Continuous Spread File

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Roundtable Knight
Roundtable Knight
Posts: 338
Joined: Sun Jan 15, 2006 11:07 pm
Location: Montreal, Canada

Continuous Spread File

Post by ratio » 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

Anybody have ever experiment with something like this as an indicator.

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