Support Board
Date/Time: Sat, 11 Jan 2025 16:54:14 +0000
Post From: Problem with volume-based rollover
| [2016-11-23 20:50:32] |
| skelcap - Posts: 139 |
|
Ok, also in Sugar you have: - SBV12 rolls off 9/9/2012 but next contract SBH13.scid no data until 9/27/2012 - SBV10 rolls off 9/8/2010 but next contract SBH11.scid no data until 9/27/2010 There are a bunch of other symbols which have the same problem, i.e. I agree with the volume-based roll date but the new contract data doesn't start until days after the roll date: - COIL (Brent Crude) - RB (RBOB Gasoline) - GE (Eurodollar) - CGB (Canada 10y Bond) - VIX - GC (Gold) - AUD (Aussie Dollar) - ZW (Wheat) - ZM (Soybean Meal) - ZL (Soybean Oil) - KC (Coffee - need more of this) - HO (Heating Oil) Most of those I was able to get the missing data by downloading each contract individually without specifying rollover. But there's a couple where it seems you don't have the data: - A6Z10 (Australian Dollar) rolls off 12/10/2010 but next contract A6H11.scid doesn't start until 1/3/2011 so you're missing 3-4 weeks of data. - GCQ10 (Gold) rolls off 7/29/2010 but next car GCZ10.scid starts 9/29/2010 so 2 months missing. |