PXG: Wow!! This is really scary. After reading your post, I manually checked ES.D with ESZ02.D and ESH03.D. Looks like they really flubbed the rollover on this one too. They have simply SUBSTITUTED the price of ESH03.D on 12/12 WITHOUT backadjusting. Thus, ES.D follows ESZ02.D till 12/11/02 and suddenly starts showing the price of ESH03.D from 12/12/02 onwards. The difference between the 2 contracts was only 1.00 pt hence not many people would have noticed as the error. The same applies for the switchover on 9/12/02; the difference between the rollover contracts then being just 0.25 pts. Thus these small differences may not make a big difference to strategy results now but I shudder to think what the strategy results will be once data from 1999-2000 with their huge ranges are available on TS 7. -kk70
I've noticed these same problems with TradeStation's continuous data. Since TradeStation is a sponsor of this site, I would assume that their is someone from TradeStation that monitors this site... If so, could they please address this issue for the TradeStation users that are here?? Otherwise, I think we should consider using WealthLab or some other backtesting package that doesn't suffer from these problems. -Eric (Unhappy TradeStation User)
We found a problem on one of the servers that stores the "adjustment" data. This affected the 12/12/02 rollover for @ES.D and @NQ.D. This would have affected certain users and it has been corrected. We apologize for the problem. Regarding the Sep 02 rollover for @ES. The Settle for that day was 889.25 for both the Sep and Dec contracts resulting in an adjustment factor of 0.
Dave: Thanks for the prompt response. I stand corrected on the Sep rollover; though my charts still show a 0.25 difference I understand that CME can fix a closing price that is different from the one showing on the chart. Also, I was going through the intraday chart of SPY. It seems to me that there are quite a few price discrepencies on this symbol too. There are some unrealistic ticks there which do not appear to be correct. For example, take a look at the 10:30-11:00 bar on 1/08/2003 on a 30 min chart of SPY; it has a range that is not found on ES.D or SPX.X. Similar high range bars on SPY which do not exist on ES.D or SPX.X can be found at various other places. Could you please take a look at this symbol and see that the mistakes are corrected? Thanks. -kk70 PS: Although you have not mentioned it, I am assuming from your post that you are with TS Tech Support. My apologies if I am mistaken.