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Definition. The term adjusted futures price refers to a value that represents the cash-equivalent of a futures contract. Adjusted futures prices will take into account carrying costs as well as conversion factors.

Prices in a back-adjusted series are adjusted deliberately, so the complaint about "unreal" prices misses the point. Gaps in a back-adjusted contract disappear because historical prices are altered. There is no other way to do it. Trading reality versus historical price reality.

Prices in a back-adjusted series are adjusted deliberately, so the complaint about "unreal" prices misses the point. Gaps in a back-adjusted contract disappear because historical prices are altered. There is no other way to do it.

The futures price is fixed at the start, whereas the value starts at zero and then changes, either positively or negatively, throughout the life of the contract.

A "continuous futures" contract represents a sequence of successively expiring lead futures contracts along with an associated interval during which each future is the lead. This allows us to construct a normalized historical data series for the contract.

It is a mathematical representation of how futures price change if any of the market variable change. Futures Price = Spot price *(1+ rf ? d) ... Futures Price = Spot price * [1+ rf*(x/365) ? d] ... Mid-month calculation. ... Far-month calculation. ... Buying vs.

Back-adjustment is the ability to adjust the data of previous contracts in a continuous in order to remove the roll gap due to price differences for different contracts.

Basis is the difference between a local cash (or street) price and the futures market price for that commodity. Basis is calculated as cash price minus futures price.

Traders roll over futures contracts to switch from the front month contract that is close to expiration to another contract in a further-out month. Futures contracts have expiration dates as opposed to stocks that trade in perpetuity.

When adding futures market data to TWS, you can now select a "continuous" futures contract, which is a series of monthly/quarterly contracts spliced together.