Back Months Continuous Contracts

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Alex Savin
Last seen: 4 years 4 months ago
Joined: 08/31/2016 - 10:57
Back Months Continuous Contracts

Is there an easy ways to construct back months continuous contracts?
E.g. 2019 December Eurodollar (EDZ19) is now the fourth contract (with EDH19 being the first, EDM19 the second and EDU19 the third), but after expiration in March, it is going to be the third contract. What I am trying to do is construct e.g. a continuous third contract where the data is always taken from the contract that is going to roll after two expirations. I don't need any fancy sticking (e.g. Panama back adjusted), just the plain numbers. I found the DAYS token in RTL but that doesn't seem to work.

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