IQFeed and continuous back adjusted contract

[smeagol]

I`m being told by IQFeed that NT does not support any of the continuous back adjusted symbols. Will this be changed anytime soon?

Thank you

[NinjaTrader_RyanO]

Hi smeagol,

Thank you for your post.

If IQFeed supports those contracts then you should be able to receive the data. If you use a contract front month within NinjaTrader of ##-## it should enable continuous contracts.

Also, if you can let me know a particular contract I can further test this issue on my end.

[smeagol]

I recently signed up with IQfeed, was using zenfire previously.

After IQfeed was setup I just continued using `CL 10-10` and only changed the symbol map to QCL. Is this setup correctly? I am able to see a few years of Daily back-adjusted data but am confused if this is just drawing data I had already saved from NT or somehow accessing IQfeeds continuous back-adjusted contract even though I have not changed any symbols.

Also, tried to recreate the Daily back-adjusted RTH only chart that I could access with zenfire but it does not work. IQfeed support recommended asking you how to set it up. All I can get is the back adjusted ETH chart now (similar to Kinetics).

By ##-## do you mean CL 10-10? Still really confused at why I don`t have to add any of the symbols from IQfeeds list.

[NinjaTrader_RyanO]

Hi smeagol,

The QCL symbol is correct for the CL contract, but that contract does not designate a front month.

To access the continuous contract you will go to Tools-->Instrument Manager and then search for the CL contract. If you highlight it and then change the Expiry to the ##-## number signs then it will be a continuous contract. I have attached a screenshot of how this would look. You can then add that contract to a list by hitting the '<' button.

As for the back-adjusted CL contract you will want to go to Tools-->Options-->Data and make sure that the Merge Policy is set to Merge Back Adjusted. Then you can create a CL 10-10 contract for daily bars using the CME Index Futures RTH template from the chart Data Series.

[smeagol]

Ever since switching to IQfeed a few days ago I am not able to reproduce the Daily back adjusted RTH only chart I had with zenfire. And with zenfire it was actually forced as a Daily RTH only unless connecting to Kinetic as well. I`ve already tried the steps detailed in your post many times and it will only chart the backadjusted Daily ETH even if changing the template to `use session settings` or `RTH only`. I`ve tried reloading historical data etc, nothing works. Please advise.

Maybe I should explain what I`m trying to do. I have no need for a continuous non-adjusted chart. Only a Daily back-adjusted RTH and the back-adjusted intra-day charts I use. I am trying to export the back-adjusted data to Qcollector so I can back fill NT indicators. What I don`t understand is I`m looking at the `CL 10-10` with `QCL` as the symbol map and have 2 years of back adjusted data (not RTH on the Daily chart but still correctly back adjusted). What symbol do I use do export the same continuous back-adjusted data to Qcollector?

[NinjaTrader_RyanO]

Hi smeagol,

Can you please clarify where you are comparing the values too. When using IQFeed continuous contract I see the same daily values as the settlement values from the CME.

http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_quotes_settlements_futures.html#prodType=undefined

Those settlement values would indicate that the display of daily data is the RTH.

[smeagol]

The CME comparison does not indicate the daily data is RTH only. The CME lists the FULL session high/low and only the close will be the 2:30 settlement price in the case of CL. So the Daily chart you are looking at is the ETH (extended session) I am talking about. You can recreate what Im talking about with NT-7 and zenfire and use the front month with back adjusted settings. It will force RTH only Daily candles, there is no option otherwise.

There are continuous non-adjusted contracts and continuous back-adjusted contracts. You mention continuous contracts in your posts several times but never distinguish between the two which was my original question. If you are charting the ##-## then you are probably looking at the non-adjusted which I have no need for.

[NinjaTrader_RyanO]

Hi smeagol,

When using the Zen-Fire data I do see a difference in the data. Since NinjaTrader will display the daily data that is provided, such as RTH with Zen-Fire, and ETH with IQFeed.

I was able to get the same values with IQFeed data when creating a chart for 330 minutes, and using the instrument settings template. This forced minute data to be used for a daily bar, and since you are limiting the session template it will be for the RTH only. Since we can not modify what data is provided to NinjaTrader we can modify the chart.

Another setting you can do is go to Tools-->Options-->Data and make sure the Merge Policy is set to Merge Back Adjusted. If you then view the CL 10-10 contract you can view previous front months automatically merged, and back-adjusted on your chart for however much data you load into that chart.

[smeagol]

Beautiful on the 330 minutes, this is recreated exactly.

IQfeeds continuous backadjusted contract is QCL#C. Why cant I chart this contract? I am able to back adjust manually through NT with the front month but still should be able to chart IQfeeds QCL#C. Spoke with them about it, said I would need to ask you.

[NinjaTrader_RyanO]

Hi smeagol,

Glad to hear that the 330 minute chart works.

As for back-adjusted data the symbol you cite is not supported by NinjaTrader. What you can do is go to Tools-->Account Connections-->highlight the IQFeed connection-->Change. In going through the process there will be a checkbox that says 'Use Back Adjusted Data' underneath where you input the username and password.

From there you can view the CL ##-## for a continuous contract, and it will use the back adjusted data.

[smeagol]

I followed your steps to edit the IQ connection and `use back adjusted data` was already checked. I added the ##-## contract and pulled a Daily chart. This back adjust is drastically different then when using the CL 10-10 contract on a Daily chart. For example the high on 4/6/2010 is at 91.42 on the ##-## while its at 93.62 on the CL 10-10 back adjusted. Also, there must be some mistake with how this is set up because on 5/20/2010 with the ##-## contract there is a huge 7 point range that never happened. Besides that there are some clear gaps in the volume as well so hopefully all this can be synced to look merge exactly like the CL 10-10.

[NinjaTrader_Kyle]

Hello smeagol,

If you can give me an idea where these gaps in volume occur, and give me the OHCL values for the 5/20 bar you're seeing I could double-check to make sure that I'm seeing the same values on my end.

[smeagol]

Continuing on the last post I compared with IRT and ##-## with `use adjusted data` under account connections does bring up IQFeeds continuous back-adjusted contract (QCL#C under IQFeed). Problem is they are not rolling it properly and there are big gaps in volume as they seem to be using expiration as the rollover date. This also creates an offset that is drastically different than when charting the front month back-adjusted in NT. Please advise how I can view a continuous contract from IQFeed and back-adjust it so it is exactly the same as when I back adjust the front month (CL 10-10).

[smeagol]

Hello smeagol,

If you can give me an idea where these gaps in volume occur, and give me the OHCL values for the 5/20 bar you're seeing I could double-check to make sure that I'm seeing the same values on my end.

Gaps occuring on about the 20th or later each month (round expiration not rollover you can see the 3 day volume drop off)

OHLC for 5/20/2010 is 75.13, 75.22, 68.17, 71.94 & about 28k volume on that 7 pt range heh its so far off

[smeagol]

Gaps occuring on about the 20th or later each month (round expiration not rollover you can see the 3 day volume drop off)

OHLC for 5/20/2010 is 75.13, 75.22, 68.17, 71.94 & about 28k volume on that 7 pt range heh its so far off

Been talking with IQfeeds support about this and confirmed that they are using the expiration as the rollover data on the continuous back-adjusted (QCL#C). Obviously this will result in the mess we are talking about. Support is submitting this to development and I advised to have the standard rollover as the difference between CME settlement prices on the session prior to rollover not expiration.

For now, what solution do I have to work with IQfeeds continuous contract and manually adjust it on my end. I need the continuous contract or my indicators will reset each month on rollover. Would it be possible to pull IQs non-adjusted continuous and manually adjust?