Calendar spread May 19, 2017 (K7/7E) vs. Apr 21, 2017 (J7/7D) [-13.00]

Calendar spread Apr 21, 2017 (J7/7D) vs. Mar 17, 2017 (H7/7C) [-24.25]

Calendar spread Mar 17, 2017 (H7/7C) vs. Feb 17, 2017 (G7/7B) [-10.00]

Calendar spread Feb 17, 2017 (G7/7B) vs. Jan 20, 2017 (F7/7A) [-1.75]

Calendar spread Jan 20, 2016 (F7/7A) vs. Dec 16, 2016 (Z6/6L) [-1.00]

Calendar spread Dec 16, 2016 (Z6/6L) vs. Nov 18, 2016 (X6/6K): [-0.75]

Calendar spread Nov 18, 2016 (X6/6K) vs. Oct 21, 2016 (V6/6J): [-5.00]

Calendar spread Oct 21, 2016 (V6/6J) vs. Sep 16, 2016 (U6/6I): [-1.50]

Calendar spread: Sep 16, 2016 vs. Aug 19, 2016 [-1.50]

Calendar spread: Aug 19, 2016 vs. Jul 15, 2016 [-2.25]

Calendar spread: Jul 15, 2016 vs. Jun 17, 2016 [-2.75]

Calendar spread: Jun 17, 2016 vs. May 20, 2016 [-3.25]

Calendar spread: May 20, 2016 vs. April 15, 2016 [-14.75]

Calendar spread: April 15, 2016 vs. March 18, 2016 [-23.50]

Calendar spread: March 18, 2016 vs. February 19, 2016 [-13.00]

Calendar spread: February 19, 2016 vs. January 15, 2016 [-1.25]

Calendar spread: January 15, 2016 vs. December 18, 2015 [-0.25]

Calendar spread: December 18, 2015 vs. November 20, 2015 [-0.25]

Calendar spread: November 20, 2015 vs. October 16, 2015 [-2.00]

Calendar spread: October 16, 2015 vs. September 18, 2015 [-0.50]

Calendar spread: September 18, 2015 vs. August 21, 2015 [-0.25]

Calendar spread: August 21, 2015 vs. July 17, 2015 [-1.25]

Calendar spread: July 17 2015 vs June 18 2015 [-0.25]

1-min data from Dec 17, 2014 equalized/rolled into M5 (OMXS305F 2015-06-18)

OMXS30 M5-OMF (right-click, Save as .txt)

Calendar spread: Jun 18 2015 vs May 15 2015 [-1.50]

Calendar spread: May 15 2015 vs Apr 17 2015 [-13.50]

April 15 is missing due to a data transmission fiber cut near the OMX Stockholm exchange which apparently only affected eSignal. Rollover is performed one session earlier than usual (3 instead of 2 sessions before expiration) so as to faciliate backfill should the missing data be retreived.

Calendar spread: Apr 17 2015 vs Mar 20 2015 [-27.50]

Calendar spread: Mar 20 2015 vs Feb 20 2015 [-9.25]

Calendar spread: Feb 20 2015 vs Jan 16 2015 [-0.50]

myholidays.txt

#Loading myholidays.txt - Holiday Definition File Expires January 1, 2017
 -
 - Session 36. OMX Stockholm Futures (9 AM - 5:27 PM Mon-Fri)
 -
 - http://www.nasdaqomxnordic.com/digitalAssets/93/93200_trading-calendar-2014-2016.pdf
 -
 -YYMMDD
141224,36,Julafton
141225,36,Juldagen
141226,36,Annandag jul
141231,36,Nyårsafton
150101,36,Nyårsdagen
150106,36,Trettondedag jul
150403,36,Långfredagen
150406,36,Annandag påsk
150501,36,Första maj
150514,36,Kristi himmelsfärdsdag
150619,36,Midsommarafton
151224,36,Julafton
151225,36,Juldagen
151231,36,Nyårsafton
160101,36,Nyårsdagen
160106,36,Trettondedag jul
160325,36,Långfredagen
160328,36,Annandag påsk
160505,36,Kristi himmelsfärdsdag
160606,36,Sveriges nationaldag
160624,36,Midsommarafton
161226,36,Annandag jul
170101,36,Nyårsdagen

Calendar spread: Jan 16 2015 vs Dec 19 2014 [+0.50]

Calendar spread: Dec 19 2014 vs Nov 21 2014 [+0.25]

Calendar spread: October vs. November contracts [+0.50]

Calendar spread: August vs. October contracts [+0.50]

Calendar spread: September vs. August contracts [+0.50]

Calendar spread: August vs. July contracts [+0.25]

OMXS30 future high speed replay

Calendar spread: July vs. June contracts [+1.25]

Calendar spread: June vs. May contracts [+1.25]

Calendar spread: May vs. April contracts [-14.75]

Calendar spread: April vs. March contracts [-19.25]

Calendar spread: Feb 2014 vs Mar 2014 [-9.75]

Calendar spread: Jan 2014 vs Feb 2014 [+0.50]

Calendar spread: Dec 2013 vs Jan 2014 [+1.00]

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]