DTN Adjusted Continuous Contract Data

[LS_Chad 10]

DTN is now providing pre-adjusted data (to remove calendar spreads/gaps) for continuous futures contracts. (DTN IQFeed and DTNMA users). This makes life much easier on those users doing longer term composite volume profiles.

 

To learn how to to configure Investor/RT to automatically download this pre-adjusted data, visit: http://tinyurl.com/29abvxj This method can also be used in MarketDelta (10.2.5).

 

I have created a video which demonstrates auto-adjusted DTN data and answers many questions on topic: http://tinyurl.com/2buzfgm (11mins)

 

Chad

[TheDude 10]

One thing that really bugs me about IQ Feed is it's inability to display weekly or monthly data for back month contracts. e.g. if you want to look at Aug11 Weekly crude chart or Sep12 Eurodollar in anything bigger than a daily chart, IQ defaults to the front month.

 

This is a big issue for longer term commodity traders (eg people who trade spreads)

 

If anyone knows of another data feed that can do this, please let me know as I'm thinking of ditching IQ because of this.

 

Thanks,

[LS_Chad 10]

Here is a weekly chart on Crude Oil continuous contract, QCL#, going to 2002 (Investor/RT with data from DTN):

 

Images | ChartHub.com

 

Is that not what you're looking for?

[TheDude 10]

No it is not what I need, but thanks for the attempt.

 

I need a weekly chart of a back month. A back month is not a continuation chart. Your continuation chart is just a weekly chart of the rolling front month. (eg Sep 11 crude is trading round 83, but as your chart shows, the price is trading round 78)

 

Try posting a weekly chart of @EDU11 (Globex Eurodollar Sept 11). See what you get. I bet you get a chart, but it will not be of the back month. It will have the front months data instead - like your crude chart. Why would a trader want to see a chart of front month data when he/she has specified a back month? What I would expect to see is a weekly chart that contains weekly OHLC bars of Sep 11 data only - from when Sep 11 was first listed to current day.

 

Ive asked this to be put on the programmers to do list, but no luck to date.

 

Thanks.

Edited July 23, 2010 by TheDude

[SIUYA 11]

Dude - are you looking for a continuous contract made up of back months, or just each months data from the date it trades.

Esignal used to be able to just show the data for each contract.

 

I dont know of any system that allows you to build a continuous contract from back months, unless you can specifiy the roll dates. The best I have seen is one where you can download all the data and then form a continuous contract yourself..... CSI data - unfair advantage.

I am sure there are others out there.

[TheDude 10]

I have no interest in continuation contracts at all!

 

All I want is to be able to see a named back month in weekly bars from the day it listed to the current day. When I say current day, I mean where the specified back month is trading today.

 

I wish I could post a simple chart of this, but I cant!!!

 

Thanks

[LS_Chad 10]

Here is what I'm seeing for weekly bars of @EDU10 vs @EDU11:

 

Images | ChartHub.com

 

It appears the EuroDollar is much more liquid/active 1 year out than contracts like the ES. But does that look correct to you, dude?

 

There is one thing to keep in mind, Investor/RT creates the weekly and monthly charts from daily bars. So we are downloading the daily bars (not the weekly or monthly bars) and then forming the weekly bars from that daily data. So it may be that DTN's weekly bars represent the continuous contract while the daily bars properly represent the contract requested.

 

Chad

[TheDude 10]

Chad - You got it! Thanks very much. This is what I want to see.

 

I use Ensign and it creates what it is given from IQ, although IQ admit they should be able to do this.

 

However, from what you have said, it looks like Investor/RT could well be the better platform as it has a good work around from the limitations IQ imposes.

 

I'm gunna take a look at your website - you may have a new customer....

[LS_Chad 10]

With Investor/RT, you can setup each symbol to grab the weekly and/or monthly bars from the data vendor. However, by default, it grabs the daily bars and then forms the weekly or monthly bars from the daily bars. This tends to work better for the vast majority of data feeds and specifically for DTN IQFeed.

 

If you need any help getting setup up with the software, Dude, just email me at support@linnsoft.com