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»Forums Index »Product Support »Data and Content Support »How to tell which futures contract the continuous contract is based on?
Author Topic: How to tell which futures contract the continuous contract is based on? (5 messages, Page 1 of 1)

andrewm
-Interested User-
Posts: 21
Joined: Feb 23, 2015


Posted: Jul 14, 2019 09:06 PM          Msg. 1 of 5
When pulling historical or realtime data, how do you know what contact you're really looking at?

DTN Todd
-Interested User-
Posts: 38
Joined: Mar 24, 2010


Posted: Jul 14, 2019 09:28 PM          Msg. 2 of 5
Snapquote in IQfeed applications will indicate what symbol iqfeed is using as the current symbol for a continuous contact. You would need to enter the continuous symbol is snapquote

andrewm
-Interested User-
Posts: 21
Joined: Feb 23, 2015


Posted: Jul 14, 2019 09:37 PM          Msg. 3 of 5
Thanks. Is there a programmatic way using the API?

DTN_Stephen
-DTN Evangelist-
Posts: 195
Joined: Aug 22, 2014


Posted: Jul 15, 2019 07:13 AM          Msg. 4 of 5
When pulling history there is no way to tell the underlying contract.

When pulling streaming data the correct month is listed in the contract description, however there is no direct indication of the underlying contract.

Stephen Shockey
Customer Support Representative

DTN
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stephen.shockey@dtn.com

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altmany
-Interested User-
Posts: 34
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: Jul 15, 2019 11:13 AM          Msg. 5 of 5
You can use the Exchange_Root field together with the Expiration_Date field (to get the year and month), convert the month into the corresponding letter based on the standard symbology, and concatenate everything together.

For example, @ES# currently reports Exchange_Root='ES' and Expiration_Date='09/20/2019', so the current underlying contract is @ESU19 (U=September). If you compare the data fields of the fundamental report (after placing a simple watch) for @ES# and @ESU19, you'll see that they are identical except for 4 fields that naturally contain different values: Symbol, Historical_Volatility, 52_Week_High, and 52_Week_High_Date.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion
 

 

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