Hello,

I am trying to understand how the new "Front Month back-adjusted history" (#C) data is set up and are wondering if someone could please explain to me what it is and how it is actually done.

For example as rollover condition:

- Is days of higher volume a part of the criteria?

- Or is it trading days prior to expiration date? And is this with any "Offset" value by prior month or months?

As back adjustment mode or method I am familiar with "Absolute Difference" and "Ratio adjustment".

Example:

- Absolute difference would be where the constant (С = C_next - C_prev; where C_prev – 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.

With ratio adjustment it would be that all data prior to the rollover point is multiplied on the ratio (C= C_next / C_prev). If the N contracts are rolled over then the data of the first contract is corrected N-1 times.

Or is neither method used?


If someone could explain how it is done with the #C I would appreciate it.

Thank you.

Best regards,
Laurentius


Edited by Laurentius on Nov 18, 2012 at 11:28 AM

the roll rules are listed in the symbol guide on our website for each contract. Just bring up the exchange you are interested in and look for the contract to see what rules we are using. It varies by market.

On the roll date, we adjust by the difference (absolute difference) in the close (Settlement) values for the current and next months contract. This "difference" is applied to all previous data for the #C historical data.

We don't currently provide a "most active" adjusted contract.

We also provide unadjusted contracts by just using the # (instead of #C) at the end of the root. Or, you can pull historical/exprired contracts and build your own continuous contract using the method that best fits your trading.

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Jay Froscheiser
Telvent DTN

Hello Jay,

Thank you very much for your reply and elaboration. Appreciate it.

Best regards,
Laurentius