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5 years back Back Adjusted Continuous ES contract


#1

Does Optimus/Rithmic/SierraChart offer a solution for a 5 years (and more) Back Adjusted Continuous ES contract? I know that I can create it manually on SC but it will be a very strenuous job and the file will be huge and will load very slowly.


#2

Sierra Chart does not automatically back adjust futures contract data. If you use the supported DTN IQ Feed, that service provides back adjusted continuous futures contract data.

We do not have 5 years of Rithmic data. The data goes back to 2011. You can manually join multiple futures contracts together in Sierra Chart and if you choose an Output Storage Time Unit of 10 seconds or greater, the data is going to load fast.


#3

Our contact for the DTN IQ feed is Robert Carillo Robert.Carrillo (AT) telventdtn.com
Please Tell him you are an Optimus Customer.


#4

OK, Thanks.


#5

Sierra have 2 years of continuous 1min data and something like 10(?) years of continuous Daily data. not adjusted but combined.
I stopped using back adjusted charts, which I built my self, because of 2 issues:

  1. if you combine enough back contracts, you’ll get weird prices like much higher then ever been or minus (-) prices… which can’t be.
  2. It’s a pain to adjust since the price difference is not fixed. it varies and changes every few bars so you’re left with deciding on an average to make the adjustment… and who’s saying others will get to your average diff value?

It’s like moving avgs.
Every other trading “guru” will tell you they know the holy grail (30 cause a month is 30 days or 20 since you need to remove weekends or 34 because it’s a Fibonacci, right? yada yada yada).
What you need to always think is “what will be the same for everybody, or the majority”, and stick with that.
With moving avgs? it’s VWAP (Volume Weighted Avg Price).
VWAP will be the same on all platforms simply because it’s a fixed calculation… no user parameters influence it.
Mind you I’m not saying vwap works, I’m just saying if you’ll think you have a trading system that works and you’re sure others use it and it depends on vwap… then you’ll know it will be the SAME for everybody.

With continuous data, combined data will be the same for everybody.


#6

Thanks Hendrixon, this does make sense. I will have to make a decision…


#7

When Manually back adjusting, is it possible to create an adjusted file with let’s say the most recent 2 contracts with tick data and then all the previous contracts with 10sec data ?


#8

yup. its a bit of manual adjusting but yes.
If your older contracts are saved as 10sec and your last two are tick, you simply combine them all into a “tick” file.
That way, obviously, your “older data” will be 10sec.

Also if you have a continuous file of tick, in SC you can “re-combine” the same file, and set that from start of file, to where you want (date and time) it will be compressed as 1sec/10sec/1min/etc.
That way you get the same thing, older data is more compressed and your latest data is still saved as tick.


#9

Thanks Hendrixon, I’m gonna try this once I find the time.