Hello,
I have a problem with the back-adjusted continuous futures series.
I have built the same series (same parameters for the custom futures) in TS and Multicharts. Multicharts is fed by TS data thus I’m sure that values are the same.
In the first eight months (going backwards) the two series are identical however on the 13/07/20, they start to differ. On 13/07/20 they differ only by the close and then, going backwards the difference becomes bigger and bigger
I attached some screenshots with dates
Does anyone know why this happens?
I think the problem it’s not a setting because the first part of the two series is exactly the same, therefore it rolls correctly.
Thanks
Backadjusted series mismatch
Backadjusted series mismatch
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Re: Backadjusted series mismatch
There's actually quite a few variables that would explain differences between a custom continuous created in MC vs TS, even when using the same data.
When I've done similar activities; it's painstaking and there's a lot to check.
Firstly: Which continuos dataseries has the highest cumulative total of volume? Always start there. As a rule of thumb, the issue will be coming from the source that generates the lower cumulative volume score.
After that, come back. But be warned.... unless someone else chips in who happens to know of a very specific issue in common..... this will take a lot of work on your part.
When I've done similar activities; it's painstaking and there's a lot to check.
Firstly: Which continuos dataseries has the highest cumulative total of volume? Always start there. As a rule of thumb, the issue will be coming from the source that generates the lower cumulative volume score.
After that, come back. But be warned.... unless someone else chips in who happens to know of a very specific issue in common..... this will take a lot of work on your part.
Re: Backadjusted series mismatch
Thanks wilkinsw,
The insight on cumulative total of volume helped me a lot. I probably found out the problem.
The volume on Multicharts and TS is the same (even in the old bars where prices differ) except that on 13/07/20 where Tradestion shows a lot less volume.
I made a test with IQfeed and I obtained the same results as with TS data.
Fabio
The insight on cumulative total of volume helped me a lot. I probably found out the problem.
The volume on Multicharts and TS is the same (even in the old bars where prices differ) except that on 13/07/20 where Tradestion shows a lot less volume.
I made a test with IQfeed and I obtained the same results as with TS data.
Fabio