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Crude Oil low, which is correct?
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Crude Oil low, which is correct?

  #1 (permalink)
Elite Member
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Crude Oil low, which is correct?

Hello all
1st time post here. I use esignal for my charting. I trade Crude Oil and using esignal charting They have 2 symbol options. One being ES #F and the other ES #F=1 for continuous charts
I was told by esignal to use ES #F=1 as that is how I get the intra day data using CME waiver program.
Now the problem is looking at a daily chart. When I use symbol ES #F=1
I have a low on May 20th 2010 of 6885 The Open=72.75 H=7328 L=6885 C=7080
My friend who also uses esignal used symbol ES #F and had sent me a daily chart, which I noticed had a lower low than the 6885 on the 20th of May. The low was 6424 O=7120 H=7129 L=6424 C=6801
so using symbol CL #F=1 the major low shows as 6715 on May 25th 2010
I went to barchart.com and put up a daily continous chart with option nearby contracts. That chart shows the 6715 May 25th as the low.
I then went to a site that shows a chart using Omega Research data and the low shows at 6424. With that chart I could only get it using a weekly chart. So which low is correct? I have my esignal charts using 24 data
What are CL traders showing as the low?

Thank you for your help
Mike

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Crude Oil low, which is correct?-crude-daily-may-20th-barchart.jpg   Crude Oil low, which is correct?-crude-daily-may-25th-barchart.jpg   Crude Oil low, which is correct?-crude-weekly-omega-research.jpg   Crude Oil low, which is correct?-daily-cl-f.jpg   Crude Oil low, which is correct?-daily-cl-f-1.jpg  
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  #2 (permalink)
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  #3 (permalink)
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I think the right one is the 6424, and seems that your CL#F=1 is not continuous contract but the last one.
Is better if you report this to eSignal.

Take your Pips, go out and Live.
Luke.
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  #4 (permalink)
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crudetrader View Post
Hello all
1st time post here. I use esignal for my charting. I trade Crude Oil and using esignal charting They have 2 symbol options. One being ES #F and the other ES #F=1 for continuous charts
I was told by esignal to use ES #F=1 as that is how I get the intra day data using CME waiver program.
Now the problem is looking at a daily chart. When I use symbol ES #F=1
I have a low on May 20th 2010 of 6885 The Open=72.75 H=7328 L=6885 C=7080
My friend who also uses esignal used symbol ES #F and had sent me a daily chart, which I noticed had a lower low than the 6885 on the 20th of May. The low was 6424 O=7120 H=7129 L=6424 C=6801
so using symbol CL #F=1 the major low shows as 6715 on May 25th 2010
I went to barchart.com and put up a daily continous chart with option nearby contracts. That chart shows the 6715 May 25th as the low.
I then went to a site that shows a chart using Omega Research data and the low shows at 6424. With that chart I could only get it using a weekly chart. So which low is correct? I have my esignal charts using 24 data
What are CL traders showing as the low?

Thank you for your help
Mike

You are asking quite a difficult question here, and I am afraid there is no answer.


Single Month Contract CLG1 (WTI Crude February 2011)

This is the only real value for CLG1. It shows a low of 72.76 for May 25. The low refers to the ETH session.


Merged or Continuous Contracts for CLG1

All charts for merged or continuous contracts show artificial values. There is no general rule, how to merge contracts. The result may depend on

(1) whether you use backadjusted, ratio-backadjusted, non-backadjusted or continuous futures
(2) the selection of the rollover date - for CL there is no common rollover date, which means that CSI, Pinnacle or E-Signal have different rollover dates and therefore different offsets that are used for backadjusting
(3) the selection of the session (ETH or RTH)
(4) for the close also the selection of the close or the settlement or closing price for the daily bars

Given the number of parameters, you may get about 10 to 20 different lows for a mergebackadjusted or continuous futures contract.

The current front month contract on May 25, was CLN0 (WTI Crude July 2010). The low of the day for this contract was 67.15. From this we may conclude that the charts showing 67.15 as the low used the non-adjusted contract CLN0.

I personally use backadjusted contracts. The advantage of these contract is that they show correct relationships for swingsizes. The inconvenience is that the absolute levels are false. As crude is more or less in permanent contango, the offsets are usually positive and the older contracts are shifted up. So my chart shows a low of 72.15 for May 25. This is absolutely false, but it reflects the way you can trade CL, as it accounts for rolling profits or losses.


You Choose How to Display the Data Taken From Different Contracts

So the type of contract you use, depends on the purpose. For Fibonacci traders and timeframes < 1 year, mergebackadjusted contracts are fine. For backtesting you would absolutely want to use mergebackadjusted contracts, unless you close out all positions prior to each rolldate (once per month). For longer timeframes you may also select continuous futures contracts.

The low on the chart just reflects you choice and nothing else. If you want to know how it was produced, you need to read the user manual of your data provider.

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  #5 (permalink)
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LukeGeniol View Post
I think the right one is the 6424, and seems that your CL#F=1 is not continuous contract but the last one.
Is better if you report this to eSignal.

Umm, ok I was wrong on the prev post.
@Fat Tails is right, probably the difference from CL#F and CL#F=1 is that one is backadjusted an the other not, like on IQFeed that uses XX# for non backadjusted and XX#C for backadjusted continuous contract.

Take your Pips, go out and Live.
Luke.
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  #6 (permalink)
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LukeGeniol View Post
Umm, ok I was wrong on the prev post.
@Fat Tails is right, probably the difference from CL#F and CL#F=1 is that one is backadjusted an the other not, like on IQFeed that uses XX# for non backadjusted and XX#C for backadjusted continuous contract.

single contract -> 72.76
non backadjusted -> 67.15
backadjusted -> roughly 72.15
continuous -> around 65

The continuous contract is spliced together from different contract months. You can think of it as a weighted average between several contract prices. If for May 25 it was spliced from the June and July contracts and CL was in contango (which was the case) the continous contract will come out below the value of 67.15

I had posted a little document here that explains, how the contracts are put together.

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

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  #7 (permalink)
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LukeGeniol View Post
I think the right one is the 6424, and seems that your CL#F=1 is not continuous contract but the last one.
Is better if you report this to eSignal.

Thank you for the reply. I already reported this to esignal, so will see what they say

Mike

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  #8 (permalink)
Elite Member
Chicago, IL
 
Futures Experience: Advanced
Platform: Ninja and esignal
Favorite Futures: oil
 
Posts: 31 since Jan 2011
Thanks: 103 given, 14 received


Fat Tails View Post
You are asking quite a difficult question here, and I am afraid there is no answer.


Single Month Contract CLG1 (WTI Crude February 2011)

This is the only real value for CLG1. It shows a low of 72.76 for May 25. The low refers to the ETH session.


Merged or Continuous Contracts for CLG1

All charts for merged or continuous contracts show artificial values. There is no general rule, how to merge contracts. The result may depend on

(1) whether you use backadjusted, ratio-backadjusted, non-backadjusted or continuous futures
(2) the selection of the rollover date - for CL there is no common rollover date, which means that CSI, Pinnacle or E-Signal have different rollover dates and therefore different offsets that are used for backadjusting
(3) the selection of the session (ETH or RTH)
(4) for the close also the selection of the close or the settlement or closing price for the daily bars

Given the number of parameters, you may get about 10 to 20 different lows for a mergebackadjusted or continuous futures contract.

The current front month contract on May 25, was CLN0 (WTI Crude July 2010). The low of the day for this contract was 67.15. From this we may conclude that the charts showing 67.15 as the low used the non-adjusted contract CLN0.

I personally use backadjusted contracts. The advantage of these contract is that they show correct relationships for swingsizes. The inconvenience is that the absolute levels are false. As crude is more or less in permanent contango, the offsets are usually positive and the older contracts are shifted up. So my chart shows a low of 72.15 for May 25. This is absolutely false, but it reflects the way you can trade CL, as it accounts for rolling profits or losses.


You Choose How to Display the Data Taken From Different Contracts

So the type of contract you use, depends on the purpose. For Fibonacci traders and timeframes < 1 year, mergebackadjusted contracts are fine. For backtesting you would absolutely want to use mergebackadjusted contracts, unless you close out all positions prior to each rolldate (once per month). For longer timeframes you may also select continuous futures contracts.

The low on the chart just reflects you choice and nothing else. If you want to know how it was produced, you need to read the user manual of your data provider.


Fat Tails View Post
single contract -> 72.76
non backadjusted -> 67.15
backadjusted -> roughly 72.15
continuous -> around 65

The continuous contract is spliced together from different contract months. You can think of it as a weighted average between several contract prices. If for May 25 it was spliced from the June and July contracts and CL was in contango (which was the case) the continous contract will come out below the value of 67.15

I had posted a little document here that explains, how the contracts are put together.

continuous -> around 65, So I believe the 6424 would be this low
Thanks again
Mike

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  #9 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,597 received
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crudetrader View Post
continuous -> around 65, So I believe the 6424 would be this low
Thanks again
Mike

It comes a bit low.

For your eSignal #F contracts, there is a knowledge base that explains them, which can be found here:

http://kb.esignalcentral.com/article.aspx?article=1412&p=1

It seems that you can configure continuous contracts to match your needs with eSignal 7.9 or later. That said, I do not know, which method is used to splice or stick the contracts together.

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