi,

In this particular case, there appear to be 3 RICs that would probably work for you:

YAPcm1 (rolls to next serial month)

YAPcv1 (rolls to most active month based on volume as opposed to rolling on expiration date)

YAPcvoi1 (rolls to most active month based on volume and open interest as opposed to rolling on expiration date)

I downloaded the data for all three and they appear to be pretty close to one another, but they eliminate the flat bars due to people moving out of the contract prior to expiration.

thanks 1 user thanked MS Support for this useful post.
michael.colantoni on 11/27/2017(UTC)
Users browsing this topic
Forum Jump  
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.