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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: SE who wrote (24733)	6/4/1999 4:42:00 PM
From: Brian Hornby	Respond to of 44573

Scott, Just increase the historic value of the contract by the difference of the new front contract less the old front contract for the opening of the rollover date. So on June 1 my provider moved to the September contract and uses those prices for the continuous symbol (SPXNC in their case) and you must add (opening SP9U-SP9M) to all the pre-June 1st data. If you haven't back-adjusted the data before, you must then go back and do this for every quarter historically... Brian