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Workaround for no continuous contract data?
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Workaround for no continuous contract data?

  #1 (permalink)
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Workaround for no continuous contract data?

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?
thanks
B

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  #2 (permalink)
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BenosBanderos View Post
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?
thanks
B

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

If you hold your positions for weeks and months, you can use free charting software that comes with EOD data for continuous futures. One package that I have used is ProRealTime : Real Time Technical Analysis Software.

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  #3 (permalink)
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Fat Tails View Post
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

If you hold your positions for weeks and months, you can use free charting software that comes with EOD data for continuous futures. One package that I have used is ProRealTime : Real Time Technical Analysis Software.

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?

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  #4 (permalink)
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BenosBanderos View Post
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.

More information is here:

https://futures.io/download/educational_manuals_ebooks_videos/628-download.html?view

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  #5 (permalink)
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Fat Tails View Post
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.

More information is here:

https://futures.io/download/educational_manuals_ebooks_videos/628-download.html?view

Thanks for that. I can see a few pros and cons of each but I'll check out the link.

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  #6 (permalink)
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BenosBanderos View Post
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?
thanks
B

there is a work around...i personally use etf's for index futures (spy-qqq-iwm) for gc and 6e i use spot
xauusd and eurusd....it works perfectly..

regards

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  #7 (permalink)
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Back Adjusted Data

Hi,

Could you please advise the accurate example or videos where I can find how to go about in making a back adjusted data?

It would be very helpful for us ...

Appreciate your time..

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ilu007 View Post
Hi,

Could you please advise the accurate example or videos where I can find how to go about in making a back adjusted data?

It would be very helpful for us ...

Appreciate your time..


This depends on the data provider and the software package that you use.

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  #9 (permalink)
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I have a local datafeed here in india but it is getting a data from e-signal.

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