Rollover gap on backadjusted contract  [SOLVED]

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Ironman9973
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Rollover gap on backadjusted contract

Postby Ironman9973 » 02 Jul 2018

My data feed provider is IQ Feed. If there is a rollover on a future contract the continuous contract is not immediately back adjusted. That takes often more then one or two days. During that time is a gap on the chart. I spoke already with the support from IQ data, and they said:

"Hello Thomas,

Below is a screenshot of the same 60 min (1 hour) chart for QHG#C using DTN.IQ software. There isn't a gap as you can see. The issue apparantly is with the way MC processes the rollover data, not immediately but after some time. I recommend contacting MC support or forum and posting both screenshots for some feedback."

Is there a possible fix for that problem. Because I have running automated strategies, and sometimes I am getting false trades because of the gaps.

Thank you
QHG#C 1.PNG
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Thomas

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Re: Rollover gap on backadjusted contract  [SOLVED]

Postby TJ » 02 Jul 2018

Is this a Customer Future you created in MC?

or are you plotting a continuous contract provided by IQ?

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Re: Rollover gap on backadjusted contract

Postby Ironman9973 » 02 Jul 2018

This is a continuous contract provided by IQ.

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Re: Rollover gap on backadjusted contract

Postby rrams » 03 Jul 2018

Ironman, I feel your pain; but I don't know what MC could do to know when to reload the continuous contract data. DTN.IQ software is programmed to use it's own data, so it is aware of the rollover methodology that it uses. You are going to have to keep reloading all data around rollover day as well as switching or being aware of the contract that is trading as a continuous contract.

Just be glad you don't use Interactive Brokers continuous contract data. It gaps permanently when the volume on a more forward contract exceeds the next most forward contract. For instance; the current soybean future is August with a volume of 23k and the next contract is September with a volume of 10k, but the new November crop has more interest with a volume of 62k and so it represents the current continuous contract price. Copper probably acts in a similiar annoying way.

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Re: Rollover gap on backadjusted contract

Postby TJ » 03 Jul 2018

For continuous contracts, you should use the built-in Custom Future feature of MC. It is a lot more convenient.

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Re: Rollover gap on backadjusted contract

Postby TJ » 03 Jul 2018

My data feed provider is IQ Feed. If there is a rollover on a future contract the continuous contract is not immediately back adjusted. That takes often more then one or two days. During that time is a gap on the chart. I spoke already with the support from IQ data, and they said:

"Hello Thomas,

Below is a screenshot of the same 60 min (1 hour) chart for QHG#C using DTN.IQ software. There isn't a gap as you can see. The issue apparantly is with the way MC processes the rollover data, not immediately but after some time. I recommend contacting MC support or forum and posting both screenshots for some feedback."

Is there a possible fix for that problem. Because I have running automated strategies, and sometimes I am getting false trades because of the gaps.

Thank you

QHG#C 1.PNG
Thomas

You have to find out IQ's rollover date, then re-boot MC on that date. Otherwise the rollover data will not be adjusted. This is not MC's problem; MC is merely plotting whatever is given to it by IQ.

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Re: Rollover gap on backadjusted contract

Postby Ironman9973 » 18 Jul 2018

Today, the rollover gap happened again. In @CL#C. I re-booted MC, but the gap is still there. It always takes one or two days, until the gap disappears, and the contract is back adjusted.

I also contacted IQ feed, and they said that is a MC problem. That is what they wrote to me:

"Below is a screenshot of the same 60 min (1 hour) chart for QHG#C using DTN.IQ software. There isn't a gap as you can see. The issue apparantly is with the way MC processes the rollover data, not immediately but after some time. I recommend contacting MC support or forum and posting both screenshots for some feedback."

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Re: Rollover gap on backadjusted contract

Postby TJ » 18 Jul 2018

Today, the rollover gap happened again. In @CL#C. I re-booted MC, but the gap is still there. It always takes one or two days, until the gap disappears, and the contract is back adjusted.

I also contacted IQ feed, and they said that is a MC problem. That is what they wrote to me:

"Below is a screenshot of the same 60 min (1 hour) chart for QHG#C using DTN.IQ software. There isn't a gap as you can see. The issue apparantly is with the way MC processes the rollover data, not immediately but after some time. I recommend contacting MC support or forum and posting both screenshots for some feedback."

You can delete the data (or delete/re-add the symbol), that will invoke an immediate reload of the quotes.


ps. for dataprovider supplied continuous futures, you have to reload ALL the data each time there is a rollover.

The best way to make a continuous future is to use MC's built-in feature. You get an immediate back adjustment on the re-start of MC. No reloading of data is needed. Plus, you retain the original data in its original form.

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Re: Rollover gap on backadjusted contract

Postby sptrader » 18 Jul 2018

IQfeed rolls continuous contracts when the volume is higher in the next contract. Just like QCL# changed to Sept today.
Instead of rebooting to see the new contract data, I just change the # of days loaded by 1 day, then MC will collect the new data.

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Re: Rollover gap on backadjusted contract

Postby wilkinsw » 18 Jul 2018

IQfeed rolls continuous contracts when the volume is higher in the next contract. Just like QCL# changed to Sept today.
Instead of rebooting to see the new contract data, I just change the # of days loaded by 1 day, then MC will collect the new data.
Don't think you're right...i thought IQfeed rolls were pre meditated. I remember they actually have a calender for the roll of data.

Also you are using the undadjusted QCL# and not backadjusted QCL#C, so your advice is presumably incorrect, considering you have opted for unadjusted (gappy) data.

I also advise people to take ownership of their rolls...ie use the custom contract builder.

I advise in this users case to delete the symbol and re add it.

Personally I take the settlement delta between the two contracts on the day I want to roll.....then simply print to file the 1min OHLC values of the old contract with the delta applied.....then paste (import) this ascii file into the new front month contract in qmd. job done.


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