Originally Posted by: michael.colantoni

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.