Data Differences in Continuous Contract Charts

Discussion in 'Data Sets and Feeds' started by hcour, Mar 31, 2004.

  1. hcour

    hcour Guest

    I'm new to futures so forgive the ignorance. Why are these wkly corn charts so different? The first chart, from MRCI, there are higher lows 01, 02, 03. The second chart, from Prophet.net, there are lower-lows during this period. I realize there are diff ways of calculating the data, back-adjusted, split, what-have-you, but this seems an extreme divergence.

    http://www.streamload.com/hcour/CornMRCI.gif

    http://www.streamload.com/hcour/CornPro.gif

    Thanks,
    Harold
     
    #1     Mar 31, 2004
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  2. NUTSNEAL

    NUTSNEAL

    Looks like a monthly and a weekly chart comparison.
     
    #2     Mar 31, 2004
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  3. Aaron

    Aaron

    Yes, the difference is due to the continuous contract adjustment. Prophet uses forward-adjusting to eliminate the gap when rolling forward to the new contract month. Forward adjusting means that recent prices look completely different than the true market prices (notice the negative prices on your chart).

    Use the Prophet symbol C1600 (instead of C1700) to get the unadjusted Corn price history. This chart looks a lot more like your other chart.
     
    #3     Mar 31, 2004
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  4. hcour

    hcour Guest

    Aaron,

    >> Use the Prophet symbol C1600 <<

    Ok, thanks, the 1600 chart looks much more consistent w/others. Thanks for the explanation.

    Harold
     
    #4     Mar 31, 2004
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