OG1
Active member
- Joined
- Mar 27, 2022
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Hi all. I am trying some back-adjusting today for the futures roll. In Preferences/Historical Data I have the settings set to Roll Method 6 days before expiry and difference adjusted with Back Fill Enabled. Strangely, the data in the contract I am rolling from is higher than the data I am rolling to. It subtracted 32 points for each high and low. See the high of 12/13/22 on previous contract at 4180, and on the upcoming contract it is 4138. This is the opposite of what I was hoping to see.
I then tried again, and did everything the same except chose 8 days before expiry. That gave me the 36.25 point difference I was looking for added on all data in the previous contract, but only in that contract. I notice that the back-adjust only adjusted the previous contract, and none of the data on any contracts prior to that. So all data 12/5/22 and before remains exactly the same on both contracts. Is this normal? I would have thought it would have back-adjusted all previous data?
Thanks for your insights
I then tried again, and did everything the same except chose 8 days before expiry. That gave me the 36.25 point difference I was looking for added on all data in the previous contract, but only in that contract. I notice that the back-adjust only adjusted the previous contract, and none of the data on any contracts prior to that. So all data 12/5/22 and before remains exactly the same on both contracts. Is this normal? I would have thought it would have back-adjusted all previous data?
Thanks for your insights