I want to create a continuous futures series, that is to eliminate a gap between two series.
First thing I want is to download all individual contracts from the beginning to the now, the syntax is always the same:
Quandl("CME/INSTRUMENT_MONTHCODE_YEAR")
1.INSTRUMENT is GC (gold) in this case
2.MONTHCODE is G J M Q V Z
3.YEAR is from 1975 to 2017 (the actual contract)
With the data, I start working from the last contract, in this case "CME/GCG1975" and with the next contract "CME/GCJ1975". Then I see the last 6 values (are the more recent because date is descending) of the first contract GCG1975
require(Quandl)
GCG1975 = Quandl("CME/GCG1975",order="asc", type="raw")
tail(GCG1975,6)
order can be asc desc (ascending or descending), type can be : raw (data frame) ts xts zoo
And it outputs:
Image: quandl-1.png = Last values of GCG1975
Then I just want the 6th row starting from the final, and I want to eliminate the columns "Last" "Change" (this could be before starting processing each individual contract):
Image: quandl-2.png = Last 6th value GCG1975
Then I want to find the row with date 1975-02-18 (last 6th value GCG1975) in the next contract (GCJ1975):
Image: quandl-3.png = 1975-02-18 on GCJ1975
Then I compute the difference between the "Settle" of the G contract and the "Settle" of the J contract.
Difference_contract = 183.6 - 185.4
Difference_contract = -1.8
So that means that the next or J contract is 1.5 points up respect the before contract so we have to sum -1.8 to all the following numbers of the J contract (Open, High, Low, Settle), including the row 1975-02-18. This:
Image: quandl-4.png = Differences between contracts
And then we have a continuous series like this:
Image: quandl-5.png = Continuous series
All this differences and sums to make a continuous series is done since the last contract until the actual contract.
I think I can't post this because I don't have 10 points of reputation and I can just post 2 image-links. Any guidance would help me, any question you have ask me.
Thanks and hope everything is well.
RTA
Edit: I have uploaded the photos and its links on post to my dropbox so you must look into it because Stackoverflow don't allow to post more than 2 links without 10 points of reputation.
Dropbox file
