Tradestation NQ Data

Discussion in 'Data Sets and Feeds' started by PXG, Dec 21, 2002.

  1. PXG


    @NQ, @NQ.D, @NQ.E
    Which one of the three is supposed to be backadjusted?
    Also, does anyone know the difference between @NQ and @NQ.E?
  2. I think the .E might take it out of 24 hr data and make it daily only beginning at 0930 EST. If this is true, the credit goes to another ET member, not me. If it doesn't, then I am wrong.
  3. PXG


    Thanks for your reponse. However, the @NQ and @NQ.E seem to be identical now. (When I was posting this message, there was a difference in daily closes between @NQ and @NQ.E, but they corrected it in the meantime, after I wrote them an e-mail inquiring about it).

    However what concerns me more is that I was told a couple of months ago by TS that @NQ is backadjusted, and @NQ.D isn't backadjusted. When I recently looked at it in detail again, I found out that it's not the case.

    Here are some examples (Daily, Close)

    @NQ 854
    @NQ.D 851.5
    @NQ.E 854
    NQZ02 849

    @NQ 1009.5
    @NQ.D 1007
    @NQ.E 1009.5
    NQU02 1001

    @NQ 1497.5
    @NQ.D 1495
    @NQ.E 1497.5
    NQM02 1484

    @ES 801.5
    @ES.D 802.5
    @ES.E 801.5
    ESZ02 802.5

    @ES 968
    @ES.D 969
    @ES.E 968
    ESU02 969.5

    @ES 1144.5
    @ES.D 1146.5
    @ES.E 1144.5
    ESM02 1144.5

    It is very frustrating to find out clear answers to these questions, but without knowing the "logic" of the continous contracts TS provies, it makes it useless to do any backtesting...