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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Back-adjusted future contract
Author Topic: Back-adjusted future contract (7 messages, Page 1 of 1)

bourbonnais
-Interested User-
Posts: 1
Joined: Jun 16, 2013


Posted: Jun 16, 2013 03:36 AM          Msg. 1 of 7
I am wondering about back-adjusted future contract data. What method does IQFeed use to back-adjust historical data?

DTN_LorenF
-DTN Technical Support-
Posts: 228
Joined: May 11, 2004


Posted: Jun 17, 2013 08:27 AM          Msg. 2 of 7
Bourbonnais

the formula is:
New Contract close minus old contract close on the day before the roll

Mobiius
-Interested User-
Posts: 15
Joined: Mar 24, 2013


Posted: Aug 2, 2013 01:08 AM          Msg. 3 of 7
Hi LorenF,

I have been reading your reply over and over and I cannot seem to interpret what you are saying.

Lets say the old contract closed at 100 on the day before the roll and the new contract closed at 101 on the day before the roll.

So your formula is 101 - 100 = 1?

I don't get it, please expand your explanation.

Cheers, Mobiius.

DTN_LorenF
-DTN Technical Support-
Posts: 228
Joined: May 11, 2004


Posted: Aug 2, 2013 09:00 AM          Msg. 4 of 7
Mobiius

We have some video's on our www.iqfeed.net web site

http://www.iqfeed.net/index.cfm?displayaction=support§ion=videos

the explanation on the video may help you understand it better.

Let me know if you have any specific interest or issues.

Mobiius
-Interested User-
Posts: 15
Joined: Mar 24, 2013


Posted: Aug 2, 2013 12:09 PM          Msg. 5 of 7
Good Video, thanks.

Why are the closing prices different though? there should be no reason for this as per the picture that I attached:



File Attached: CRUDE OIL1.png (downloaded 1518 times)

DTN_LorenF
-DTN Technical Support-
Posts: 228
Joined: May 11, 2004


Posted: Aug 2, 2013 02:37 PM          Msg. 6 of 7
Mobiius

I was looking at the charts you sent. I am not able to duplicate then.
I really need more information on how they were built and in what software.
If they are built in a software that stores data locally(database) you will need to close the chart and clear the database, then back-fill the data to correct the chart.

the support phone number is 800/779-7299 and the email address is support@iqfeed.net

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Aug 2, 2013 03:42 PM          Msg. 7 of 7
Just to expand on this a little, I think we got off track a little in looking at the cash adjustment earlier, (cash adjustments never apply to weekly or monthly data) our apologies on that. Your last screenshot helped to drive home what the actual issue was so thanks for helping get us back in line.

We loaded a copy of Multicharts locally, (we think that is what you were viewing) and we were able to see the same data for both chart symbols for the week in question. We also verified that on every local server that the data for that bar returned the same values.

Now, we loaded both charts anew, since we had to freshly add the symbols to our instrument list, so that may be why we did not see the same behavior as you, that is why Loren mentioned doing the refresh. So our apologies getting to this point, but I think this answer will work for you. But, please let us know if it persists and we will continue to dig and help you resolve this.
 

 

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