I'm currently trialing the eSignal Data Access only service (without their charting software) and have a question regarding rollover/continuous contracts. Does eSignal have a rollover contract with back-adjusted price data? I'm currently using the the futures symbols with the #F suffix (e.g. ES #F), but it doesn't adjust the prices between contract rollover. Thanks in advance.
Hi, Not exactly sure what you are looking for in terms of "back-adjusted" data, but this KB Artlicle explains how we piece the data together. Hope that helps. Thanks.
Thanks for the reply Scott. Here is what I mean... An eSignal symbol with the #F suffix provides a continuous data for a futures contract. For example, ES #F will provide data for the current contract (ES U7) and previous contracts (ES M7, ES H7, etc), however, it does not adjust the price data accordingly. Usually between contract rollover, there is a price difference of 10-15 points on the ES between the old contract and the new contract. I'm looking for a eSignal symbol that provides continuous data but also adjusts the price data from one contract to the next, similar to the @ES symbol in TradeStation. Non-adjusted continuous contracts will distort most trading indicators. Hope this clarifies things. Take a look at section B (Back Adjusted Continuous) on this webpage http://www.aarontrade.com/html/futures_trading_prices.html for more information, if necessary. Here is another reference http://www.tradingrecipes.com/files/cntcontr.pdf
For that reason I use cash as a proxy for index futures. SPX is what it is, eh? In grains ect. continuation is a nightmare.
On TS all the "@" does is plot the "Forward" contract, at the current moment. If you compare a chart of the "@ES" vs ESU07 you will see the "Continuous" contract is plotting JUNE contract prior to expiration, in JUNE and starts plotting SEP on June 16th!. Use the CASH index if it really makes a difference in your strat. good trading, el surdo
A rollover contract with back-adjusted price data would certainly be ideal. For most TA rollover is a nightmare. Just a new contract name with the current and previous contract adjusted would be sufficient ie ES U7 + adjusted ES M7 data from 060607 backwards would be all I need. (however once you start creating a new contract its a simple procedures to keep offsetting) I hope Esignal looks into this. Also Why is Esignal only showing 5 months on futures data compared to 6 months previously. this happened about a month ago? With data storage so cheap I dont see why its not 5 years.
Surdo, I agree with your comment. But the @ES symbol does more than that. It also adjusts prices for previous contracts. For example, compare a chart with @ES vs ESM07 and note the differences between the prices in May in both charts. The @ES removes the price differential between the ESM07 and ESU07. BoyBrutus, your suggestion would probably be sufficient for me too.
I used to care about that....and it drove me nuts! Now I would rather screen for more meaningful market inefficiencies in the forward months in Crude and Natty. I simply use SPOT Fx for my levels in Fx Futures. el surdo
I don't think that the raw data you get with a data only package will be able to get you what you want from esignal, but they do offer back adjustment in the esignal application. There's a continuous contract settings tool which allows me to create rules for rolls and there's a box I can check for back adjustment. Cheers, Paul