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»Forums Index »Product Support »Data and Content Support »adjust intraday data
Author Topic: adjust intraday data (4 messages, Page 1 of 1)

junkone
-Interested User-
Posts: 28
Joined: Jul 18, 2007


Posted: Jul 24, 2018 06:47 PM          Msg. 1 of 4
it looks like the eod data is adjusted but he intraday historical data is not adjusted. I want to do it manually. is there a script or logic that i can use to adjust it.
the other idea i had was to get the open price from both data sources and then use it as a ratio to adjust the intraday data.
what do you folks think?

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jul 26, 2018 07:41 AM          Msg. 2 of 4
Good morning,

We do not have any scripts for this kind of thing. But as to the logic for daily, we use the last price of the two relevant contracts and adjust all historical data by the difference to move old data, up or down, to match.

Tim
Edited by DTN_Tim Walter on Jul 26, 2018 at 07:43 AM

junkone
-Interested User-
Posts: 28
Joined: Jul 18, 2007


Posted: Jul 26, 2018 01:16 PM          Msg. 3 of 4
can you give me a example so i understand the daily logic

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Jul 26, 2018 02:13 PM          Msg. 4 of 4
Example Before Data

@CU18 @CZ18
12th : $4.00 $13.00
13th : $4.50 $13.50
14th : $5.00 $14.00
15th : $2.50 $15.00
16th : ------ $15.50

Sure, given the prices above for two corn contracts, and leading up to a roll date on the 15th of Sept.

Up to the 15th @CU18 prices are used, but when the continuous contract rolls to the next month in line, @CZ18, we take the difference between the two closes, (15 - 2.5 = 12.5) and add it to all previous dates.

After calculation:
@CU18 @CZ18
12th : $16.50 $13.00
13th : $17.00 $13.50
14th : $17.50 $14.00
15th : $15.00 $15.00
16th : ------ $15.50

This results in a chart that goes
@C#C
12th : $16.50
13th : $17.00
14th : $17.50
15th : $15.00
16th : $15.50

As opposed to:
@C#C
12th : $4.00
13th : $4.50
14th : $5.00
15th : $2.50
16th : $15.50

Let us know if you need any other clarification.

Tim
 

 

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