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Actually there is such a script: sysinit.futures.clone_data_for_instrument That will only make sense for multiple and adjusted prices if the market to be cloned shares the same roll cycle and price cycle as the market that is being cloned. That isn't quite true for copper, but fortunately the price cycle for copper is a subset of those for copper micro so it should be okay. I usually use it on individual futures prices and then rebuild my multiple and adjusted prices from there. |
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I tried to update my COPPER-micro roll parameters by changing the hold_cycle with the interactive safely modify roll parameters script but it limited the adjusted/multiple data to 11/2022-present. I reset and did it again after using the seed_prices_from_IB script (got contracts as far back as June 2022) so was able to calculate adjusted/multiple prices from 5/2022-present. Is there any way to preserve the historic price data from before the roll parameter change without the prices of older contracts?
I tried using the script in https://github.com/robcarver17/pysystemtrade/blob/master/docs/data.md#updating-shipped-multiple-prices but it gives the same result.
Thank you for your time.
EDIT: Well this is embarrassing. I didn’t consider that copper micro futures may have started trading in May 2022. So you back-filled prices from normal copper futures and there’s no current script that does that. What does the system do when there isn’t a year of prices, assign 0 weight to those rules and carry on or throw an exception?
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