During rollover, DTN often discusses the nuances of working with data on their Twitter account, so you can be up to speed on the discussions affecting the continuous contracts, and when DTN rolls the data for those symbols. Sometimes, they will change the actual date and time they rollover the continuous symbols mid-day to accommodate the majority of their clients' wishes.

DTN Continuous Contracts

DTN provides two continuous contract symbols for the ES futures contract.  

By default, these chart identically in MarketDelta; regardless of which symbol you use, they always both default to the adjusted contract, @ES#C. See below to turn off this setting.

They are:

@ES# - This is a raw data continuous contract. It automatically switches to include the new front-month contract on the day of rollover. For example, the Globex session that started at 3:30pm Chicago time on Wednesday Dec 8 2010 shows the March 2011 contract (ESH1), while the @ES# from earlier that day shows prices from the ESZ0 contract. Thus, you will see a price gap at the time of rollover.  For currencies, however, the exact switch of the rollover can vary, as DTN may change the date/time fed into this contract to follow the contract with the most volume.

@ES#C - This is a "smoothed" version of the continuous contract. Because prices often show a few points difference between two adjacent months' contracts, even for the same symbol, a price gap is common when you view a chart that switches contracts during rollover. This smoothed, or equalized, symbol gradually adjusts the historical price differences during the week prior to rollover by a small amount each day until they are in alignment on the day of rollover. Thus, you do not see 100% accurate prices, but you also see no price gaps.

These affect IQFEED customers, and they are also used as the DTN alias if you are a Market Access customer (DTN MA).

If you wish to receive unadjusted data for @ES#, or have manual control over which symbol you use, follow these instructions:

1. From within MarketDelta, choose "File: Open: Configuration File" from the main menu

2. Insert this line on a line by itself within the file: DTNAdjustedContinuousFutures=FALSE

3. Now choose "File: Save: Save" from the main menu

Note: Different traders have different preferences for when they choose to switch month contracts. A data vendor's continuous contract cannot please everyone, so they roll it on the day that pleases the largest percentage of customers. If you are an IQFEED customer, you can also chart the actual month contracts, such as @ESM11, which are not continuous and give you control over exactly which contract you want to see. This way, if the continuous rolls on a date that you do not prefer, you can chart the actual month-specific contract for a few days and then switch back to the continuous.

DTN Market Access with Continuous Contracts

Combining the DTN Market Access historical backfill service available through MarketDelta directly with a data feed from a broker, such as ZenFire or Transact, is a convenient option to have free real-time data while also getting the luxury of comprehensive historical price data.

Most users will thus have a chart for a front-month contract that uses the DTN continuous contract as the backfill symbol. This works very nicely if you rollover your real-time broker feed's symbol on the day of rollover (see this article).

If you wish to still chart the "old" contract for a few days

During rollover, price gaps can occur on your chart if you wish to still chart the "old" contract for a few days before trading the new front month. Since rollover occurs 1 week prior to a contract's expiration, many still trade or chart an old contract even after rollover.

If you do this in MarketDelta with DTN Market Access, the historical backfill will always show the front-month, while your real-time data shows the prior contract. Thus the price gap is unavoidable, and every time you backfill, the gap will appear at the end of all prior bars on your chart.

If you do not switch to the front-month contract with your real-time feed's symbol, then you can change the DTN backfill alias from the continuous contract to the contract you are still charting, if you wish to avoid the price gap. For example, if you trade ESZ0 even after the rollover to ESH1, you can change your DTN alias to @ESZ10, the DTN symbol format for specific month's contracts:

When you eventually roll the contract, you can then go into this setup window (which you see by pressing Alt+A on your chart or the symbol itself on the quote page), and change the alias back to the continuous contract.

If DTN Rolls the Continuous Contract later than Rollover Day

Sometimes, to accommodate requests from the majority of customers, DTN may not adjust the continuous contract to read the new front month during rollover until several days later, as the actual contract's expiration approaches.

If you wish to chart the new front month contract under these circumstances, you will see a price gap until DTN rolls over the continuous contract, unless you force the alias to be the current month contract. For example, if the continuous contract is still looking at December 2010 but rollover has already occurred to the March 2011 contract, and you wish to chart and trade the March 2011 contract, you would enter a DTN alias symbol of @ESH11 instead of @ES#. After DTN rolls over the continuous contract, you could change this back to the continuous contract symbol, @ES# or @ES#C.

In this case, if you wanted to separately chart old levels from prior months or years, you would need to add the continuous contract symbol to your quote page as its own symbol, and then build a chart off that symbol.

DTN Market Access Symbols with Multipliers

For information on formatting the historical data to match the real time data, Click Here.