Continous Futures Contracts with Back-Adjustment

Currently the contract roll-over for US indices contracts from Sep-23 to Dec-23 takes place. The price difference between both expiration months is quite high as shown in the following table:

The already available continuous contracts in ATAS (with prefix #) link these contracts after the first day of higher volume in the new contract, i.e. after closing of 11/09/2023. This un-adjusted chaining of contracts leads to a big price gap which corrupts any charts of the #-contracts,I.e. any (Volume-) or Pivot-Level Analysis in #-contract is currently totally misleading in my opinion.

(left: Z3 contract, right: Cont. contract)

Proposal: Introduction of a second version of continuous contracts (e.g. with prefix +) with difference-adjusted historical prices for the old contracts as it is available in other charting platforms (SierraCharts, MotiveWave, NinjaTrader).

The best possibility would be -in my opinion- to use the price difference of the daily mid-prices of the last active day of the old contract. In the table above this would be for ES:
((4543,50+4508,75,25)/2) - (4493,50+4459,25)/2 = 49,75 (rounded to the nearest tick if necessary).
This means all historical data until EoD 11/09/2023 should be increased by 49,75 points in order to adjust the price gap to the December contract. This process would be necessary for each roll-over historically and in the future. I assume it should be easier to process this on the data servers of ATAS, this would avoid any programming work in the client software.

Type @ to mention posts
Проголосовавшие
Статус

In review

Категория

💡 Feature Request

Дата

7 месяцев назад

Автор

Joerg

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