Has anyone succeeded in getting around the fact that IB do not offer continuous contract data on futures? I hope that is the right term, I mean combining the price data from all contracts in a series into a single instrument.
What methods are there for combining manually?
The questions is really what you want to do with it. MultiCharts allows you to create backadjusted contracts built from single month contracts. For many purposes a backadjusted contract is much better than a continuous contract. As a rule of thumb
-> for backtesting only backadjusted contracts may be used
-> for day traders and scalpers backadjusted contracts are best
-> for investors and swing traders holding positions a few weeks and more, continuous contracts are preferable
I would preferably like to do this in Multicharts since I am trying to use only one charting platform as much as possible (I previously used Incredible Charts which is a great free product but offers everything except futures).
My trading is still evolving so my needs may change but currently it's less for trading and more for analysis/following commentary since I am trading the spot forex. Can you explain the difference between continuous and backadjusted?
Backadjusted: When you switch contracts (rollover), there usually is a gap between the price of the new and the old front month contract. Let us for example look at ES. The official rollover date was March 8, 2012. So you would switch from the old front month contract ES 03-12 to the new contract month ES 06-12 at the end of the session of March 7, 2012. If you look at the single contracts on March 7
ES 03-12 closed at 1353.00
ES 06-12 closed at 1347.50
This means that there is a gap down of -5.50 points from the old front month ES 03-12 to the new front month ES 06-12. To make disappear this gap, you can backadjust the old contract - that is move all bars of that contract 5.50 points down to match the new contract. This is what is required to
-> allow for proper backtesting
-> not to distort swing sizes in case that you use measured moves or fib retracements
Ratio backadjusted: Adjust all bar of the prior contract by multiplying them with the ratio 1347.50/1353
Continuous futures: Artificial price series built from several single month contracts in a way to reflect long term prices, different methods are used by different data suppliers.