Custom Futures: Difference between revisions
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===Adding expired contracts to the database=== | ===Adding expired contracts to the database=== | ||
Some data feeds provide data for expired contracts | Some data feeds provide data for expired contracts. Expired contracts may not be available through the lookup window, such contracts should be added manually. | ||
See [[Operating Symbol List#Adding Symbol(s) to Symbol List|Adding Symbol(s) to Symbol List]] section for more information. | See [[Operating Symbol List#Adding Symbol(s) to Symbol List|Adding Symbol(s) to Symbol List]] section for more information. | ||
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# Select the symbol root. | # Select the symbol root. | ||
# Select contracts to use (if they are specified incorrectly in Symbol Dictionary Settings) by clicking on the check boxes. | # Select contracts to use (if they are specified incorrectly in Symbol Dictionary Settings) by clicking on the check boxes. | ||
# Build continuous futures contract on.<br>To define the serial number of the contract on which the Custom Futures series is based select one of the available options in the box: Nearest contract, 2nd nearest contract, N nearest contract.<br>While building a Custom Futures “N” Nearest contract will be taken for each moment of time. Algorithm of choosing the rollover date | # Build continuous futures contract on.<br>To define the serial number of the contract on which the Custom Futures series is based select one of the available options in the box: Nearest contract, 2nd nearest contract, N nearest contract.<br>While building a Custom Futures “N” Nearest contract will be taken for each moment of time. | ||
=== Algorithm of choosing the rollover date === | |||
'''Event (Volume and/or Open Interest)'''<br>When day (Event) rollover is selected, e.g. the next contract’s Daily bar volume (Days of Higher) was higher than the Volume of previous bar for the specified number of days (1-9).<br>To select the event condition click '''Event'''<br>To define the rollover condition, select one of the available options in the '''Days of Higher''' box: Volume, Open interest, Open Interest or Volume, Open Interest and Volume.<br><br>'''Time (certain date)'''<br>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.<br>To select time condition click '''Time'''. In the '''Offset by Months prior''' box, enter the number of months.<br><br> | |||
# '''Back adjustment mode'''<br>To define the back adjustment mode, in the '''Back Adjustment Mode''' box select one of the available options: no adjustment, absolute difference, ratio.<br> | # '''Back adjustment mode'''<br>To define the back adjustment mode, in the '''Back Adjustment Mode''' box select one of the available options: no adjustment, absolute difference, ratio.<br> | ||
#* '''No Adjustment''' - the bars of each series in use are not changed.<br> | #* '''No Adjustment''' - the bars of each series in use are not changed.<br> |