Rolling Futures contracts

[Hammer61]

Interested to know how anyone here trading commodity futures rolls the contracts in the data they use (I use CSI), markets that roll either monthly or quarterly are quite straight forward I think but there’s also a lot of contracts that trade odd months, so Soybean Meal for example trades 8 months Jan, Mar, May, Jul, Aug, Sep, Oct, Dec.

How best should you set up data to reflect were the volume is being traded

Cheers

H61

 

[Martinghoul]

There are some standard methodologies for stitching this data together... I assume that's what you're looking for.

 

[Hammer61]

There are some standard methodologies for stitching this data together... I assume that's what you're looking for.

Yes, any suggestion or recommendation.

Thanks

 

[Martinghoul]

I think this is a pretty good summary of how it's normally done...