I use MultiCharts (MC) as a charting package and Interactive Brokers (IB) as a data feed. I need some information so that I can match my MC moving averages to those generated by the eSignal data/charting package. IB does not provide continuous futures, they provide the current contracts and access to expired contracts, but I have to build my own continuous futures within MultiCharts. I have tried to do so but have not been able to match the longer term moving averages generated/displayed by the eSignal package. I've searched the eSignal web site and found some information, but, in a few cases it is contradictory and/or old and possibly outdated. I recognize that IB does time slices of their data but the differences are too great to account for the differences. Would someone familiar with eSignal take a look at any of the Globex symbols, 6E #F or 6J #F and tell me: 1) What type of back-adjustment, if any is used (arithmetic, ratio, other) 2) When rollover takes place 3) Confirm that the roll uses data "2 business days prior to the 3rd Wednesday" or whatever 4) Do they roll on volume or a fixed date related to expiration 5) When computing the moving averages do they limit the lookback period (and if so -to what) or use all the data the first time it loads A PM would be fine. Thanks, Jack
I run continuous future charts in esignal but not for the markets you're looking at. I believe the contracts role over into new chart when the daily volume of the new contract exceeds the daily volume of the old contract. This is usually about 5 days before expiry for Eurex contracts but I don't know about any others. Usually, the first day of the new contract opens higher than the last day of the old contract to account for the interest component. I imagine this would cause problems with your MAs as the price rise appears on the chart but doesn't really exist. Really, the only advantage to continuous contracts in esignal is not having to type in the new chart code every 12 weeks. I don't think its any good for backtesting. I don't know if there is any work-around for this. Runningbear
RB: I understand the problem when you link. There are a number of ways to tie the new and expired contracts together to avoid the jump. The method, and their effect on back-testing results, can provoke heated discussions between opposing camps. However, in this particular case I don't really care what method is being used, I just want to know what the method is so that I can make my charts match another persons without a lot of trial and error. Info on any of CL, GC, YM, or ES would do as well if that's what you look at. Thanks for your response. Jack
With E signal you can also adjust your own parameters for managing the continuous contract, so you may not mirror the person you're wanting to by using the standard E signal rules. Here's the standard specs for 6 E: Rolls on 2 business days prior to the 3rd Wednesday, and the same for 6J. The volume does not determine when the contract rolls over, just the date.
I don't understand your question 5. I mean a 20 day moving average looks back 20 days, never more. The new contract is not adjusted for in any way, the price just changes. If you want to study longer term, you should use $SPX.
Joe: Thanks for the info. The guy whose charts I'm looking at (via web screenshot) isn't familiar with the intracacies of the eSignal package. He said he was using the default. So your info should be accurate. You did not mention any linkage adjustment. So I assume they just stop the old and start the new without doing any price adjustment on the expiring contract. Does eSignal have a mechanism for doing that? Thanks for you help. As to the MA. I messed up. Was thinking about restricting the lookback periods in some studies. Jack
All - I have everything I need. By default, there is no mathematical adjustment made. However, eSignal does provide for such. Thanks to all that helped. Jack