Support Board
Date/Time: Sat, 23 Nov 2024 14:36:34 +0000
Post From: SC Continuous Futures Data
| [2013-07-03 17:47:10] |
| gkm - Posts: 15 |
|
There is an issue with the approach being used to provide continuous futures data intraday, and therefore possibly daily EOD as well. For example, the data for CC# shows the price today based on the July cash futures contract of 2250 for which there were 3 contracts traded. The data collected for a continuous futures contract should be based on the nearest futures month from the point in time when the volume of that contract exceeds the prompt month. For example in the case of CC#, the Sept contract has 19,000 contracts traded today. The continuous futures price should be based in this case on the Sept price, and likely should have been based on it some time ago. I'm not sure if this is SC's own issue or needs to be communicated to the data provider. Based on this, SC should also confirm that the daily EOD data is properly constructed as outlined above. If not, it needs to be fixed and the daily historical data needs to be recompiled to ensure accuracy for all continuous futures contracts. I noticed there is a similar issue in ZC# recently and I suspect this is the problem. July traded 2900 contracts today and Sept 58000. Pricing should be Sept. |