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Anybody aware of a way I can download Futures data into ascii (or excel) with the following data:
D,T,O,H,L,C,V,OI,DM,UC
My current datafeed is IQFeed and they say that they can provide the data. I use Qcollector to use the data from IQfeed to build that data files but I can't figure out how to get the Delivery Month (DM) and Unadjusted Close (UC) into the ascii file.
Can you help answer these questions from other members on NexusFi?
I don't have a developers license. However now that you mention it, you might be right. The expiration date information is only available in the real-time interface.
There might be some sort of solution to this by using DTN.IQ Time and Sales software. If I have understood correctly you can export the data into CSV with the Time and Sales software. However sales support is still closed so not sure whether it can do what I want.
Do you know whether this issue is vendor specific. Could I use eSignals Qlink or something to fix the issue?
for me this question is about continuous contract, the author forgot to mention
DM you can deduct it doing a differential between the continuous contract and the specif month (the delivery is part of the symbol of the specific month).
UC you take it from the front month
Logic :
- take history in continuous contract
- take history in individual contract
- synchronize the streams and add from the front into the continuous
it's a bit of work, but that's how i would do it...