Hello,

We're seeing a fairly significant issue with the HDT Historical API. Problem:

When we take Lead Hog (as an example), and run the API daily, we get a certain set of prices each day. In this example, on 7-24-17, Lean Hog is at price point $80.725 when we call the API each day in July. If we we wait and run the same HDT Historical API on say, October 1st, for the same day and commodity, we get a price of $66.975.

So, the same API yields different data, depending on when it's called. This is a huge problem for us and am wondering if there's a different API we should be calling historically, or if you see the same issue?

Thank you.

Good morning,

I believe this is related to the post below. If you look at the underlying contracts you will find the data has not changed. It is just on the continuous contracts where this will be seen, as the contracts being reported for certain dates will have changed completely.

Also, in case this is relevant, if you are using the @HE#C symbologies, those prices see adjustments at every contract expiration. If you want the prices to be unadjusted, be sure to just use @HE# instead.

Tim

http://forums.dtn.com/index.cfm?page=topic&topicID=4377

"Based on customer feedback, effective this evening we will be changing the roll users for @LE (Live Cattle), @HE (Lean Hogs) and @LB (Lumber) contracts to roll 2 weeks prior to expiration. This will provide continuation chart data that will more closely follow volume/OI on these contracts."

We are using @xx#, NOT the adjusted continuous, and we are getting these different results based on WHEN the same API is run

Thank you for the quick response.

We are not using #C, ever. We are always using the unadjusted # on our API calls. In the example I gave you for July, we get different data back depending on whether we call the API on a daily basis through July vs calling the API to provide that July data later on (August, Sept, Oct, whatever).

@HEQ17 has the open of 80.725 that you mentioned.

But, when we changed the roll dates on our end which govern the continuous contracts, it changed the emphasis from @HEQ17 to @HEV17

And if were to look, you would find that @HEV17 shows the open you mentioned at 66.975 for the date 7-24-2017.

It was the change of the roll dates that would have caused this. If you wanted to have a rolling contract that would not be subject to this type of change (albiet these changes are rare) you would have to build your continuous contracts from the underlying daily data.

Tim

Thank you, again. So just to confirm: can you provide that continuous contract data in an API call historically or would I have to build that out myself in some manner?

If you want it to look like it was before, then yes, you would have to create that yourself. Though in my opinion, the data before was not using the most active contract, it was simply based on expiration. Therefore, I feel, that the new data is a better indication of where the market was comparatively to where we had it previously.

Tim