Calendar spread: Nov 2013 vs Dec 2013 [+1.75]

Calendar spread: Oct 2013 vs Nov 2013 [+1.25]

Calendar spread: Sep 2013 vs Oct 2013 [+1.25]

Calendar spread: Aug 2013 vs Sep 2013 [+1.25]

How to join historical data from expired contracts by rollover

1. Download the oldest contract you intend to use.

2. Make shure that the symbol and data for the next contract symbol is free. If not, delete the symbol with data. Roll over to the next consecutive contract symbol by right clicking directly on the symbol in a quote page and choose Rollover Future and fill in the symbol for the next contract month. Now there should be data for a particular contract under the name of the next consecutive contract. 

3. Download data for the new contract beginning at rollover date (i.e. for monthly contracts two regular trading days before previous expiration). It's very important to restrict the download backwards in time to prevent data of the previous contract from being overwritten.

4. Equalize the data by using the split function (File-Functions...-Adjust for Splits). Enter the real closing price for the previous contract at rollover date in the first box under Split Ratio and the adjusted closing price in the second box and make shure the Calendar Spread Adjustment button is checked. Adjustment for calendar spread can be made at any time later as long as the rollover time and date is known or rule consistent. Most convinient and fail safe at this point could be to download the previous contract again in order to calculate the calendar spread and then adjust the calendar spread before rolling o to the next contract.
5. Repeat the procedure (2-4) until current rolling.

Calendar spread: Jul 2013 vs Aug 2013 [0.75]

Calendar spread: Jun 2013 vs Jul 2013 [1.00]

Download schedule setup

To compensate for the current eSignal issue with delayed start time of tick-stream <OMF streaming data issues (Nasdaq OMX Stockholm futures)> a schedule can easily be created for automatic download of tick-data every minute. Enter the Object Manager (Alt+O):

Select New Schedule and put in parameters as below:

Calendar spread: May 2013 vs Jun 2013 [-1.25]

True calendar spread: Apr 2013 vs May 2013 [-15.75]

True calendar spread: Mar 2013 vs Apr 2013 [-22.00]

True calendar spread: Feb 2013 vs Mar 2013 [-3.50]

Bad tick: OMXS30 G3-OMF (eSignal)

Date: 02/05/2013
Time: 17:29:42
Last: 1074.50
Volume: 850
Bid: 1174.50
Ask: 1175.00

Tick is obviously -100 points outside bid-ask spread. Access and edit the data in by scrolling to a bar that contains the bad tick, then click edit data button in toolbar.* Then select the bar by clicking on it or drawing an area that includes any part of the bar (i.e. the part that sticks out). A time and sales window will popup including the bad tick.
*Crossed over candle button:

True calendar spread: Jan 2013 vs Feb 2013 [0.25]

Investor/RT chart definition

Infront share window

True calendar spread: Nov 2010 vs Dec 2010 [1.25]

True calendar spread: Dec 2010 vs Jan 2011 [2.00]

True calendar spread: Jan 2011 vs Feb 2011 [0.50]

True calendar spread: Feb 2011 vs Mar 2011 [1.75]

True calendar spread: Mar 2011 vs Apr 2011 [-19.00]

True calendar spread: Apr 2011 vs May 2011 [-13.00]

True calendar spread: May 2011 vs Jun 2011 [2.00]

True calendar spread: Jun 2011 vs Jul 2011 [1.75]

True calendar spread: Jul 2011 vs Aug 2011 [1.75]

True calendar spread: Aug 2011 vs Sep 2011 [1.50]

True calendar spread: Sep 2011 vs Oct 2011 [1.50]

True calendar spread: Oct 2011 vs Nov 2011 [1.25]

True calendar spread: Nov 2011 vs Dec 2011 [2.00]

True calendar spread: Dec 2011 vs Jan 2012 [2.00]

True calendar spread: Jan 2012 vs Feb 2012 [0.50]

True calendar spread: Feb 2012 vs Mar 2012 [1.75]

Statistics on spread of open, high low and close are abolished since they do not provide any meaningful information in addition to spread chart with profile.

True calendar spread: Mar 2012 vs Apr 2012 [-17.50]

Large negative spreads into April and May contracts anticipating earnings in many of the underlying shares.

True calendar spread: Apr 2012 vs May 2012 [-16.75]

Huge spread due to earnings.

True calendar spread Dec 2012 vs Jan 2013 [1.00]

Chart showing calendar spread with profile during expiration week. Trading volume in the new contract usually exceeds the expiring contract Thursday afternoon. Trading just before expiration with low volume and  very large and volatile spread apparently has little effect on profile. Chart based on tick data (instead of 1-minute data) shows an even more pronounced POC at 1.00 formed at Tuesday with some higher volume trading.

True calendar spread: May 2012 vs Jun 2012 [1.50]

Wednesday was a half trading day, thursday a holiday. Expiring contract still traded more than next rolling contract at Wednesday making it unnecessary to rollover a day earlier. Note that nominal calendar spread was zero while both type and median values was 1.50. This is a perfect example why it's necessary to go through this process in determining the true calendar spread.

True calendar spread: Jun 2012 vs Jul 2012 [1.50]

True calendar spread: Jul 2012 vs Aug 2012 [1.25]

True calendar spread: Aug 2012 vs Sep 2012 [2.00]

True calendar spread: Sep 2012 vs Oct 2012 [1.50]

True calendar spread: Oct 2012 vs Nov 2012 [1.25]

True calendar spread: Nov 2012 vs Dec 2012 [1.75]

Chart showing spread suggests 1.75 as effective split value for correcting calendar spread. Note that spread at close was 3.25 reflected by a pronounced spike. 1.75 is also median and type value of open, high, low and closing prices of 2nd, 3rd and 4th trading days before expiration.

Calendar spread Mon 11/12/12 to Thu 11/15/12 (chart/data by Linnsoft/eSignal)

Calendar spread vaules and statistical properties (data by eSignal)