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In order to generate continuous future contract price, i adopt the proportional adjustment. Suppose rollover date is t.

If I have tick data of the spot month contract and next month contract, should I use spot month's close price on t and next month's close price on t to compute the adjustment factor and multiply the spot month price from day 1 to t?

Or should I just stick to the general approach and use the spot month's close price on t-1 and next month's open price on t to compute the adjustment factor and multiply the spot month price from day 1 to t-1?

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    $\begingroup$ I have worked on back adjustment on futures data before but not ratio adjustment. From my knowledge of back adjustment, the proper ratio adjustment approach should be using both close prices of time $t$? $\endgroup$
    – KaiSqDist
    Commented Jul 27 at 15:56
  • $\begingroup$ What makes the most sense will depend on the application. What are you trying to do here? $\endgroup$
    – Richard Hardy
    Commented Jul 29 at 7:50

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