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minutes in the respective fields.
DATA ADJUSTMENT
User
User--defined contracts are constructed by mathematical concatenation of
price histories of single contracts. This is done to avoid the so
so--called
rollover gaps, price differences between the expiring and the new
contracts. However, this may result in side effects like extreme price
divergence in past histories of continuous contracts as compared to the
originally traded contracts. Choose the data adjustment method depending
on your preferences or to avoid certain side effects.
DATA ADJUSTMENT METHOD
No Adjustment - The data of the contracts is simply concatenated without
further adjustments. This results in a large price gap at each rollover date.
However, the advantage is that even histories in the distant past still show
the real traded prices.
Data Adjustment
Backward Adjustment - The history of the expiring contract is adjusted to the price of the next contract, i.e. either raised or
lowered. For each additionally concatenated contract, the complete past history is adjusted this way. Therefore, the resulting data
for the distant past is very different from the actually traded prices. It is also possibly to receive negative (nonsensical) values in the
process.
Forward Adjustment - The history of the new contract is adjusted to the price of the expiring contract.
Proportional Adjustment - For this, the complete history is calculated anew. All past prices are multiplied with the ratio of the
input fields (see below). This way, no negative values can result since the values are multiplied instead of subtracted.
FIELDS WITH WHICH TO CALCULATE THE ADJUSTMENT
Select which fields the chosen adjustment method should be based on.
Closing price of both contracts - The calculation is based on the closing prices.
Open of new contract; Close of expiring contract - The calculation is based on the close of the expiring and the open of the
new contract.
Opening price of both contracts - The calculation is based on the opening prices.
Average price of both contracts - The calculation is based on an average, namely (Highest High + Lowest Low / 2) of both
contracts.
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