I am looking into using TradeStation for backtesting but have read that there were issues w/ their continous S&P Emini data. Does anyone know if the data integrity issue pertains to the NQ continous contract as well? If so, what is your work around? TIA Whamo
I use TS2k, not TS6, so I can't comment on their ES or NQ continuous contract data quality. If you dont trust TS6's data, just get your own. TS6 allows you to import ascii data and test on that from what I understand. Or you can find a copy of TS2k and manage the data yourself. Either way you can control your own data destiny.
Dear Whamo, Here is a response from our Data Integrity team to your question: The "issue" with the TradeStation continuous data is not an issue of the data integrity, but rather an understanding of how the continuous contract is constructed. There are numerous ways to create a continuous contract, no one way is right or wrong. At this time, only one type of continuous contract is supported. TradeStation looks to provide users the ability to create their own methods of calculation in the future. TradeStation6 Continuous Contracts are back-adjusted to eliminate the gap that may occur as the front contract rolls to the next active contract. An adjustment factor is calculated by subtracting the close of the "old" active contract from the close of the "new" active contract on the specified roll date. The result is applied to all data prior to the new roll date. The value of the resulting data series is that trends are preserved at the expense of price. Below is the formula using a mock symbol (XX with H M U Z as the trading months) @XX.P Del months: H M U Z 1st del month traded: XXM9, 1st day traded 990425 Roll over rule: 6th business day of delivery month Adjustment factor ( Distribution ) = close new del month - close old del month on the roll date 1st segment of data del month: XXM9 roll date: 990608 time period: 990425 - 990607 ( roll date minus one day ) adjustment factor = close XXU9(new del month) on 990608 - close XXM9(old del month) on 990608 2nd segment of data del month: XXU9 roll date: 990909 time period: 990608 - 990908( roll date minus one day ) adjustment factor = close XXZ9(new del month) on 990909 - close XXU9(old del month) on 990909 3rd segment of data del month: XXZ9 roll date: 991208 time period: 990909 - 991207( roll date minus one day ) adjustment factor = close XXH0(new del month) on 991208 - close XXZ9(old del month) on 991208 and so on up to current date. Thank you, Stephen Pepe, Jr. Director of Client Support "Together we will succeed!"
Stephen, Thank you for your response. One thing that I've learned while reading up on TradeStation Securities is that you seem to respond to your customers and ask for user feedback. This is something that more technology companies need to learn how to do. From a strategy testing and implementation standpoint I would be very hesitant to rely on results of backtesting a trading strategy that uses price based indicators. My hesitation stems from having the continuous contract during a specific date and time not matching the original contract price for that same date and time if price is not intact. Do you maintain the original contracts after they expire and if so, for how long? A work around would be running a strategy off the individual contracts. Will the user defined contracts be available for TradeStation 7? If not, do you have an ETA of when they will be available? Once again, thank you for your response. Whamo
I would like to have a nice 120 min chart for ESZ02.D, but unfortunately cannot see data before 09/05/2002 (´Format Symbol´ set to 90 days back).
Dear Whamo, Thank you very much for the kind comments about how we respond to our Clients. All of us at TradeStation recognize the importance of our Clients' feedback. Over the years, I believe that philosophy is directly linked to the tremendous success we have experienced, so I really appreciate your compliment. In response to your questions, my Data Integrity partners have provided the following: 1) Do you maintain the original contracts after they expire and if so, for how long? A work around would be running a strategy off the individual contracts. Yes, all individual contracts by delivery month and year are available on the TradeStation network. They are kept indefinitely. 2) Will the user defined contracts be available for TradeStation 7? If not, do you have an ETA of when they will be available? At this time, we do not have an ETA for when this feature will be available. If you'd like, you can post suggestions about features you'd like to see in TradeStation 6 at TradeStationWorld.com in the Suggested Feature Poll in the Forums section at www.TradeStationWorld.com. TradeStationWorld is a great place for Clients to interact and share their feedback. In addition, you may vote on features that have already been posted or you may create your own posts. Registering for TradeStationWorld.com is free to all registered product owners of any TradeStation product. I hope this feedback has been helpful to you. Sincerely, Stephen Pepe, Jr. Director of Client Support "Together we will succeed!"