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Rolling over difference from different futures contracts

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Rolling over difference from different futures contracts

Hi, I want to calculate the roll over difference of different futures contracts. I have daily data of five contracts and i want to calculate the daily change of each contract with roll over date of 5th of the contract's delivery month.

That is suppose i have may and july futures data. i will calculate change till 5th of may using may futures but next change will be from 5th may of may futures and 6th may of july futures.

i am trying to make a macro for this but am not able to do that. the data is in excel format of different maturity months that is may maturity from 1970 t0 may maturity till 2014 and july maturity from 1970 to july maturity till 2014 and same for september, december and march and all aare in different excel files.

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Posts: 3,924

Re: Rolling over difference from different futures contracts

Posted in reply to jasdeepSingh

The best way to get the help you want would be to post a sample of your input data, then what you would like your output data to look like, plus what you have coded so far.

It sounds like you have an issue with even getting all of your input data together in the first place. If this is the case then this needs to be solved first.

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