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Continuous futures

With S#.Data it is possible to glue together different types of market data on different contracts into one continuous instrument.

To do this, on the Common tab, select Instruments, the All Instruments tab appears.

Before gluing the data, it is necessary to check which market data is available. To do this, the path is selected where the data is, and the instruments that are supposed to glue together are reviewed in turn. If there are gaps, it is necessary to download the required market data (for example, from Finam).

Hydra Gluing Check Data

As an example, gluing together by futures on the RTS index will be considered.

The first step is the creation of a continuous instrument. To do this, click on the All Instruments tab. the Create Instrument=>Continuous Instrument button, after which the following window will appear:

Hydra Gluing Window

To create a continuous futures it is necessary to specify the name and add the contracts. There are two ways to add the contracts.

  • Manually by clicking the hydra add button.

    Hydra GluingCSCustom
  • If to specify for the name the first two letters of the contract, for example RI, and to click the Auto button, then all the instruments found in the database will be added.

    Hydra GluingCSAuto

Once the contracts have been added, and the transition dates have been set, it is necessary to click the OK button, after which a new instrument will be created.

Next, it is necessary to click the Candles button on the Common tab, select the received instrument, the data period, in the Create From: field set the Composite Element value. Then click the hydra find button.

Hydra Gluing Trades

The generated data can be exported to Excel, xml or txt formats. Export is done using the drop-down list:

hydra export