Stiching together two data series

March 27th, 2014, 05:44 AM

Hi, I was wondering if someone could help me out. I would like to get a custom indicator that does the following.
- Stich together the 9am to 9.29am active contact for the Russell 2000 emini and the Russell 2000 Index from 9.30-4pm
- Adjust the emini data to take into account the average difference between it and the index.
- Then, take a moving average of this data series.

The last one of these three is easy but I am not sure how to do points one and two, If someone could code this, please let me know. Obviously, I would pay for their time...

Thx

March 29th, 2014, 06:36 AM

You would need to perform a reverse fair value calculation from the futures price in order to find an estimate of the spot price.

Definitions:

SE = estimated spot price for the index
F = futures price at parity
r = continous risk free rate used to calculate the borrowing cost
q = dividends or revenues accruing to the holder of the spot position until delivery
T = time from today until expiry of the futures contract

SE = S / exp( (r-q) * T)

You could then use these values as a proxy for the index price prior to 9:30 AM.

Stiching together two data series

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Stiching together two data series