IQFeed back-adjusted continuous contract

[llstelle]

Hello

I've searched this all over and can't seem to get a straightforward answer. When I set "Merge policy:" to "MergeBackAdjusted", and download all available data for a front-month contract, e.g. ES 06-13, using NinjaTrader's historical data manager and an IQFeed connection, the downloaded data is still simply for the front-month contracts, without any continuous back-adjustment. Am I correct?

Let me give an example of what I mean:

When I download data for ES 06-13 with a 2005 start date, I notice that this wouldn't download all existing ES 06-13 data on the IQFeed servers, which goes back as far as April 2012. Instead, I get only the March 2013 data, meaning I'm only downloading the front-month contract data for each time period.

I also noticed that there will be overlapping days of data in March for ES 03-13 and ES 06-13... and the prices and volumes are not the same on these days. i.e. No back-adjustments were made.

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

Which interval of data are you working with?

[llstelle]

Hello,

Thank you for your post.

Which interval of data are you working with?

It's minute, last data. Thanks.

[NinjaTrader_Jason]

Hello llstelle,

Yes, this is as expected. NinjaTrader merges data automatically when you request historical data that spans multiple expiries (depending on the 'Merge policy' setting). Go to Control Center-->Tools-->Instrument Manager, highlight an instrument and click Edit. Check what setting is used for 'Merge policy'.

If enabled and you request historical data that spans across multiple expiries, it will automatically merge data from previous expiries in the chart. It will be merged as per the rollover dates that are setup.

If disabled (DoNotMerge) you will only load historical data for the expiry in question.

You can check the rollover date as follows. Please go to Control Center-->Tools-->Instrument Manager. Highlight an instrument in the 'Available master instruments' section and click Edit once more.

Subsequently select the Misc-tab and scroll to the bottom. Select the 'Contract months' row and click the '...' button that appears. Select an expiry month and you will see a rollover date listed. You can change the rollover date if you like.

For example, the ES 06-13 expiry is using a rollover date of 3/7/2013. This means historical data before this date will be loaded from the 03-13 expiry and so on.

If you like to load continuous data, you will need to use the ##-## expiry. So highlight the ES and set Expiry to ##-## in the Instrument Manager and click the arrow pointing to the left.

[llstelle]

Jason,

Thanks very much for your reply.

OK, what I don't understand is - what's the effect of the merge policy on the data if I'm downloading for the non-##-## contract? Currently, with merge enabled, there are overlapping days of data that have different values. Example: When I download for ES 06-13 all the way back, I get data from 03/03/2013 to 03/06/2013 for both ES 06-13 and ES 03-13. The price, volume and number of row entries is not the same, suggesting no back-adjustment was made to the data.

Am I correct to say that there are 4 kinds of download approaches I can take:

- Merge enabled, ES 06-13 contract: Download data for the front month contract for each rolling window. (e.g. ES 06-13 data for 03/13 onwards, ES 03-13 data for 12/12 to 03/13 etc.) No back-adjustment.
- Merge disabled, ES 06-13 contract: Download strictly only data for the specified delivery month. (e.g. ES 06-13 data from 04/12 to 03/13) No back-adjustment.
- Merge enabled, ##-## contract: Form a continuous contract using back-adjustment
- Merge disabled, ##-## contract: Form a continuous contract but without back-adjustment (i.e. there will be gaps at rollover).

[NinjaTrader_Jason]

Data between 03/03/2013 and 03/06/2013 will be loaded from the 03-13 expiry. Data after these dates is loaded from the 06-13 expiry. There is a price difference (-5) between the expiries, so data from the 03-13 expiry will be backadjusted by -5, so you will not see a gap.

The merge policy does not apply to ##-## expiries. This will load continuous data from the connected data feed - this data is already merged on the data feed side.

[llstelle]

Data between 03/03/2013 and 03/06/2013 will be loaded from the 03-13 expiry. Data after these dates is loaded from the 06-13 expiry. There is a price difference (-5) between the expiries, so data from the 03-13 expiry will be backadjusted by -5, so you will not see a gap.

The merge policy does not apply to ##-## expiries. This will load continuous data from the connected data feed - this data is already merged on the data feed side.

Ah, that explains it all in great detail. Awesome, thanks very much!

[balancenv]

（Just saw this thread and it does help in explaining the details).

What is not clear to me is, what exactly is '##-##', is it defined by the provider or Ninjatrader?

[Harry]

（Just saw this thread and it does help in explaining the details).

What is not clear to me is, what exactly is '##-##', is it defined by the provider or Ninjatrader?

##-## is a continuous contract, which is created by the data provider. NinjaTrader just displays that data. The continuous contract is not affected by the merge policy. The merge policy only applies to single month contracts.

This means that you have the choice to build your own "continuous" contract with NinjaTrader by merging single month contracts. Or you use the canned continuous contract as supplied by the data provider. If you want to know, how that continuous contract ##-## is built, you need to contact the data provider or search the internet for further information.