Continuous futures

The Hydra program allows the user to combine different types of market data from various contracts into a single continuous instrument.

To do this, select the Securities item in the Market Data menu, and the Securities panel appears. Before combining the data, check which market data is available. Select the path where the data is located and review the instruments that you plan to combine. If there are gaps, download the missing market data (for example, from a supported data source).

As an example, consider combining E-mini S&P 500 futures.

1. To create a continuous futures contract, click the New continuous button on the Securities panel.

   After that, the following window will appear:

2. To create a continuous future, you need to specify a name and add contracts.

   There are two ways to add contracts.

   • Manually: select a contract in the Security list and click the Add button.
   • If you set the first two letters of the contract in the Asset code field, for example, RI, and click the Auto fill button, then all the contracts found in the database will be added with their expiration dates.

3. Select the required contracts and set their transition dates.

4. Next, assign the instrument identifier ES_continuous@CME and click the OK button, after which a new instrument will be created.

5. Next, select the Candles item in the Market Data menu, select the resulting instrument and data period, set the Composite element value in the Build from field, and then click the button.

The generated data can be exported to Excel, XML, JSON or TXT formats. Export is performed using the drop-down list.