Continuation contracts: "1!" function...

[agebhardt]

It is possible to look at futures contracts as an index. In essence eliminating the need to roll each expiry and look at the continuation chart. This is done by swapping the month call to a generic "1!" call. I.e. GB U5-DT become GB 1!-DT.

The problem is that I cannot find a way to download data into Globalserver for this style of contract. Naturally when you ask for the data source (DBC Online) for a symbol list it doesn't feature.

I have tried creating my own symbol, with the correct root and trading name. In the performance tag it shows a symbol connected (its the only symbol I have) and data being updated.

Yet if I try and dbl click on the symbol it tells me I have entered an invalid date, and of course Tradestation tells me that no data is available.

Any ideas...

Thanks in advance...

Andrew.

[ACM]

Andrew
Are you using 1! as the month/year code in your symbols?
If that is the case then you cannot do that since those continuous contract symbols are created at client software level and not server level and are not available to third party products
Alex

[agebhardt]

I see...so there is effectively no way for me to make a continuation chart in Tradestation using data from eSignal?

The strange thing is that when I use the "Download from eSignal" function in Globalserver it is definitely downloading data...I can see the date requests and the data bar taking on information.

Hmmm...it does seem that there could be a workaround...how else do people run backtesting for their systems?

Thanks....

Andrew.

[ACM]

Andrew

so there is effectively no way for me to make a continuation chart in Tradestation using data from eSignal?

You can create continuous contracts just not with that symbol configuration.
You do it by simply stitching contracts together in GlobalServer. First set the expiration of the specific contract to No Expiry (Pattern 81) and then change the symbols at every expiration.
To download historical data for symbols that are already expired you will need to use a different syntax for the symbols which is [root symbol] [month code][4 digit year code]-[exchange (if applicable)]. For example to download data for March 2005 Bund you would use GB H2005-DT
Alex

[agebhardt]

I'm having a bit of a "blonde" moment here...

-I have tried creating a long expired contract (Dec04) setting that as (pattern81) and downloading the history. It didn't work.

-If I understand correctly I should do the following:

(Current month is Sep05)

create the current symbol (GB U5-DT)
set the expiry to Pattern 81

All this appears completely self explanatory, now I do not quite grasp how the historical data is concatenated.

Are you suggesting I change (GB U5-DT) to (GB M5-DT) June 2005 expiry download the history between the dates of the previous expiry month (Dec2004) and the June expiry. Then change the name again and do this for the previous month?

Sorry about the hassle, I really appreciate the help.

Andrew.

[ACM]

Andrew

create the current symbol (GB U5-DT)
set the expiry to Pattern 81

Correct

Are you suggesting I change (GB U5-DT) to (GB M5-DT

That is correct.
In GlobalServer you replace the Trading Name GB U5-DT with GB M5-DT In this specific case since we are still in the month of June you can use GB M5-DT as the symbol. This is because even though the contract is technically expired eSignal servers will not switch the syntax of the expired symbol until the end of June.
If you then want to download data for March 05 you will change the Trading Name in GlobalServer to GB H2005-DT. Then to download December 04 you use GB Z2004-DT, etc
Alex

[agebhardt]

Thanks for that, one last question. Do I have to change the download dates for the specific contracts?

I.E.:

GB U5-DT is the current....

I change it to GB M5-DT...

so I now download data from data from March expiry (10th March 2005) to the June expiry (10th June 2005/minus one day!) in "Download from eSignal"

Then I change the symbol to GB H5-DT and repeat?

Thanks.

Andrew.

[ACM]

Andrew
Yes. You need to provide Start and End dates so as to "fit" the downloaded data in its appropriate slot in the continuation series
Alex

PS. Then you change the symbol to GB H2005-DT and NOT GB H5-DT (see my prior replies regarding this)

[agebhardt]

Thanks Alex, doing this at the moment.