Gold Futures Historical Prices - pezewehemave.web.fc2.com

Open topic with navigation. Using a continuous futures contract means that you will no longer have to roll or re-enter expired contracts.

Additionally, it allows you to chart the future across multiple expiries, and apply moving averages and other technical studies that aren't relevant with the limited life of a single monthly or quarterly contract.

Adding a continuous futures contract.

Generating normalized historical data series for Continuous Futures. Click in an empty row and enter the underlying symbol.

Hit enter, and select the futures contract from the list. The market data line for the future will also show the infinity sign.

Note that these continuous contracts are for market data only; orders on futures are not updated. If you select a non-continuous contract, the Automatic Futures Rollover feature if enabled will notify you that the contract is expiring.

A "continuous futures" contract represents a sequence of successively expiring lead futures contracts along with an associated interval during which each future is the lead. This allows us to construct a normalized historical data series for the contract.

View Futures Prices Term Structure

For example, we can construct a continuous futures contract for CL NYMEX using the following contracts:. The above list of sequential contracts shows the lead end dates when the particular contract stops being the lead contract and the next one takes over.

To generate a normalized historical data series for the above sequence, call CL MAY'15 as Contract A and CL APR'15 as Contract B. Then follow the steps below:.

Interactive Brokers Historical Data Downloader

Take the closing price of Contract B and Contract A on Multiply all Contract B data for and all prior dates by this ratio. This results in the adjusted time series of Contract B having the SAME closing price on as Contract A.

Repeat for prior months.