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»Forums Index »Product Support »IQFeed Datafeed Wish List »Futures Equalized Sessions
Author Topic: Futures Equalized Sessions (30 messages, Page 1 of 1)

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Dec 11, 2009 10:15 AM          Msg. 1 of 30
Hello:

Been seeing more and more talk on various sites talking about futures equalized prices. Are you guys able to provide anything like that?

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Dec 11, 2009 10:39 AM          Msg. 2 of 30
Hi Conr,

I'm sorry, but no we do not offer the futures equalized prices. If you have any further questions, please feel free to ask.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Dec 11, 2009 10:45 AM          Msg. 3 of 30
our developers are actually looking at this right now. I don't have an ETA, but we are hoping to have something in place for the next rollover.

Jay Froscheiser
DTN

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Dec 11, 2009 11:40 AM          Msg. 4 of 30
Jay, that is great.

One other question. Should that become avail., will that be a seamless symbol for the chart providers? In other words, will the likes of Sierra and others have to do anything on their end?

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Dec 11, 2009 01:40 PM          Msg. 5 of 30
We have a couple options for how we do this. The way we are thinking it will not require anything on the client app side. Instead, we will just provide a different symbol to use that will be adjusted (instead of @ES# it may be @ES#0 for example).

Jay Froscheiser
DTN

davewolfs
-Interested User-
Posts: 4
Joined: Nov 16, 2009


Posted: Dec 17, 2009 09:39 PM          Msg. 6 of 30
In addition to the ES, will this be available to other symbols such as @EU, @TFS, CL, GC etc...

ganamide
-Interested User-
Posts: 4
Joined: Jan 8, 2010


Posted: Jan 8, 2010 09:10 PM          Msg. 7 of 30
Is there a plan to roll the futures when the volume becomes greater in the next month, or on the first notice date, or something similar, instead of rolling on the expiration date?

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Feb 26, 2010 08:25 PM          Msg. 8 of 30
jay,

how is this coming along?

maxwells
-Interested User-
Posts: 1
Joined: Feb 28, 2010


Posted: Feb 28, 2010 09:40 AM          Msg. 9 of 30
Hey Jay

How is this feature coming along? Would be great tools for alot of peoples.

Regards

Max

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Mar 3, 2010 11:27 AM          Msg. 10 of 30
Response please?

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Mar 3, 2010 06:00 PM          Msg. 11 of 30
We are still working on this. It continues to be a priority but there are many ramifications throughout the server and client so we need to make sure it is done right.

Jay Froscheiser
DTN

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 20, 2010 03:52 PM          Msg. 12 of 30
Jay,

How are you guys doing on this?

Thanks.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Apr 20, 2010 04:01 PM          Msg. 13 of 30
Still in process. In fact, today we added back into our servers some historical futures contracts which are part of this project. For example, you can now pull up @ESM09 to get that historical contract. Our goal is to have equalized history available by next roll of the eminis. Development is working hard to meet this goal.

Jay Froscheiser
DTN

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Jul 2, 2010 02:43 PM          Msg. 14 of 30
How's it coming? I'm not in a hurry for it but just curious to know the status

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Jul 5, 2010 01:06 PM          Msg. 15 of 30
I'm in a hurry. :)

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jul 5, 2010 10:50 PM          Msg. 16 of 30
We will have a bit more visibility on the release date this week, but currently we are looking at a release on July 10th. We want to get this out the door as quick as possible, but we don't want to introduce any issues.

Jay Froscheiser
DTN

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1753
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jul 7, 2010 08:47 AM          Msg. 17 of 30
Sorry folks, but the new data is July 17th. Our QA group found a couple issues and wants to make sure the fixes are right before we deploy this.

Jay Froscheiser
DTN

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Jul 7, 2010 08:56 AM          Msg. 18 of 30
July 17 is awesome. I prefer to wait until it's perfect, having good data is really important. I've tried adjusting my own but never can get it right. so looking forward to it. This is great news.

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Jul 19, 2010 12:22 PM          Msg. 19 of 30
Anything yet?

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Jul 19, 2010 12:26 PM          Msg. 20 of 30
All looks to be operational now. Use #C for the smoothed continious data on futures.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

ganamide
-Interested User-
Posts: 4
Joined: Jan 8, 2010


Posted: Jul 19, 2010 01:56 PM          Msg. 21 of 30
Does this apply to all futures contracts, and is it retroactive? How far back does it go?

DTN_Nathan_Bartsch
-IQ Developer-
Posts: 33
Joined: May 3, 2004

Telvent DTN


Posted: Jul 19, 2010 02:11 PM          Msg. 22 of 30
Does this apply to all futures contracts?
It should apply to all front-month continuous contracts (ie.. ROOT#C)

Is it retroactive?
It is retroactive, we have back-loaded data to perform the adjustment on pre-existing data. We will be updating this information as the contracts roll in the future.


How far back does it go?
That's a bit trickier. It goes back different levels for different commodity roots.

For example:
Composite bean oil (+BO#C) is back-adjusted through the last 50 contracts (March 2004)
Composite corn (+C#C) is back-adjusted through the last 70 contracts (Sept 1996)

It will vary based on the contract and session (composite / electronic / pit)

Hopefully that helps...

Nathan W. Bartsch - Senior Software Engineer - Telvent DTN

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Jul 23, 2010 03:28 PM          Msg. 23 of 30
What about ES? I just tried it on Sierra Chart and it only went back to 6/22/10

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Jul 23, 2010 03:37 PM          Msg. 24 of 30
Hi Conr,

I just tried it on my IQ charts & a 1 min chart goes back to 12-12-07 Check your Sierra chart settings, there may be a way to adjust how far back it goes.
If we can be any further help, please let feel free to ask.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

SierraChart
-Interested User-
Posts: 25
Joined: May 23, 2006


Posted: Jul 24, 2010 01:14 AM          Msg. 25 of 30
You will need to download historical intraday data as Minute data to go further back. Most likely you are downloading Tick data. After you change this setting under File >> Data/Trade Service Settings, go to the chart and select Edit >> Refresh All Intraday Data for Symbol. Additionally, in the Data/Trade Service Settings window you can control how many days of historical intraday data to download. You probably want to set that to at least 365.

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Sep 9, 2010 03:06 AM          Msg. 26 of 30
Today is rollover day for the indexes and some other futures. Do we need to redownload the historical data for the #C adjusted continuous contracts? It seems we'd need to do that since the adjustments in the past will have changed.

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Sep 9, 2010 11:39 AM          Msg. 27 of 30
You will certainly need to redownload unless whatever 3rd party software already does this for you on roll date (based off the new contract price). You will need to check with the support group for whatever software you are using to know if they automatically update the back adjusted history.

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Sep 9, 2010 02:14 PM          Msg. 28 of 30
Do you know if Sierra does this?

astonish
-Interested User-
Posts: 1
Joined: Sep 21, 2010


Posted: Sep 21, 2010 08:50 PM          Msg. 29 of 30
Thank you DTN for adding this feature. All though not 100% perfect (and I know there is no such way to "perfectly" make continuous contracts) it has allowed me to do some basic backtesting over the long haul. It's "good enough" and saves me investigating other data vendors to get these continuous contracts for testing

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Sep 22, 2010 01:39 AM          Msg. 30 of 30
I second that. A big thanks & congratulations to the IQFeed team who pulled it off. It saves me hours of merging at rollover.
 

 

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