Support Board
Date/Time: Sun, 12 Jan 2025 13:47:00 +0000
Post From: continuous contracts - creating one continuous scid file
| [2017-02-22 19:02:40] |
| onnb - Posts: 662 |
|
We are loading a chart using the continuous contracts setting with one of the roll over methods. For historical loading / replay / bactesting purposes, is there a process or method we can follow to create a single file after it was stitched? I'm assuming it might be something like this? 1. Create the continuous chart 2. Export the intraday data - say I call this my ES_Continous symbol 3. Import the intrday data assuming that this would somehow create ES_Continous.scid The motivation behind this is that we have a study that reads and anaylyzes the scid files. When using continuous contracts, that study does not work for the older contracts. So we are looking to create one continous scid file and then load that - hope this makes sense |