Hi,
I am trying to build my own continuous contract builder. I have finished most the front end GUI and internal logic for reading just about any format of data from all the main venders.
I have been trying to find documents online on exactly how to achieve this task and the rules involved for building continuous contracts. I am a professional programmer and can code anything. I would appreciate any sources or help that would help me in this project.
I a interested in exact rules for:
Forward Adjusted
Backward Adjusted
Perpetual
and any other formats of splicing contracts?
Any help would be appreciated and I promise to send you the utility once its finished. This is for private use only.
Sources would be idea and can be in any programming language.
Thanks
CJ
Continuous Contracts for futures
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- Roundtable Knight
- Posts: 2038
- Joined: Wed Oct 06, 2004 10:52 am
- Location: San Marcos, CA
At the bottom on this page is the link to our Help file for our Continous Contract Data Builder. In that document you should find what you need for Back-Adjusted Continuous (Best for Long Term System Trading), and No-Adjusted Continuation files (Best for Chart Traders).
Forward-Adjusted contracts use the reverse logic of Back-Adjustment and I don't recommend them for System Trading. Perpetuals use a forward looking process that is too complicated to explain in this post, but you'll probably find a definition of what CSI Data is doing when they create them on their page.
Forward-Adjusted contracts use the reverse logic of Back-Adjustment and I don't recommend them for System Trading. Perpetuals use a forward looking process that is too complicated to explain in this post, but you'll probably find a definition of what CSI Data is doing when they create them on their page.
How did this work out? I am interested in programs that can back-adjust raw data. I recently purchased a bunch of raw historical data that is not back adjusted (and therefore of little value for testing).
Does anybody know of a program (the above mentioned or another) that can reliably back adjust raw commodity data?
Does anybody know of a program (the above mentioned or another) that can reliably back adjust raw commodity data?
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- Roundtable Knight
- Posts: 2038
- Joined: Wed Oct 06, 2004 10:52 am
- Location: San Marcos, CA
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- Contributor
- Posts: 2
- Joined: Sun Dec 26, 2004 9:05 am
Re: Continuous Contracts for futures
A friend of mine is a C++ developer and is trying all kinds of software. He has mentioned a tool called 'Tuner' a few times. Its downloadable from this forwarded link and I understood there is also a 2 week free trial:scalper wrote:Hi,
I am trying to build my own continuous contract builder. I have finished most the front end GUI and internal logic for reading just about any format of data from all the main venders.
I have been trying to find documents online on exactly how to achieve this task and the rules involved for building continuous contracts. I am a professional programmer and can code anything. I would appreciate any sources or help that would help me in this project.
I a interested in exact rules for:
Forward Adjusted
Backward Adjusted
Perpetual
and any other formats of splicing contracts?
Any help would be appreciated and I promise to send you the utility once its finished. This is for private use only.
Sources would be idea and can be in any programming language.
Thanks
CJ
http://download.strun.com/StrategyTuner ... vSetup.exe
Have fun.