Back Adjusted Continuous Contract Data -- IQfeed

[RK_trader]

Hi Support,

I am trying to plot "back adjusted continuous contract" with IQfeed for ES. I tried using ES ##.##, it is plotting ES daily chart with a continuous contract for 3 to 5 years. But there are gaps in data during contract rollover period and data is not "back adjusted"

Can you please tell me, how I can plot "back adjusted" continuous contract with IQfeed for ES for 3 to 5 years. Do I need to change any properties in ES ##.## in instrument manager?

IQ Support mentioned they directly offer "back adjusted" continuous contract for futures with my IQfeed connection. I hope they are correct.


Thanks
RK

[NinjaTrader_JoshP]

If that is the case try just reloading your data. http://www.ninjatrader-support.com/H...V6/Reload.html

[RK_trader]

Hi Josh,

I already tried reload of data. Reload is downloading same data.

Just to clarify, may be I used the wrong word "gaps of data". There is no missing data in the ES continuous contract during rollover period for 3 years. The data is not "back adjusted". For example,when March-06 to June-06 rollover happened, premium in March is not adjusted to make it "back adjusted".

Thanks
RK

[NinjaTrader_JoshP]

Perhaps you can try using the Instrument Manager's split section to manually back adjust?

[NinjaTrader_Dierk]

Not sure if I have the complete picture, but as I understand the issue you are pulling continuous contract data from IQFeed. This data is provided natively by IQFeed and NT displays it as is. There is not way to "back adjust" this data whatsoever.

You would need to contact IQFeed and ask for resolution.

[RK_trader]

Hi Support,

I contacted IQfeed support, and after checking with supervisor they corrected their statement and said that they do not offer "back adjusted" continuous contract data. They only offer "continuous contract " data.

Support/anyone, know which datafeed (for Ninja) is good and reliable for "back adjusted" continuous data for daily/weekly for 3 to 5 years. With the current bear markets, looks like "back adjusted" historical data is very important. Or it would be really good if Ninja can release this "back adjusted" feature in a way similar to how TS handles "back adjusted" daily/weekly for 3 to 7 years.

Thanks
RK

[NinjaTrader_Dierk]

Curious: What's the difference between a "back adjusted" and a continuous contract?

[RK_trader]

Hi Dierk,

Futures contracts roll forward every quarter, so "continuous contracts" are like the data of each contract put into like 1 single contract. Note that in these data is as is, no premium adjustments to data are done

"Back Adjusted continuous " contracts are the data in which premium is adjusted, so that there is no price gap on the rollover day in the chart.

I googled and found this link, which explains in more detail. See the section "Back Adjusted Continuous" in the link. The "back adjustment" is important to get the historical support levels from previous contracts.

http://www.aarontrade.com/html/futures_trading_prices.html

Thanks
RK

[NinjaTrader_Dierk]

Thanks for clarification.

Note: Tools->Historical data->Merge does close the price gap.

[RK_trader]

Hi Dierk,

No problem. I am familiar with the merge feature. But merge is not feasible to do manually for past 3 to 5 years futures contracts. It would be nice/user-friendly if either Ninja software provide a feature to do it automatically for last 5 years or so (something similar to TS's back adjusted feature),..OR the datafeed provide the "back adjusted" data directly.

Thanks
RK

[NinjaTrader_Dierk]

Got it. We'll add to list.

[RK_trader]

Thanks Dierk. I appreciate it.

Thanks
RK