Using custom/constant maturity Bloomberg tickers in MC

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pfin
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Joined: 26 Oct 2012

Using custom/constant maturity Bloomberg tickers in MC

Postby pfin » 28 Oct 2012

I am new to MC and was wondering if there anyway to use custom index or constant maturities futures data in bloomberg in MC? IE USA or US1 instead of USZ2 Comdty. The terminal enables you to program in roll logic and produce reasonable constant maturity histories going back pretty far- I have found MC needs to populate the individual tickers and they might no longer be available in a lookup due to a roll. Also, have anyone been able to graph rate data (Say USSW10 Curncy)?

Thanks

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Andrew MultiCharts
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Re: Using custom/constant maturity Bloomberg tickers in MC

Postby Andrew MultiCharts » 29 Oct 2012

Hello Pfin,

As far as i know such custom contract is called "generic rolling futures contract" available in Bloomberg terminal. it seems to be a custom instrument created by the Bloomberg terminal (software), so it is available only in that software. However, our platform provides identical solution: you can create custom continuous futures instrument in QuoteManager and be able to plot expired contracts data combined with the front month and its real-time data as a solid data series on chart.

When you try to add a symbol through symbol lookup, the information is requested from Bloomberg API. As you can see, it doesn't return any expired contracts (individual quarterly ones for ES), it returns only current and forward contracts.However there is a trick. You can add ESH3 that is ES March 2012 and change its name to ESH2 (not provided through symbol lookup) so it would be ES March 2012. And then the data can be received in MC.


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