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Old 01-19-2011, 05:02 AM   #1
cunparis
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Default IQFeed Continuous Adjusted data not working - getting unadjusted data

IQFeed has continuous contracts that are adjusted for rollovers. To access this symbol one appends C to the continuous contract. For ES it's @ES#C.

I did this in instrument manager:



Then deleted all my ES ##-## data and then downloaded it. The data does not appear to be adjusted.

I look at the log and I see this:

Code:
2011-01-19 11:49:45:667 (IQFeed) Data.Bars.GetBarsNow: instrument='ES ##-##' from='2008-01-01' to='2011-01-19' period=1 Min splitAdjusted=False dividendAdjusted=False bars=0 session=''
Which shows the splitAdjusted & dividentAdjusted are false. I'm not sure if they're supposed to be true or not.

I compare the data to that obtained from IQFeed via Market Delta and there is a difference. I have verified that the MD data is adjusted properly so I think this is a problem with Ninjatrader:

Here is an example of the data from 2008 that is different:



Has this been tested with NT7? Is there anything I need to do other than use @ES#C? I really need this to work.
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Old 01-19-2011, 05:16 AM   #2
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I tried downloading 3 years of ES 03-11 data but Ninja instead downloads the data for the dates that each contract was the front month. So it's not possible to use 03-11 to get the continuous adjusted data.
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Old 01-19-2011, 06:43 AM   #3
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cunparis, I'll test custom IQ map here shortly - if you use the regular ES 03-11 contract as front month the merging / adjusting (if selected under Tools > Options > Data) would be done on NT's end according to the rollovers defined in your Instrument Manager.
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Old 01-19-2011, 07:16 AM   #4
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Plus it seems if I put @ES# or @ES#C it works for ES ##-## but as soon as I try to open a chart of ES 03-11 I get "invalid symbol" error.

I turned on the splitting in the options and use 03-11. The result is a pt off from IQFeed. I'd like to have the exact same result as IQFeed if possible. I tried exporting my data from market delta and converting it to Ninja but I get an error with a time which is perfectly valid, I'll continue investigating this route. But would love to have ninja working with @ES#C.
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Old 01-19-2011, 07:51 AM   #5
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That could be expected, since only the IQ own continuous contracts would be supported for this mapping, correct? Those are accessed with the ##-## expiry in NT, not when using the actual expiry like 03-11 for the current front month.
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Old 01-23-2011, 10:43 AM   #6
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So did you get to look at the continuous contract w/ IQFeed?? Will it be possible to use it?
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Old 01-24-2011, 10:56 AM   #7
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I will have development look into it and see if we can support the @ES#C map, too - for now I don't get data for it when using the ##-## expiry in NT.

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Old 01-24-2011, 11:32 AM   #8
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cunparis, please try working with the default #ES map on the ##-## expiry and then check to use backadjusted data in your IQ Account connection setup - would that work for you?
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