Dear All, Is it possible to create continuous futures contract from local data files. In summary this is what I would like to accomplish a) have individual futures contract files say AI - expiry May 28 2012 AII - expiry Jun 28 2012 AIII - expiry Jul 28 2012, b) I would to create a new chart 'Ac1' and data gets populated from individual contract files in the manner till May 28, OHLC from AI from May 29 to Jun 28, OHLC from AII from Jun 29 to Jul 28, OHLC from AIII. Any ideas / leads on how to do this are most welcome. Many thanks for the help and support Regards, SNVK

As a commercial solution, our futures data continuous contract generation tool allows you to specify this type of behaviour... For example, if we wanted to roll Crude Oil on the 14th of each month:



If we wanted more granular control of each individual roll, then we can do it contract-by-contract too:



Further product details of the data service are here: Norgate Futures Data Service. The continuous contract tool is provided with the data. A free trial is available.