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How to configure and automatically download adjusted data on continuous futures contracts from DTN IQFeed

Trevor Harnett
posted this on July 22, 2010 17:58

NOTE: This FAQ only applies to DTN IQFeed and DTN Market Access (DTNMA) users.

When a futures symbol rolls over to a new contract, a gap is created at the exact time of the rollover.

Many traders would prefer to remove this gap and adjust the data prior to the gap so that it aligns with the data of the new contract.  This gap removal/adjustment is especially important for users who wish to view longer term volume profiles which span across several months and contracts using our Market Profile® charts or the Profile indicator.

To turn on auto-adjusted backfill data for continuous contracts for those downloading from DTN:

  • Choose File | Open | Configuration File from the main menu

  • Insert this line on a line by itself within the file:
    DTNAdjustedContinuousFutures=TRUE

  • Now choose File| Save | Save from the main menu

After making this change, downloading several years of 1-minute or daily data will result in adjusted data being returned and imported into charts.
 

Comments

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Mindgolf

Hi

Is this still necessary? I thought DTN IQ did this automatically?

thanks

Dave

September 09, 2011 04:51
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Ryan
MarketDelta LLC

Good Question. Basically the config variable allows the ability to receive adjusted or unadjusted data from DTN.

For Example, using the @ES# symbol:

If DTNAdjustedContinuousFutures=TRUE, the @ES# will retrieve adjusted data from DTN through @ES#C which is the continuous adjusted contract from DTN.

If DTNAdjustedContinuousFutures=FALSE, the @ES# will retrieve un-adjusted data from DTN through @ES# which is the RAW data before being adjusted.

September 09, 2011 08:14
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dstrader

I'm still not sure if I need this setting to be changed to TRUE (I'm assuming the default is FALSE). Can  you expand a bit on the impact of this? Will this change how H/L Volume Nodes are displayed or the volume profile itself? 

I'm downloading 500 days of 1m data for some instruments. Do I need this set  to TRUE? I use DTNMA.

Thanks!

 

 

September 30, 2011 12:41
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Ryan
MarketDelta LLC

By default, if the variable has not been added to the Configuration Variable File, then you will be receiving adjusted data for IQFEED and DTNMA historical backfill services. The purpose of the variable is to Globally Set the data from being adjusted to RAW unadjusted data from DTN. As my example shows above, if you are using the program without the configuration variable entered, the ES set to @ES# which is the raw symbol will automatically download from @ES#C the continuous adjusted data. When enabled and set to DTNAdjustedContinuousFutures=FALSE the @ES# will retrieve un-adjusted data from DTN through @ES# which is the RAW data before being adjusted. The adjustment occurs in the time rollover occurs where they average the expiring contract and the new front month contract together.

September 30, 2011 15:14
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Eric Hodges

I'm still confused. I'm interested in continuous data for longer term charts but I don't want to run that on my shorter term charts. Is this possible?

November 30, 2011 16:29
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Ryan
MarketDelta LLC

Hi Eric,

To configure your charts to view a shorter time frame > Open the chart preferences by right clicking the chart and choosing Preferences on the chart > Click the "Period" tab > Set the number of "Days Back" that you need the chart to view.

December 01, 2011 13:42
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