Q6's #F's (eSig) vs Q5 .q's continous charts

[scheier]

Have noticed that the eSig servers for Q6 are using the pit roll-over date as the date for attaching the new contract to the continous data symbols, AB #F for E-mini Russell continous futures, for instance. This has its advantages especially for system testing, and indicator flow when switching to the new contract, but it has a definite disadvantage for viewing accurate historical charts in the daily/weekly/monthly frames, especially in the physical commodities, where delivery month transactions are every bit as true to price history despite their lower relative and even spotty volume.
Q5, on the other hand, seems to use true end-of-contract date for continuous data files. The difference is easily viewable between a manually built Q5 MR7 continuous chart and the auto-built Q6 AB #F chart.
Furthermore, the AB #F chart uses All Session data instead of Day session only for building continuous charts, nullifying most of the benefit for those wanting to view for trading system analysis purposes.

My suggestion is to take a step ahead of your current internet data vendor competitors, and do what such historical data vendors do such as Genesis, and make the roll-over User-Preferenced as to Day Session vs All Session, Pit Roll-over vs Contract Expiration.

[JayF]

Thanks scheier for the feedback.

Some of the CME based #F's have a day-only symbol i.e. ES #F=2. Sadly the AB contract does not at this time, but ES and NQ do as well as a few others.

At this time, we don't have any plans of expanding QCharts beyond the #F symbols with regard to continuation symbols. However, depending on how important roll-over dates are to your analysis, we do have a few options in our other product lines. eSignal has the ability to define a rule-set for rolling contracts based on a variety of possibilities. This feature also allows for back-adjusting data at each roll period to smooth out the historical gaps caused by the premium in futures contracts, the ability to build continuation contracts not only on the front month, but subsequent forward months as well (i.e. tie together all the contracts that are 2 contract months out, 3 months out, etc.) and with this feature continuation contracts can be applied to international futures data like the DAX, FTSE or Bund.

If that isn't enough, FutureSource Workstation (also in the eSig family) has even more possibilities.

[JayF]

You may also want to take a read-through on this KB article as it explains the rolls in more detail.