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Old 01-19-2011, 05:02 AM   #1
cunparis
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Default IQFeed Continuous Adjusted data not working - getting unadjusted data

IQFeed has continuous contracts that are adjusted for rollovers. To access this symbol one appends C to the continuous contract. For ES it's @ES#C.

I did this in instrument manager:



Then deleted all my ES ##-## data and then downloaded it. The data does not appear to be adjusted.

I look at the log and I see this:

Code:
2011-01-19 11:49:45:667 (IQFeed) Data.Bars.GetBarsNow: instrument='ES ##-##' from='2008-01-01' to='2011-01-19' period=1 Min splitAdjusted=False dividendAdjusted=False bars=0 session=''
Which shows the splitAdjusted & dividentAdjusted are false. I'm not sure if they're supposed to be true or not.

I compare the data to that obtained from IQFeed via Market Delta and there is a difference. I have verified that the MD data is adjusted properly so I think this is a problem with Ninjatrader:

Here is an example of the data from 2008 that is different:



Has this been tested with NT7? Is there anything I need to do other than use @ES#C? I really need this to work.
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Old 01-19-2011, 05:16 AM   #2
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I tried downloading 3 years of ES 03-11 data but Ninja instead downloads the data for the dates that each contract was the front month. So it's not possible to use 03-11 to get the continuous adjusted data.
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Old 01-19-2011, 06:43 AM   #3
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cunparis, I'll test custom IQ map here shortly - if you use the regular ES 03-11 contract as front month the merging / adjusting (if selected under Tools > Options > Data) would be done on NT's end according to the rollovers defined in your Instrument Manager.
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Old 01-19-2011, 07:16 AM   #4
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Plus it seems if I put @ES# or @ES#C it works for ES ##-## but as soon as I try to open a chart of ES 03-11 I get "invalid symbol" error.

I turned on the splitting in the options and use 03-11. The result is a pt off from IQFeed. I'd like to have the exact same result as IQFeed if possible. I tried exporting my data from market delta and converting it to Ninja but I get an error with a time which is perfectly valid, I'll continue investigating this route. But would love to have ninja working with @ES#C.
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Old 01-19-2011, 07:51 AM   #5
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That could be expected, since only the IQ own continuous contracts would be supported for this mapping, correct? Those are accessed with the ##-## expiry in NT, not when using the actual expiry like 03-11 for the current front month.
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Old 01-23-2011, 10:43 AM   #6
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So did you get to look at the continuous contract w/ IQFeed?? Will it be possible to use it?
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Old 01-24-2011, 10:56 AM   #7
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I will have development look into it and see if we can support the @ES#C map, too - for now I don't get data for it when using the ##-## expiry in NT.

Thanks
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Old 01-24-2011, 11:32 AM   #8
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cunparis, please try working with the default #ES map on the ##-## expiry and then check to use backadjusted data in your IQ Account connection setup - would that work for you?
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Old 06-19-2017, 01:23 PM   #9
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Default non back adjusted and back adjusted

hello, i was wondering if anyone ever got this solved... i am looking to be able to use iqfeeds @ES# and @ES#C symbol ... i have tried to create this using the add instruments but it seems to only give me the standard ES ##-## option which is tied to the live contract however i am wanting to access those two symbols above to note the differences in certain situations.

any ideas how to build those two seperate from the actual ES contract would be helpful.

thank you
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Old 06-26-2017, 08:15 AM   #10
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chinapassage, unfortunately there would only be the option to access the regular or back adjusted continuous contract data as per the account connection settings toggle we discussed in prior posts in this thread.
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Old 06-26-2017, 10:49 AM   #11
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amazing almost 7 years to be able to map a fairly "common" symbol and still no follow through. At least there should be the option to be able to create your own instrument/symbol under a different name without it interfering with the ES ## ## standard ninja symbol. Any other charting package multicharts etc i just put in the symbol why is it so difficult to have that done in ninjatrader?

if anyone figures out how to get both iqfeeds symbols @ES# and @ES#C working at the same time would be grateful if you posted this fix so i dont need to switch over to multicharts to see the differences would be great to do this in ninjatrader. thanks in advance.
Last edited by chinapassage; 06-27-2017 at 08:53 AM.
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Old 06-28-2017, 07:37 AM   #12
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Hello everyone,
I have sent in a feature request on this threads behalf to implement IQFeeds back adjusted and non back adjusted continuous contracts within NinjaTrader. You may use the code of SFT-2407 to reference this item when contacting the support team.
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