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»Forums Index »IQFeed Developer »IQFeed Developer Support »Continuous Contract Data
Author Topic: Continuous Contract Data (3 messages, Page 1 of 1)

jlarmee
-Interested User-
Posts: 54
Joined: Jan 12, 2006


Posted: Dec 14, 2009 08:44 AM          Msg. 1 of 3
Hi. We have a project backtesting a trading strategy. We're using DTN IQFeed to retrieve daily data. We use a continuous contract. For example, for the S&P e-mini, we're using the symbol @ES#. So far so good.

But, our client is checking the results using ProphetX and he saw some discrepencies. He uses the symbol @ES@C. After a lot of head-scratching, we realized the the data is different between the two on some days.

I realize that a continuous contract is stitched together using the data from the actual contracts. And, I suspect that the cut-over day is different on the two products. So, we see the differences around the cut-over time. For example, the data is different on September 15th, 2009 but the same on October 1st, 2009.

So, I guess the question is: since, both products are provided by DTN, shouldn't the data be consistent?

Thanks,
Jay

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


Posted: Dec 14, 2009 03:59 PM          Msg. 2 of 3
Jay, ProphetX and IQFeed run off of different server farms which are fed from the same internal DTN ticker plant. However, some of the methodologies for compiling data are slightly different. We (DTN) have been making an effort to consolidate all of these methodologies so that the same data is available on both platforms but contract roll dates for continuous symbols happens to be one of the differences that still exist.

jlarmee
-Interested User-
Posts: 54
Joined: Jan 12, 2006


Posted: Dec 15, 2009 08:23 AM          Msg. 3 of 3
Okay, Steve.

That's what I figured. Just wanted to make sure I wasn't missing something.
 

 

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