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»Forums Index »Archive (2017 and earlier) »IQFeed Datafeed Wish List »Backadjust continuous contract

Author	Topic: Backadjust continuous contract (4 messages, Page 1 of 1)
cookding -Interested User- Posts: 4 Joined: Jan 23, 2007	Posted: Jan 23, 2007 08:07 PM Msg. 1 of 4 Can we backadjust the continuous contract for index futures during rollover like eSignal did? Thanks. Right now there is a huge price gap between the two day's action during the rollover without backadjustment. Thank you for your help.
DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006	Posted: Jan 24, 2007 09:17 AM Msg. 2 of 4 Hello, I have relayed your request to the appropriate people. I will let you know what I hear back.
FullyArticulate -DTN Guru- Posts: 332 Joined: Sep 22, 2005	Posted: Jan 25, 2007 04:36 PM Msg. 3 of 4 The tough question is: How do you backadjust? There are at least 6 different ways of backadjusting data, each will manipulate the history in unexpected ways. Do you add the difference between the new contract and the old to all back-data? If so, it's possible for contracts to go negative in the past. Do you use a ratio between the new contract and the old and multiply all back-data? If so, price moves will be exaggerated. (I prefer this method with my own platform, but it shows $6.20 corn in Jan '04, when the actual contract high was only $3.40) Every choice is a trade-off. People may not expect the continuous contract to behave in whatever way DTN chooses to do rolls. One other thought: Have DTN-based product developers coded to expect back history to change? Certainly it happens with stock splits, but never with futures. Edited by FullyArticulate on Jan 25, 2007 at 04:37 PM
cookding -Interested User- Posts: 4 Joined: Jan 23, 2007	Posted: Jan 25, 2007 11:54 PM Msg. 4 of 4 I think Tradestation and Esignal both did a good job. I have no problem there. Thanks.