Back-Adjusting ES Tick data manually

April 18th, 2016, 04:24 PM

I'm looking to get adjusted/continuous tick data from the beginning of 2013(or 2014) to the end of 2015.

Using the gomrecorder/qcollector (

Official tick data sharing thread for raw data, GomRecorder and QCollector

I keep getting requests for people to share their GomRecorder data. A few threads have been started on the subject but not many are following thru it would seem.

I am collecting data from IQFeed via QCollector. All data contains bid/ask and is tick …

) files already out there would be great but I don't have any references for the rollover gaps to make the gom/qcollector data continuous. Love to hear any ideas...I'm sure it could help a lot of people down the road looking for low cost adjusted data. The reference data I'd need would look something like
ESH6 +1.5
ESZ5 -2.5

Thanks in advance!

April 21st, 2016, 02:52 PM

there's a discussion of creating continuous contract @
https://www.quantstart.com:443/articles/Continuous-Futures-Contracts-for-Backtesting-Purposes

and a python tool. This is a good start.

It's been years since I played with this. There is back and back-forward adjustment schemes
in both you loose the magic numbers like /ES 2100.00

April 27th, 2016, 08:12 AM

What I decided to do was use my historical data service (which back-adjusts data) and unadjusted contract data to come of with the gap. Unfortunately I didn't find any reference with the expiration gap information I was looking for. My procedure was:
1) Figure out all the expiration dates
2) Look at the historical continuous contract and see what the close was for all expiration dates
3) Look at the individual (unadjusted) contract and look at the close for all expiration dates
4) subtract the two price for each expiration date
5) add the difference to all transactions that took place during each contract

Bit time consuming but worked for me.

Back-Adjusting ES Tick data manually

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Back-Adjusting ES Tick data manually