Can we backadjust the continuous contract for index futures during rollover like eSignal did? Thanks. Right now there is a huge price gap between the two day's action during the rollover without backadjustment. Thank you for your help.

Hello,

I have relayed your request to the appropriate people. I will let you know what I hear back.

The tough question is: How do you backadjust? There are at least 6 different ways of backadjusting data, each will manipulate the history in unexpected ways.

Do you add the difference between the new contract and the old to all back-data? If so, it's possible for contracts to go negative in the past.

Do you use a ratio between the new contract and the old and multiply all back-data? If so, price moves will be exaggerated. (I prefer this method with my own platform, but it shows $6.20 corn in Jan '04, when the actual contract high was only $3.40)

Every choice is a trade-off. People may not expect the continuous contract to behave in whatever way DTN chooses to do rolls.

One other thought: Have DTN-based product developers coded to expect back history to change? Certainly it happens with stock splits, but never with futures.
Edited by FullyArticulate on Jan 25, 2007 at 04:37 PM

I think Tradestation and Esignal both did a good job. I have no problem there. Thanks.