About roll calendars and data services

[j1404]

Hi all, regarding roll calendars on a newly installed system. Using US5 as an example, provided roll calendar has 2020-11-23 as latest date and using IB I got data since 2022-08-26, so there is a gap of couple of years. This must affect backtests but does it make any difference in live trading? If this should be fixed, I guess the options are either interpolating the missing rows or using e.g. Barchart outside of pysystemtrade (as documentation says you should get data only from single source). How would you advice?

[frankcodespoorly]

Rob hasn't updated /pysystemtrade/data/futures/roll_calendars_csv in the repo, but he has been updating /pysystemtrade/data/futures/multiple_prices_csv; last updated august 2023. The updated multiple price series imply rolls past November 2020. Using the data provided and your IB data, you create your own roll calendars and adjusted price series using the various scripts in /pysystemtrade/sysinit. I found tgibson11's posts in [https://github.com//discussions/1103] to be very helpful when doing this.