Rank: Newbie
Groups: Registered, Registered Users
Joined: 5/14/2006(UTC)
Posts: 4
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Hello all,
may I have please your assistance in a problem that I have?
I use ver. 11 professional and I have intraday data for a contract and for 6 different periods.I mean,the four periods of 2009 and for the first and second period (3 months period) of 2010.Of course,the current period is still in progress.
What I want is to combine those data in a single chart,I mean I want to have a continuous contract chart.Is that possible and how can I achieve it?
Thanks a lot
A.A
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 4/5/2006(UTC)
Posts: 129
Location: Norgate Data
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Use "The Downloader" to merge data from one file to another to create a continuous contract. You may also want to do some adjustment to remove the roll gap too. You may also want to figure out what dates/time you want to roll from one delivery to the next as often the contract either becomes a) deliverable or b) illiquid before it actually expires.
We have an article on continous contracts here uses end-of-day daily data examples, but is still applicable to intraday data:
http://www.premiumdata.net/support/futurescontinuous.php
Note: Good data vendors should already give you the mechanism to roll from one delivery to another in chart form anyway.
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 5/14/2006(UTC)
Posts: 4
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Thanks a lot Richard.Much appreciated....
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