FuturesDownloader supports Continuous Futures Contracts and Individual Future Contracts
FuturesDownloader allows you to download individual future contracts as well as continuous future contracts.
Individual futures contracts are valid only for a very short periods of time, and are therefore unsuitable for long-horizon analysis. Continuous futures contracts are solving this problem by chaining together a series of individual futures contracts, to provide a long-term price history that is suitable for trading, behavioral and strategy analysis.
In general there are two things that needs to be considered how the continuous future contracts are created:
- The date on which to splice together ("roll”) successive contracts
- The adjustment made to the raw contract prices
Roll Date Rules
FuturesDownloader supports several ways how the contracts get spliced together.
- On the last trading day of the expiring contract (end-to-end roll method). This method allows you to use the front contract for as long as possible. However you may face the risk that the activity has switched to the back contract prior to your roll.
- On the first day of the contract delivery month or on the contract end date, whichever is sooner (first-of-month roll method). It is used by most major data terminals as their default roll method. The advantage is that it is uniform across all contracts and completely predictable. On the other side, this method has limited connection with the underlying mechanics of the contract. It is connected neither to the contract's trading activity, nor to its specific delivery rules.
- On the first day that the back contract has a higher open interest than the front contract (open-interest-switch or liquidity-based roll method). It is used by most technical traders, especially in financial futures. By definition this roll rule offers the highest liquidity to traders. However, please note that it is completely inappropriate for interest rates futures, and should be used with care for energy and agriculture futures.
Price/Gap Adjustments Rules
Price adjustments are required to eliminate unseemly and error-inducing "jumps" in the continuous contract history, caused by discontinuities in the prices of successive underlying futures contracts. FuturesDownloader creates the continuous futures in two ways:
Backwards panama canal method (last-true method). Shift successive contracts up or down by a constant amount so as to eliminate jumps, working backwards from the current contract. The price of the current continuous contract will be "true" and match market prices.
23/3/2015 - June Lean Hogs - 69.950
23/3/2015 - April Lean Hogs - 62.525
Roll gap = + 7.425
FuturesDownloader will adjust all previous prices up by 7.425 points. This effectively "closes" the gap.
- No price adjustment: The prices you see are always actual transaction prices. However, there are discontinuous jumps in the long-term futures price history.