I have the following bars around an open interest roll date (all bars stated date, contract, settle, previous day open interest) for CME corn futures.
date,symbol,settle,previous_day_open_interest 2018-06-11,ZCN2018,367.25,589007 2018-06-11,ZCZ2018,388.25,587840 2018-06-12,ZCN2018,377.5,566301 2018-06-12,ZCZ2018,398.25,594274 2018-06-13,ZCN2018,376,527519 2018-06-13,ZCZ2018,397,600335 2018-06-14,ZCN2018,363,487860 2018-06-14,ZCZ2018,384.5,604879
Note that the most liquid contract flips from the N to the Z on 6/12.
Question - how exactly would I build a backwards ratio adjusted continuous contract on these bars?
What have I tried
I'd have thought the following:
1) The "signal" to switch from one contract to the other happens on 6/12, meaning the first date I can be on the new contract would be 6/13.
2) I would adjust the 6/12 and 6/11 bars by the ratio of settlement prices on 6/12 (398.26/377.5=1.054967). The 6/12 settlement would now be stated at the back contract value while 6/11 would be truly ratio adjusted.
date,settle,previous_day_open_interest 2018-06-11,387.436589403973,589007 2018-06-12,398.25,566301 2018-06-13,397,600335 2018-06-14,384.5,604879
However, I purchased the Stevens continuous roll series, which differed in 2 spots:
1) The ratio used for the 6/11 and 6/12 bars seemed different, and
2) They reported the front contract "previous_day_open_interest" on the 6/13 bar, even though there had already been enough time to move to the new contract on 6/13.
date,settle,previous_day_open_interest 2018-06-11,387.7613032,589007 2018-06-12,398.5837766,566301 2018-06-13,397,527519 2018-06-14,384.5,604879