eSignal : incorrect futures continuation in (vs Bloomberg)

Discussion in 'Trading Software' started by pbanerjee, Jan 28, 2015.

  1. OP is looking for backward-adjustment, Rolling over / continuous contracts are a different concept than backward adjustments. Looks to me (though I do not use Esignal) as if Esignal does not provide backward adjustment features.

    OP, one solution (though dirty) I could think of is to create a custom contract (your own) and code a formula that backward adjusts based on the roll over dates, but I am afraid it would entail lots of manual manipulation and maintenance (you would need to hard code the roll over dates [or you could automatically backward adjust gaps > x%, though it can be dangerous for contracts that might "lock" for several sessions and hence show large gaps once the contract is regularly trading again]).

     
    #11     Feb 1, 2015
  2. jharmon

    jharmon

    The web site link shows a tick box:
    • Back adjust previous data on rollover: Controls whether historical data is back adjusted when the contract rolls over to the new front month or not.
    Maybe OP just missed it?
     
    #12     Feb 1, 2015
  3. Last edited: Feb 1, 2015
    #13     Feb 1, 2015
  4. Apologies, I just saw it too, after you pointed to it. Yes, seems there is a backward adjustment feature then...

     
    #14     Feb 1, 2015