I want to generate two CSI continuous contact series, “Nearest” and “2nd_Nearest”, such that for any given date, the price in “Nearest” corresponds to the near-expiring contact while the price in “2nd_Nearest” corresponds to the contract expiring after Nearest.
This is straightforward for markets with expiry cycles that are a fixed number of months apart, such as for Live Cattle. However, if the expiry months are not evenly spaced, for example as they are not with Corn, the requirement is not met; i.e. there are dates where the series’ overlap. (see attached spreadsheet)
Are there CSI roll parameters that will create “2nd_Nearest” such that there is no overlap between “Nearest” and “2nd_Nearest” for markets such as Corn?
Creating Nearest and 2nd_Nearest series in CSI
Creating Nearest and 2nd_Nearest series in CSI
- Attachments
-
- CSI series overlap.xlsx
- (10.71 KiB) Downloaded 347 times
-
- Full Member
- Posts: 13
- Joined: Mon Mar 07, 2011 1:03 pm
Re: Creating Nearest and 2nd_Nearest series in CSI
Dear trader20,
You should be able to avoid this gap by rolling them Strictly by Trading Days Before Expiry.
Here are the results over the past year using a value of 4 trading days
( you may wish to use a larger value ).
412 C2_04X1N: 1st Nearest Futures Contract of Corn (Floor+Electronic Combined)-CBT
20150908, 201509, 354.25, 355.50, 351.00, 355.00, 344.00, 4757, 3661
20150909, 201512, 367.50, 372.50, 366.00, 369.00, 345.00, 148446, 759367
20151208, 201512, 369.00, 371.00, 367.25, 370.00, 365.50, 3115, 6411
20151209, 201603, 373.50, 379.25, 370.25, 373.75, 365.00, 179986, 718064
20160308, 201603, 355.00, 361.00, 354.25, 358.75, 350.00, 1194, 3165
20160309, 201605, 360.00, 361.50, 357.25, 359.50, 350.50, 159734, 667629
20160509, 201605, 379.50, 379.50, 367.00, 367.75, 353.00, 1035, 1714
20160510, 201607, 368.75, 386.00, 368.00, 381.00, 363.50, 270546, 641459
20160708, 201607, 337.25, 349.75, 336.75, 349.75, 335.00, 1160, 1046
20160711, 201609, 360.00, 360.75, 344.00, 348.25, 331.00, 97469, 539160
20160908, 201609, 322.00, 326.75, 321.50, 327.00, 316.00, 1477, 1900
20160909, 201612, 338.00, 342.00, 334.50, 341.00, 316.50, 146593, 767513
412 C2_04X2N: 2nd Nearest Futures Contract of Corn (Floor+Electronic Combined)-CBT
20150908, 201512, 364.75, 368.50, 364.00, 368.25, 344.00, 129776, 758327
20150909, 201603, 379.75, 383.75, 377.25, 380.25, 345.00, 49217, 220648
20151208, 201603, 373.25, 375.25, 372.50, 373.50, 365.50, 114580, 718414
20151209, 201605, 379.25, 384.75, 376.25, 379.25, 365.00, 39829, 186095
20160308, 201605, 358.50, 362.50, 356.00, 360.50, 350.00, 172933, 661841
20160309, 201607, 365.25, 366.50, 362.50, 364.50, 350.50, 45426, 313961
20160509, 201607, 378.25, 381.00, 368.25, 369.00, 353.00, 172172, 650138
20160510, 201609, 370.75, 387.25, 370.00, 382.75, 363.50, 59183, 233620
20160708, 201609, 343.00, 355.75, 342.00, 355.00, 335.00, 99203, 547785
20160711, 201612, 367.00, 368.00, 351.25, 355.50, 331.00, 174932, 516390
20160908, 201612, 333.50, 338.75, 332.50, 338.50, 316.00, 149368, 787018
20160909, 201703, 348.00, 352.25, 344.50, 351.50, 316.50, 39709, 229274
As you can observe here, the rolls are synchronized, with no gap.
With Best Regards,
Josh
You should be able to avoid this gap by rolling them Strictly by Trading Days Before Expiry.
Here are the results over the past year using a value of 4 trading days
( you may wish to use a larger value ).
412 C2_04X1N: 1st Nearest Futures Contract of Corn (Floor+Electronic Combined)-CBT
20150908, 201509, 354.25, 355.50, 351.00, 355.00, 344.00, 4757, 3661
20150909, 201512, 367.50, 372.50, 366.00, 369.00, 345.00, 148446, 759367
20151208, 201512, 369.00, 371.00, 367.25, 370.00, 365.50, 3115, 6411
20151209, 201603, 373.50, 379.25, 370.25, 373.75, 365.00, 179986, 718064
20160308, 201603, 355.00, 361.00, 354.25, 358.75, 350.00, 1194, 3165
20160309, 201605, 360.00, 361.50, 357.25, 359.50, 350.50, 159734, 667629
20160509, 201605, 379.50, 379.50, 367.00, 367.75, 353.00, 1035, 1714
20160510, 201607, 368.75, 386.00, 368.00, 381.00, 363.50, 270546, 641459
20160708, 201607, 337.25, 349.75, 336.75, 349.75, 335.00, 1160, 1046
20160711, 201609, 360.00, 360.75, 344.00, 348.25, 331.00, 97469, 539160
20160908, 201609, 322.00, 326.75, 321.50, 327.00, 316.00, 1477, 1900
20160909, 201612, 338.00, 342.00, 334.50, 341.00, 316.50, 146593, 767513
412 C2_04X2N: 2nd Nearest Futures Contract of Corn (Floor+Electronic Combined)-CBT
20150908, 201512, 364.75, 368.50, 364.00, 368.25, 344.00, 129776, 758327
20150909, 201603, 379.75, 383.75, 377.25, 380.25, 345.00, 49217, 220648
20151208, 201603, 373.25, 375.25, 372.50, 373.50, 365.50, 114580, 718414
20151209, 201605, 379.25, 384.75, 376.25, 379.25, 365.00, 39829, 186095
20160308, 201605, 358.50, 362.50, 356.00, 360.50, 350.00, 172933, 661841
20160309, 201607, 365.25, 366.50, 362.50, 364.50, 350.50, 45426, 313961
20160509, 201607, 378.25, 381.00, 368.25, 369.00, 353.00, 172172, 650138
20160510, 201609, 370.75, 387.25, 370.00, 382.75, 363.50, 59183, 233620
20160708, 201609, 343.00, 355.75, 342.00, 355.00, 335.00, 99203, 547785
20160711, 201612, 367.00, 368.00, 351.25, 355.50, 331.00, 174932, 516390
20160908, 201612, 333.50, 338.75, 332.50, 338.50, 316.00, 149368, 787018
20160909, 201703, 348.00, 352.25, 344.50, 351.50, 316.50, 39709, 229274
As you can observe here, the rolls are synchronized, with no gap.
With Best Regards,
Josh