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Issues on continuous contract feature on EUREX symbols


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Issues on continuous contract feature on EUREX symbols

  #1 (permalink)
 Bango 
Trieste, Italy
 
Experience: Advanced
Platform: Sierra Chart, Jigsaw
Broker: AMP/CQG
Trading: Bund, Dax, ES
Posts: 17 since Nov 2012
Thanks Given: 54
Thanks Received: 12

Hello,
I'm wondering why I don't manage to get a properly back adjusted continuous contract off Eurex symbols. (IQfeed or Sierra give the same results)
Got no problem with CME contracts.

This is vital for anyone who wants to trade Eurex using new Sierra data feed I believe.

Any suggestion is highly appreciated...

On may 2nd, 2013 for example:
This is BD#C on may 2nd, 2013
https://www.dropbox.com/s/8l2voeeqh15rmkg/Screenshot%202014-04-07%2021.32.51.png

This is BDM14 with back adjusted continuous contract data calculated by Sierra Chart software: 9 tick off BD#C
https://www.dropbox.com/s/o73zlhzsjd03zbx/Screenshot%202014-04-07%2021.32.14.png


Can anyone post the same chart for comparison?

Thanks in advance

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  #2 (permalink)
 Bango 
Trieste, Italy
 
Experience: Advanced
Platform: Sierra Chart, Jigsaw
Broker: AMP/CQG
Trading: Bund, Dax, ES
Posts: 17 since Nov 2012
Thanks Given: 54
Thanks Received: 12


Bango View Post
Hello,
I'm wondering why I don't manage to get a properly back adjusted continuous contract off Eurex symbols. (IQfeed or Sierra give the same results)
Got no problem with CME contracts.

This is vital for anyone who wants to trade Eurex using new Sierra data feed I believe.

Any suggestion is highly appreciated...

On may 2nd, 2013 for example:
This is BD#C on may 2nd, 2013
https://www.dropbox.com/s/8l2voeeqh15rmkg/Screenshot%202014-04-07%2021.32.51.png

This is BDM14 with back adjusted continuous contract data calculated by Sierra Chart software: 9 tick off BD#C
https://www.dropbox.com/s/o73zlhzsjd03zbx/Screenshot%202014-04-07%2021.32.14.png


Can anyone post the same chart for comparison?

Thanks in advance

I eventually found out that the same happens with NinjaTrader too.

It's all about how IQfeed calculates back-adjusted continuous contract then...

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Last Updated on June 20, 2014


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