With S#.Data it is possible to glue together different types of market data on different contracts into one continuous instrument.
To do this, select the Securities => Glue. item in the main menu of the application. After the opening the following window will appear:
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, BarChart).
As an example the gluing of ticks and 5 min futures on the ES will be considered.
The first step – the creation of a continuous instrument. To do this, click the Create continuous futures button, to bring up the following window:
To create a continuous futures it is necessary to specify the name and to add the contracts. There are two ways to add the contracts.
• Manually by clicking the button.
• If to specify for the name the first two letters of the contract, for example ES, and to click the Auto button, then all the instruments found in the database will be added.
Once the contracts have been added, and the transition dates have been set, it is necessary to select the data type that will be glued. If the candles are selected, then it is necessary to specify the candles timeframe.
Important: The candles must be pre-downloaded. Otherwise, nothing will glue together.
And click the Склеить button.
Затем Then it is necessary to select the type of tick market data and click the Glue button again.
After this it is possible to view that glued instrument.