Continuous Spread File
Posted: Tue Jan 23, 2007 2:45 pm
Finally I did it, I had never been able to find anywhere a data provider that can give me a continuous spread file.
A lot of book tell us that when a spread go into inverted mode this is bullish, for the commodities at least, and I had seen and experiment a few of thoses. Sugar, Copper, Orange juice.
However I could not found any file that provided that, So I built a program that take the CSI database, and with the CSI API goes through all the contract and extract the spread beetween the two nearest contract, save that in a file that can then be loaded in TB.
I have program the rollover to the next set of two contract, when Contract Open Interest of the second contract is higher by 25% than the front month.
Here is an example file for Sugar.
THe field are :
Date = Date
Open = 0
High = Front Month COntract Close Price
Low = Second Front Month Contract Close Price
Close = Spread
Volume = Front Month Year+Month
Open Interest = Second Front Month Year + Month
0
0
Anybody have ever experiment with something like this as an indicator.
Denis
A lot of book tell us that when a spread go into inverted mode this is bullish, for the commodities at least, and I had seen and experiment a few of thoses. Sugar, Copper, Orange juice.
However I could not found any file that provided that, So I built a program that take the CSI database, and with the CSI API goes through all the contract and extract the spread beetween the two nearest contract, save that in a file that can then be loaded in TB.
I have program the rollover to the next set of two contract, when Contract Open Interest of the second contract is higher by 25% than the front month.
Here is an example file for Sugar.
THe field are :
Date = Date
Open = 0
High = Front Month COntract Close Price
Low = Second Front Month Contract Close Price
Close = Spread
Volume = Front Month Year+Month
Open Interest = Second Front Month Year + Month
0
0
Anybody have ever experiment with something like this as an indicator.
Denis