Re: Merging of Contract Data on Roll Over with IB Feed

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BLANG

Re: Merging of Contract Data on Roll Over with IB Feed

Postby BLANG » 08 Mar 2007

How does one merge the data on the existing contract chart with the new mth contract, (there is #F with eSignal data feed but not IB Feed) like today's roll over?

BLANG

Postby BLANG » 08 Mar 2007

#F being the continuous chart of whichever contract one is trading...for example ES#F for the S&P emini contract.

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ABC
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Postby ABC » 09 Mar 2007

Taken from an old thread I can't manage to find atm:

(As an example, I'll use an ES roll form U - Sep to Z - Dec.)

1. First enter the new contract in TWS (if you're with IB) so that you can cut to the new data source.
2. Open quotemanager and right click the old symbol ES U5, and select "Edit Symbol".
(in the following, it is important to observe the format and replace the old info with new info in the exact format. Do not add spaces or remove them.)
3. In the symbol name Replace ESU5 with ESZ5. The Root ES with stay the same.
4. In the description, replace SEP05 with DEC05 and ESU5 with ESZ5.
5. The contract month changes from September to December
6. Finally, the expiration date changes from 9/15/2005 to 12/15/2005
7. Click OK.

Regards,

ABC

P.S.: So the result will be that you just add the new contract's data to the old data and get a non backadjusted continous contract.

Guest

Postby Guest » 09 Mar 2007

This works however if you get 'holes' in the data which happens fairly often you need to hit refresh. This messes up the roll over point as it overwrites the old contract data with new. Really MC needs a better way of weaving together contracts and could also do with back adjusting too.

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Postby ABC » 09 Mar 2007

This works however if you get 'holes' in the data which happens fairly often you need to hit refresh. This messes up the roll over point as it overwrites the old contract data with new. Really MC needs a better way of weaving together contracts and could also do with back adjusting too.


Correct, that is something you need to take care of. But at the moment this is the only way it is possible.

BLANG

Postby BLANG » 09 Mar 2007

Taken from an old thread I can't manage to find atm:

(As an example, I'll use an ES roll form U - Sep to Z - Dec.)

1. First enter the new contract in TWS (if you're with IB) so that you can cut to the new data source.
2. Open quotemanager and right click the old symbol ES U5, and select "Edit Symbol".
(in the following, it is important to observe the format and replace the old info with new info in the exact format. Do not add spaces or remove them.)
3. In the symbol name Replace ESU5 with ESZ5. The Root ES with stay the same.
4. In the description, replace SEP05 with DEC05 and ESU5 with ESZ5.
5. The contract month changes from September to December
6. Finally, the expiration date changes from 9/15/2005 to 12/15/2005
7. Click OK.

Regards,

ABC

P.S.: So the result will be that you just add the new contract's data to the old data and get a non backadjusted continous contract.


Thx ABC for your help in the explanation & the steps. Much appreciated...

Guest

Postby Guest » 09 Mar 2007

this would really be a Value-Add if MC can do it.
No other charting software can do it as of now.

MC will establish itself as the premier charting software.

Guest

Postby Guest » 09 Mar 2007

Other platforms have solve this problem with automatic roll over schedule
and use of continuation symbols instead.. (ES #F-NQ #F etc.) especially for
data feeds which not support that like IB. MC lacks this very important feature..Also other platforms have data modify feature for backadjusting futures data and close the gaps.

Guest

Postby Guest » 09 Mar 2007

Like Ensign does..

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Postby zukkaweb » 21 Aug 2008


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Marina Pashkova
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Postby Marina Pashkova » 26 Aug 2008

This works however if you get 'holes' in the data which happens fairly often you need to hit refresh. This messes up the roll over point as it overwrites the old contract data with new. Really MC needs a better way of weaving together contracts and could also do with back adjusting too.


Hi Guest,

At the moment, MC simply does not have a comprehensive mechanism to weave individual contracts into a continuous one. However, such a mechanism will be available in future.

Regards.

Nick
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Postby Nick » 02 Sep 2008

It would be very useful. As someone pointed out if you have to hit refresh (which happens) you are in a world of nuisance.

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Marina Pashkova
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Postby Marina Pashkova » 04 Sep 2008

Hi Nick, we will certainly add a comprehensive future contract mechanism in future.

For now, to avoid problems when reloading charts for artificially created continuous contracts, I would recommend the following procedure:

If you have missing data in a chart, request the data for this particular period in a different chart and do a reload there. After that, close the primary chart and plot it again. The missing data will be there and history should remain intact.

Regards.


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