Equalized Continuous Contracts

[davewolfs]

Any chance of eSignal releasing a historical feed of equalized continuous contract for ES#F that would be based on the closing settlement price. DTN just came out with something like this and it is very useful.

[eSignal_AveryH]

I"ve forwarded your request to our Product Managerment Team and Data QA Department for consideration.

Once we get an answer we'll post back.

[ScottJ]

Dave,

Can you elaborate more on what you're looking for in terms of an "equalized" contract? When contracts roll is typically under some debate (whether to follow price action, volume, specific dates, etc) so that's one reason we put the tool on the desktop to give more flexibility. That tool will be re-written in the 11.xx series to give even more control to the user.

Thanks.

[davewolfs]

Originally posted by ScottJ
Dave,

Can you elaborate more on what you're looking for in terms of an "equalized" contract? When contracts roll is typically under some debate (whether to follow price action, volume, specific dates, etc) so that's one reason we put the tool on the desktop to give more flexibility. That tool will be re-written in the 11.xx series to give even more control to the user.

Thanks.

Here is what I mean. This link describes it.

http://www.linnsoft.com/qa/a/179.htm
http://www.screencast.com/users/Linn...b-8780ca222542

Essentially, upon the expiration of the contract, an adjustment is made between the settlement price of the old contract and new contract.

This difference in price is then applied to all previous contract prices i.e. the data is shifted up or down by X points - the shift is dependent on the difference in settlement prices between the old and new contract as published by the exchanges. The result is that we end up with a futures contract who's prices are appropriately adjusted so we do not see any odd gaps and the contract prices for gaps, volume, etc...are shown at their correct prices.

The last rollover the June Contract settlement price was 1055.50 while the September contract was 1051.25. The difference here being 4.25 points which means that prior to the first day of the new contract all my previous data was shifted by 4.25 points.

[davewolfs]

Originally posted by ScottJ
Dave,

Can you elaborate more on what you're looking for in terms of an "equalized" contract? When contracts roll is typically under some debate (whether to follow price action, volume, specific dates, etc) so that's one reason we put the tool on the desktop to give more flexibility. That tool will be re-written in the 11.xx series to give even more control to the user.

Thanks.

Forgot to mention - although the tool exists within the eSignal charting package - this would be even more useful if some sort of control could be implemented at the data manager level, so these adjustments could be brought into third party applications.

[davewolfs]

Back adjustment on contracts

Any plans to add this type of functionality so one has the ability to view a properly adjusted contract based on settlement prices, see:

http://www.linnsoft.com/qa/a/179.htm

[davewolfs]

Originally posted by ScottJ
Dave,

Can you elaborate more on what you're looking for in terms of an "equalized" contract? When contracts roll is typically under some debate (whether to follow price action, volume, specific dates, etc) so that's one reason we put the tool on the desktop to give more flexibility. That tool will be re-written in the 11.xx series to give even more control to the user.

Thanks.

Have any decisions been made for the 11.xx branch? Giving your users a template with the appropriate settlement prices defined would be a great feature.