Continuous Contracts and Rollover
Last updated
Last updated
Continuous contracts may be constructed by MotiveWave using historical data from expired contracts. This feature is particularly useful for brokers/data services that do not have a continuous contract option (such as CQG, Rithmic and GAIN Futures). The amount of historical data depends on the futures contracts and data available on the MotiveWave back fill server.
By default, continuous contract calculation is enabled. This can be configured globally in the General Preferences Dialog (Configure -> Preferences from the Console menu bar, see General -> General tab).
The following options are available for configuring continuous contracts:
The roll method determines how the dates for rolling from one contract to the previous contract are calculated.
None – If this is chosen then continuous contracts are disabled by default and only the historical data for the selected futures contract is displayed
Volume – The option will choose the roll date based on the daily volume for each futures contract. The roll date is chosen when the daily volume for the preceding contract exceeds that of the current contract.
The back adjust method determines how to adjust the historical data between each contract. The following options are available:
Unadjusted – This option will leave the historical data unchanged. Gaps will appear where the data rolls over to the next contract.
Difference Adjusted – Adjusts the data for the preceding contract using the difference between the daily opening prices on the roll date. Note: this difference is cumulative for each contract. For example, the third futures contract will be adjusted using the difference of roll date 1 + difference of roll date 2.
Ratio Adjusted – Adjusts the preceding contract using the ratio calculated from the daily opening prices on the roll date (ie OPEN(i)/OPEN(i-1)). Older contracts will be adjusted by multiplying the ratio by the adjustment ratio from the next roll over date
Continuous contracts settings may also be configured for each instrument (overriding the options in General Preferences) from the Edit Instrument dialog (right click on a chart and choose Edit Instrument).
This option is useful when the front contract for a futures contract changes. This feature will copy existing analysis files and optionally adjust the prices to the front contract. Open charts, watchlists and Depth of Market panels can also be updated to the new contract.
Right click on the chart and choose Roll to Next Contract to open the dialog.
The dialog in the screen shot below presents the options for rolling to the next contract:
Instrument – This field will default to the next contract. If you want to skip a contract (or migrate to a similar instrument) you can type the symbol or use the search button.
Adjust Method – Use this field to adjust the prices for each of the components in the analysis. This has the following options:
Volume Adjusted – Automatically calculates the price adjustment by analyzing the volume between the contracts.
Unadjusted – No price adjust is made
Specific Amount – Enter a specific amout for the price adjustment
Roll All Charts/DOMs/Time Sales – Updates the symbol for any open charts, Depth of Market panels or Time & Sales panels
Roll All Watch Lists – Looks for all occurences of the symbol in watch lists (or quote sheets) and replaces them with the new symbol.
Roll Instrument Settings – Will roll the historical instrument settings and options under the Advanced tab (see Edit Instrument dialog).
