Backadjusted continuous contract

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flyscalper
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Backadjusted continuous contract

Postby flyscalper » 20 Feb 2012

Hello,

I am runnig a system that needs to be plotted on a backadjusted continuous futures (6E) contract, but I am new to MC and I can not see how to build it. My datafeed is Zen Fire.

Un saludo,

Pablo

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Henry MultiСharts
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Re: Backadjusted continuous contract

Postby Henry MultiСharts » 21 Feb 2012

Hello Pablo,

The procedure of creating a Custom Futures symbol consists of multiple steps.
1) Adding symbols to the data base.
Separate futures contracts should be added to the database prior to creating a Custom Futures symbol. Creating a Custom Futures will not add the necessary futures. Individual contracts should contain or be able to obtain the data in order to create a Custom Futures data series.

2) Adding symbol roots to the dictionary.
For every data provider, which is not in the Symbol Dictionary list in the Quote Manager symbol roots should be added to the Default symbol dictionary.

3) To create a Custom Futures symbol:
1. In the main MultiCharts menu select File, then point to New and click Quote manager Window.
2. Select Instrument.
3. Then click Add custom futures.
4. Select the data source.
5. Input the symbol name.
6. Select the symbol root.
7. Select contracts to use (if they are specified incorrectly by the symbol root in use) by clicking on the check boxes.

8. Build continuous futures contract on.
Build continuous futures contract on – defines the serial number of the contract on which the Custom Futures series is based.
For example:
Build date is 03/11/2012
ESH2 – Nearest contract,
ESM2 – 2nd Nearest Contract,
ESU2 – 3rd Nearest contract,
ESZ2 – 4th Nearest contract.
Building !ES_201C0^HMUZ Custom Futures (ES root, rollover on 03/09/2012, based on the 2nd nearest contract, i.e. 5 trading days before expiration (3rd Friday of the contract month, 03/16/2012, Absolute Difference back adjustment mode) to plot the data series for 03/11/2012 – ESM2 data series will be used, despite the fact trading was more active on ESH2.

9. Algorithm of choosing the rollover date
When day (Event) rollover is selected – (for ex.) the next contract’s Daily bar volume (Days of Higher) was higher than the Volume of previous bar for the specified amount of days (1-9).
When Time rollover is selected – the transition from the previous contract to the next contract is done on the day defined by displacement into the past from the expiration date for the specified value 0 – 99 of trading days (Trading Days Prior to Expiration Date). An additional displacement can be set for the value up to 9 months into the past using the Offset, i.e. the rollover date is the date obtained by displacement into the past from the Expiration Date for Offset of months and prior trading days.

10. Back adjustment mode.

No Adjustment - the bars of each series in use are not changed.
Absolute Difference - constant (С = Cnext - Cprev; where Cprev – close of the last bar before the rollover point) is added to all data prior to the rollover date. The data of the last series is not corrected as there was no rollover for it yet.
If the N contracts are rolled over then the data of the first contract is corrected N-1 times.
Ratio adjustment - all data prior to the rollover point is multiplied on the ratio (C= Cnext / Cprev).
If the N contracts are rolled over then the data of the first contract is corrected N-1 times.

11. Set the Settings and Sessions tabs of Custom Futures up the same way as for individual contracts.
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flyscalper
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Re: Backadjusted continuous contract

Postby flyscalper » 22 Feb 2012

Henry,

I see you point, but I am still not able to build it.

When I try to add the 2011 6E symbols, I only get the 2012 ones (see attachment). I have tried to add them manually but it does not work either.

Could you explain me further what I am doing wrong?

Thanks in advance.

Pablo
Attachments
Greenshot_2012-02-22_20-33-29.jpg
Greenshot_2012-02-22_20-33-29.jpg (41.5 KiB) Viewed 138 times

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Henry MultiСharts
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Re: Backadjusted continuous contract

Postby Henry MultiСharts » 23 Feb 2012

You need to add the symbols manually or add them from the data source and rename into historical contracts.
Please keep in mind that Zenfire provides limited amount of historical data:tick-by-tick for the last trading session, minute bars 5 month back, daily bars constructed out of minute bars.


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