Question about the adjustment method of TB futures data

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marconi8232
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Question about the adjustment method of TB futures data

Post by marconi8232 » Tue Aug 30, 2011 10:45 am

Hi,

My question is about the free futures data provided at the TB website at
http://www.tradingblox.com/tradingblox/ ... l-data.htm

Could someone say to me how the back-adjusted futures data are made regarding the adjustment method (subtraction or division), the roll-day method and everything else which is known about it?
Thank you.

Eventhorizon
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Post by Eventhorizon » Tue Aug 30, 2011 12:13 pm

The roll method is detailed in the table on the download page.

The back-adjustment method is subtraction (there is a fixed difference between raw close and adjusted close for any given expiry, if it were a ratio adjusted series there would be a fixed ratio).

rhc
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Post by rhc » Tue Aug 30, 2011 6:09 pm


marconi8232
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Post by marconi8232 » Wed Aug 31, 2011 6:07 am

"The roll method is detailed in the table on the download page."

I see the following text:
"Continuous Contract rolling on Open Interest when-reported forcing roll on 7 days prior to expiration"
To be sincere I can't understand that. Can someone write the above text more clearly?
How are the contracts rolled? 7 days prior to expiration rolling would be clear, but how is Open Interest included in the rolling procedure?

drm7
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Post by drm7 » Wed Aug 31, 2011 7:55 am

I think you have it backwards - the contract rolls when open interest on the front month falls below the next month. If open interest isn't reported or front-month OI hasn't fallen below back month by 7 days prior to expiration, then the contract rolls automatically 7 seven days prior to expiration.

The 7 days is a fall-back point to roll.

marconi8232
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Post by marconi8232 » Wed Aug 31, 2011 8:22 am

It is now clear for me. Thank you very much to all of you!

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