Traders' Roundtable

According to CSI's tech support, creating an n-th month rolling series with fixed expiration dates does NOT work (i.e. it's a known bug, but there is no ETA for a fix...and it's been outstanding for literally months). In my experience, fixed expiration does actually seem to work for monthly contracts (e.g. CL) but not bi-monthly contracts (e.g. GC).

Does anyone know if the above is correct? Or does anyone know of a workaround (aside from 'get your data somewhere else', which is what I plan to do)?

I use fixed date rollovers in CSI UA, along with Backadjusted continuous contracts, and they work exactly as I expect. No problems at all. Sorry to hear they don't work on Nth Nearest continuous contracts.

Thanks for posting. I am not doing any back-adjustment.

My impression of CSI is that their data is good, but their service leaves a lot to be desired.