ES-DAILY and INTRADAY

[JayF]

Alex is right. ES #F cannot be back-adjusted. It is a server-side continuous contract, whilst the ES 1! in eSignal is generated on the client-side, much like the ES.Q is, but with the added benefit of allowing a back-adjustment option.

[Larry Marchman]

Thanks for the feedback, Alex. If you can't get it to work, then it can't be done. So, I'm satisfied I didn't miss a step or setting.

If you ever find out why ES #F won't back adjust, and if you remember my query, would appreciate your sharing the reason.

Attached is a screenshot summarizing what I experienced when playing around with trying to get ES #F to back adjust.

Thanks again,

LAM

Originally posted by Alexis C. Montenegro
Larry, Not that I am aware of.

Originally posted by Larry Marchman
Alex, Can you get ES #F to back adjust prices?

[Larry Marchman]

Originally posted by JayF
Alex is right. ES #F cannot be back-adjusted. It is a server-side continuous contract, whilst the ES 1! in eSignal is generated on the client-side, much like the ES.Q is, but with the added benefit of allowing a back-adjustment option.

oops...sorry Jay. I had reply window open composing my post, got a call, and missed your post that came in the meantime. Yes, the way ES 1! fills in suggested a ES.Q QCharts type of dynamic concatenation of contracts.

Now, while we're on the subject, do you know the factor, the algorithim used to adjust the prices? On a daily basis, the diffenence twix overlaping contracts varies, so several different approaches could be used to determine the back-price.

I have a way to back adjust QCharts XX.Q continuous contracts without a program change being needed. I'll be back later with that, pending your reply.

LAM

[ketayun]

Er...at the end of all that is there any setting on Qc6 to put in a symbol for continuous ES and get the correct date of the low? Choose Esignal and put in ES 1 or something?

Thanks

Kate

PS in the meantime I have used my line tool to extend the line so that I have a marker for correct bar counts..

Larry thanks again for confirming and clarifying the issue. Hope your workaround works quickly.

[ACM]

Larry

Now, while we're on the subject, do you know the factor, the algorithim used to adjust the prices?

I believe the adjustment of the 1! continuous contracts is based on the spread between the specific contracts at the user defined rollover date. That spread is then compounded going backwards. For example assuming the regular rollover dates ES H7 is adjusted by 12.25 (the spread between M7 and H7), Z6 is adjusted by 24.25 (12.25 plus 12.00 ie the spread between H7 and Z6), U6 is adjusted by 35.50 (12.25+12.00+11.25), etc.
Alex

[JayF]

Originally posted by ketayun
Er...at the end of all that is there any setting on Qc6 to put in a symbol for continuous ES and get the correct date of the low? Choose Esignal and put in ES 1 or something?

We aren't planning on carrying the 1! symbols in QCharts. This feature is exclusive to the eSignal and FutureSource Workstation software packages.

[Larry Marchman]

Thanks Alex. Appreciate.
Yep, I see that. Was just being lazy I guess in asking. It's obvious if one runs the charts in the screenshot.

LAM

Originally posted by Alexis C. Montenegro
Larry
I believe the adjustment of the 1! continuous contracts is based on the spread between the specific contracts at the user defined rollover date. That spread is then compounded going backwards. For example assuming the regular rollover dates ES H7 is adjusted by 12.25 (the spread between M7 and H7), Z6 is adjusted by 24.25 (12.25 plus 12.00 ie the spread between H7 and Z6), U6 is adjusted by 35.50 (12.25+12.00+11.25), etc.
Alex