Hello.
I have issue with quotes provided by Interactive Brokers. I use Multicharts + IB Gateway and I tried to display continuous contract for Crude Oil(@CL) NYMEX. But in the left corner of graph quotes are really bad, the bar open price = bar close price. I need good price history for strategies back test.
Whats wrong with quotes?
Multicharts and Interactive Brokers Quotes issue
- TJ
- Posts: 7740
- Joined: 29 Aug 2006
- Location: Global Citizen
- Has thanked: 1033 times
- Been thanked: 2221 times
Re: Multicharts and Interactive Brokers Quotes issue
What you see is what MultiCharts received from IB.
Crude Oil is an unusual instrument.
How would you like to build your so called continuous contract?
1. one contract expires and link with the next contract?
2. one contract expires, skips and contract, and link with the one after that?
3. before one contract expires, link with the next most volume contract?
4. one week before one contract expires, link with the next contract?
5. . . .
Plus, do you want back-adjusted data?
You see, there are many ways to build a continuous contract.
IB is giving you their way of building a contract. You have to check with IB for their specification.
I would suggest you to use MultiCharts' custom future.
Custom future is MultiCharts' way of building continuous contracts, right in your computer.
You can check the Wiki for detail.
Crude Oil is an unusual instrument.
How would you like to build your so called continuous contract?
1. one contract expires and link with the next contract?
2. one contract expires, skips and contract, and link with the one after that?
3. before one contract expires, link with the next most volume contract?
4. one week before one contract expires, link with the next contract?
5. . . .
Plus, do you want back-adjusted data?
You see, there are many ways to build a continuous contract.
IB is giving you their way of building a contract. You have to check with IB for their specification.
I would suggest you to use MultiCharts' custom future.
Custom future is MultiCharts' way of building continuous contracts, right in your computer.
You can check the Wiki for detail.
Re: Multicharts and Interactive Brokers Quotes issue
Thank you for answer. I would like to use Simple "Spliced" Contracts, I think it is number 1 in your list. When one contract expires and then link next, and next and next. Without back-adjustment.What you see is what MultiCharts received from IB.
Crude Oil is an unusual instrument.
How would you like to build your so called continuous contract?
1. one contract expires and link with the next contract?
2. one contract expires, skips and contract, and link with the one after that?
3. before one contract expires, link with the next most volume contract?
4. one week before one contract expires, link with the next contract?
5. . . .
Plus, do you want back-adjusted data?
You see, there are many ways to build a continuous contract.
IB is giving you their way of building a contract. You have to check with IB for their specification.
I would suggest you to use MultiCharts' custom future.
Custom future is MultiCharts' way of building continuous contracts, right in your computer.
You can check the Wiki for detail.
But I can not see expired contract in Multicharts, even if I choose "show expired contracts" option in menu. I think you are right and I need build custom future.
And also I don't know what to do with it. I need to back test strategy on continuous contract with closing all active trades on every last trading day of the contract, like in real trade it happens when contracts expired. Can I identify last trading day of the contract for CL in continuous contract?
- TJ
- Posts: 7740
- Joined: 29 Aug 2006
- Location: Global Citizen
- Has thanked: 1033 times
- Been thanked: 2221 times
Re: Multicharts and Interactive Brokers Quotes issue
Before you build your custom future contract,
you must have the required data in your computer.
Please go to your dataprovider to download the expired contracts.
Please go to the Wiki to read up on how to set up your custom future chart.
https://www.multicharts.com/trading-sof ... /Main_Page
you must have the required data in your computer.
Please go to your dataprovider to download the expired contracts.
Please go to the Wiki to read up on how to set up your custom future chart.
https://www.multicharts.com/trading-sof ... /Main_Page