Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)

"I had always used ******* but for the past 2 weeks have been trying DTN IQFeed. Customer support has been extraordinary. They call just to make sure your problem hasn't recurred." - Comment from Public Forum
"Boy, probably spent a thousand hours trying to get ******* API to work right. And now two hours to have something running with IQFeed. Hmmm, guess I was pretty stupid to fight rather than switch all this time. And have gotten more customer service from you guys already than total from them… in five years." - Comment from Jim
"I just wanted to let you know how fast and easy I found it to integrate IQFeed into our existing Java code using your JNI client. In my experience, such things almost never go so smoothly - great job!" - Comment from Nate
"I just wanted to tell you what a fine job you have been doing. While *******, from what I hear, has been down and out, off and on, IQ feed has held like a champ this week." - Comment from Shirin
"Awesome response, as usual. It is a sincere and refreshing pleasure to do business with DTN, compared to your competition." - Comment from Ryan
"DTN feed was the only feed that consistently matched Bloomberg feed for BID/ASK data verification work these past years......DTN feed is a must for my supply & demand based trading using Cumulative Delta" - Comment from Public Forum Post
"I am a hedge fund manager here. It’s funny, I have a Bloomberg terminal and a Bridge feed, but I still like having my DTN feed!" - Comment from Feras
"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"Thank God for your Data Feed as the only Zippers I see are on my pants (LOL), and no more 200 pip spikes to mess up charts." - Comment from Spiro via Email
"For anyone considering using DTN.IQ for a data feed, my experience with the quality of data and the tech support has been very positive." - Comment from Public Forum
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »Continuous Contract Data
Author Topic: Continuous Contract Data (3 messages, Page 1 of 1)

-Interested User-
Posts: 54
Joined: Jan 12, 2006

Posted: Dec 14, 2009 08:44 AM          Msg. 1 of 3
Hi. We have a project backtesting a trading strategy. We're using DTN IQFeed to retrieve daily data. We use a continuous contract. For example, for the S&P e-mini, we're using the symbol @ES#. So far so good.

But, our client is checking the results using ProphetX and he saw some discrepencies. He uses the symbol @ES@C. After a lot of head-scratching, we realized the the data is different between the two on some days.

I realize that a continuous contract is stitched together using the data from the actual contracts. And, I suspect that the cut-over day is different on the two products. So, we see the differences around the cut-over time. For example, the data is different on September 15th, 2009 but the same on October 1st, 2009.

So, I guess the question is: since, both products are provided by DTN, shouldn't the data be consistent?


-DTN Guru-
Posts: 2086
Joined: Nov 21, 2005

Posted: Dec 14, 2009 03:59 PM          Msg. 2 of 3
Jay, ProphetX and IQFeed run off of different server farms which are fed from the same internal DTN ticker plant. However, some of the methodologies for compiling data are slightly different. We (DTN) have been making an effort to consolidate all of these methodologies so that the same data is available on both platforms but contract roll dates for continuous symbols happens to be one of the differences that still exist.

-Interested User-
Posts: 54
Joined: Jan 12, 2006

Posted: Dec 15, 2009 08:23 AM          Msg. 3 of 3
Okay, Steve.

That's what I figured. Just wanted to make sure I wasn't missing something.


Time: Thu August 18, 2022 12:19 AM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003