Back adjustment

[m.hammad]

Hi,
I am using specific contracts in my trading system instead of generic ones.
What is the mathematical formula to adjust the prices of expired contracts?
For example, I am using EDH1 which is ED1 currently.
The prices of both do not match before 13th Dec 2010. Is there any mathematical calculation I can use to adjust these prices.?
Thanks

 

[DashRiprock]

what software are you using?

It could be that the ticker ED1 refers to the first quarterly (or serial, depending on how you set it) expiry of the future. So before 13th Dec, the 1st future would have been EDZ0, and that is why the prices are different.

 

[m.hammad]

I am using Bloomberg terminal for historical data using Excel.
So if I query Excel sheet for EDH1 Comdty and E1 Comdty, they should bring same prices.
Before 13th Dec, we have trades for EDH1. So when I download historical data for EDH1 and E1 from 11th Nov to 3rd Feb, prices match back up to 13th Dec. Before that I need to apply some mathematics to adjust the prices of EDH1.
Which contract does E1 refer to before 13th Dec currently? If you say it is EDZ0, then why there are trades for EDH1 before 13th Dec.
Thanks