Creating Nearest and 2nd_Nearest series in CSI

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trader20
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Creating Nearest and 2nd_Nearest series in CSI

Post by trader20 » Tue Oct 04, 2016 8:45 pm

I want to generate two CSI continuous contact series, “Nearest” and “2nd_Nearest”, such that for any given date, the price in “Nearest” corresponds to the near-expiring contact while the price in “2nd_Nearest” corresponds to the contract expiring after Nearest.

This is straightforward for markets with expiry cycles that are a fixed number of months apart, such as for Live Cattle. However, if the expiry months are not evenly spaced, for example as they are not with Corn, the requirement is not met; i.e. there are dates where the series’ overlap. (see attached spreadsheet)

Are there CSI roll parameters that will create “2nd_Nearest” such that there is no overlap between “Nearest” and “2nd_Nearest” for markets such as Corn?
Attachments
CSI series overlap.xlsx
(10.71 KiB) Downloaded 35 times

Josh Reed @ CSI
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Re: Creating Nearest and 2nd_Nearest series in CSI

Post by Josh Reed @ CSI » Wed Oct 05, 2016 8:38 am

Dear trader20,
You should be able to avoid this gap by rolling them Strictly by Trading Days Before Expiry.
Here are the results over the past year using a value of 4 trading days
( you may wish to use a larger value ).

412 C2_04X1N: 1st Nearest Futures Contract of Corn (Floor+Electronic Combined)-CBT
20150908, 201509, 354.25, 355.50, 351.00, 355.00, 344.00, 4757, 3661
20150909, 201512, 367.50, 372.50, 366.00, 369.00, 345.00, 148446, 759367

20151208, 201512, 369.00, 371.00, 367.25, 370.00, 365.50, 3115, 6411
20151209, 201603, 373.50, 379.25, 370.25, 373.75, 365.00, 179986, 718064

20160308, 201603, 355.00, 361.00, 354.25, 358.75, 350.00, 1194, 3165
20160309, 201605, 360.00, 361.50, 357.25, 359.50, 350.50, 159734, 667629

20160509, 201605, 379.50, 379.50, 367.00, 367.75, 353.00, 1035, 1714
20160510, 201607, 368.75, 386.00, 368.00, 381.00, 363.50, 270546, 641459

20160708, 201607, 337.25, 349.75, 336.75, 349.75, 335.00, 1160, 1046
20160711, 201609, 360.00, 360.75, 344.00, 348.25, 331.00, 97469, 539160

20160908, 201609, 322.00, 326.75, 321.50, 327.00, 316.00, 1477, 1900
20160909, 201612, 338.00, 342.00, 334.50, 341.00, 316.50, 146593, 767513

412 C2_04X2N: 2nd Nearest Futures Contract of Corn (Floor+Electronic Combined)-CBT
20150908, 201512, 364.75, 368.50, 364.00, 368.25, 344.00, 129776, 758327
20150909, 201603, 379.75, 383.75, 377.25, 380.25, 345.00, 49217, 220648

20151208, 201603, 373.25, 375.25, 372.50, 373.50, 365.50, 114580, 718414
20151209, 201605, 379.25, 384.75, 376.25, 379.25, 365.00, 39829, 186095

20160308, 201605, 358.50, 362.50, 356.00, 360.50, 350.00, 172933, 661841
20160309, 201607, 365.25, 366.50, 362.50, 364.50, 350.50, 45426, 313961

20160509, 201607, 378.25, 381.00, 368.25, 369.00, 353.00, 172172, 650138
20160510, 201609, 370.75, 387.25, 370.00, 382.75, 363.50, 59183, 233620

20160708, 201609, 343.00, 355.75, 342.00, 355.00, 335.00, 99203, 547785
20160711, 201612, 367.00, 368.00, 351.25, 355.50, 331.00, 174932, 516390

20160908, 201612, 333.50, 338.75, 332.50, 338.50, 316.00, 149368, 787018
20160909, 201703, 348.00, 352.25, 344.50, 351.50, 316.50, 39709, 229274

As you can observe here, the rolls are synchronized, with no gap.

With Best Regards,
Josh

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