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Back-Adjusting ES Tick data manually
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Back-Adjusting ES Tick data manually

  #1 (permalink)
Elite Member
Orlando Florida
 
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: Emini ES Treasures
 
Posts: 2 since Aug 2014
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Back-Adjusting ES Tick data manually

I'm looking to get adjusted/continuous tick data from the beginning of 2013(or 2014) to the end of 2015.

Using the gomrecorder/qcollector (https://futures.io/elite-circle/7279-official-gomrecorder-qcollector-tick-data-sharing-thread.html) files already out there would be great but I don't have any references for the rollover gaps to make the gom/qcollector data continuous. Love to hear any ideas...I'm sure it could help a lot of people down the road looking for low cost adjusted data. The reference data I'd need would look something like
ESH6 +1.5
ESZ5 -2.5

Thanks in advance!


Last edited by sifumech; April 20th, 2016 at 01:44 AM. Reason: adding alternate request
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  #2 (permalink)
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  #3 (permalink)
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Futures Experience: Intermediate
Platform: Ninja, ThinkSwim, Used TS
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there's a discussion of creating continuous contract @
https://www.quantstart.com/articles/Continuous-Futures-Contracts-for-Backtesting-Purposes

and a python tool. This is a good start.

It's been years since I played with this. There is back and back-forward adjustment schemes
in both you loose the magic numbers like /ES 2100.00

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  #4 (permalink)
Elite Member
Orlando Florida
 
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: Emini ES Treasures
 
Posts: 2 since Aug 2014
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My solution

What I decided to do was use my historical data service (which back-adjusts data) and unadjusted contract data to come of with the gap. Unfortunately I didn't find any reference with the expiration gap information I was looking for. My procedure was:
1) Figure out all the expiration dates
2) Look at the historical continuous contract and see what the close was for all expiration dates
3) Look at the individual (unadjusted) contract and look at the close for all expiration dates
4) subtract the two price for each expiration date
5) add the difference to all transactions that took place during each contract

Bit time consuming but worked for me.

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