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jdegesys avatar image
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Historical expiration month for continuation futures

I would like to retrieve historically via the API the expiry month/year used in a continuation RIC (e.g. CLcv1), but I do not seem to have any luck with Historical Reference or Elektron. For instance assuming that the switch occurred on 3/20/2020, I would like to get:

RICTrade DateUniversal Close PriceExpiry month/YearCLcv119/10/2005101.14Mar-20CLcv120/10/200599.65Jun-20CLcv121/10/2005100.26Jun-20CLcv124/10/200599.95Jun-20


My intent is to compute historical returns while keeping the underlying contract consistent to avoid price jumps related to using different contracts from the period beginning to the end.

Could you please provide some guidance on how to achieve this?

Thanks!

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wasin.w avatar image   wasin.w

Hello @jdegesys

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.

Thanks,


AHS



pimchaya.wongrukun01 avatar image   pimchaya.wongrukun01

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

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Jirapongse avatar image
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@jdegesys

For DSS content questions, please directly contact the DSS support team via MyRefinitiv for a prompt response.


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