Hi Guys,
I have question reagarding RTD filling. Which future contract should we go for to use the backfill. Because as of now there are 3 contract March,April and May. I tried plotting the graph taking all 3 contract as NIFTY_F,NIFTY_F2,NIFTY_F3. All of them are having different graph values because the data table will have different values for same date and time for all 3 contract. So which futures contract should we consider when plotting the future graph. Attached are the graphs for all 3 contract.
March :-
http://postimg.org/image/7uoaaztin/
April:-
http://postimg.org/image/f0yjj3em5/
May:-
http://postimg.org/image/5snswqvjj/
I was waiting for someone who knows to reply, but since no one replied....
Please correct mistakes as I am not very knowledgeable.
For trading:
I would use F1 (March series). On expiry day some people shift to F2 charts and trade that as they want to hold positions overnight (and also to avoid some expiry day related issues especially with options).
For a day or two after expiry, ST da advises to keep in mind the levels of both current month and the just expired series for day trading. For swing trading ST da advises to keep in mind both levels for about a 3-4 days (a week?? don't remember exactly).
For backfilling:
Current month goes into F1 (March goes into F1). On expiry day evening itself (not after expiry) backfill April into NIFTY15APRILFUT or some other distinct name independent of F2.
The day after expiry brokerages may merge April data with March and old April data (old F2) will no longer be available so need to do this on expiry day evening itself.
After expiry day April becomes current month and goes into F1 (March joined with F1). Charts usually show a gap.
Now you can see levels in both charts F1 alias April and old April (NIFTY15APRILFUT), If necessary you can import day wise data in NIFTY15APRILFUT also for a few days/1 week to get a better look at the chart. After 1 week in April series NIFTY15APRILFUT becomes obsolete. Just use April (now F1).
Trading F2, F3: That's for more experienced traders. Definitely not for me.