I dont know what happened but my ESH4 data is now ESM4 data. I tried downloading 3 days of ESH4 tick data and 1000 days of 1 minute data to correct issue but my charts still show ESM4 data for all bars except for the current bar which shows June contracts highs and March's last price and low price. After downloading data any new bars will contain March data but im still stuck with all my historical data being June for some reason.
Is there a way to correct this without deleting the instrument and its data from IRT and then adding it again? Ive been looking on forum and watched a few videos and havent stumbled upon anything yet. Most videos deal with continuous contracts not contracts with month and year. Also, trying to figure out why this happened? I never went to my quotepage and did my manual roll yet so im stumped.
Thanks,
Dean
I deleted contract from database then added it again and it did the exact same thing. This hasnt happened during any rolls since ive had IRT. I thought i might have done something but i noticed it in my 2nd instance too. What could be causing this?
Hi Dean,
Sorry to hear you were trapped by the rollover season. Every trader has different habits when it comes to managing rollover data. InvestorRT offers full flexibility to manage the different approaches, but, the software default settings can't cope with everyone's favorite approaches, especially as we manage different types of feed and settings.
In your case, I understand you wanted to keep a separate set of data for the symbol ESH4, with all historical data attached to that symbol being backadjusted contracts.
You are using Rithmic as main datafeed. They don t provide any continuous contract, which makes any rollover period more difficult (than for anyone using DTN IQfeed that provide continuous back adjusted contract data)
While you were following ESH4 on Rithmic (for the past month), your ESH4 instrument setup window had @ES# as the DTNMA symbol for your backfill
@ES# is the continuous DTNMA contract providing back adjusted data, ie you could get up to several years of 1 min data and up to 180 days of tick data with a backfill (with every data being backadjusted, for the period before the start of the current front month contract)
Until last Friday, it was synchronized with the front-month contract (ESH4) for any backfill. However, from today onwards (official rollover day), any backfill will not be anymore in sync with ESH4 but in sync with ESM4, therefore providing back adjusted data (including the ESH4 to M4 gap).
So, at the end of the front month contract life, it is always best to change the DTNMA symbol from @ES# to @ESH4 so that a backfill (taking place just on or after the rollover date) doesn t trigger any backfill with data adjusted corresponding to the new front month contract (ESM4) but of the previous one (ESH4)
For more on this, please check our support page on rollover (which includes a reminder of this usual tip)
https://www.linnsoft.com/support/all-about-futures-rollover-investorrt
This video is the most suited to your situation
https://www.linnsoft.com/videos/continuous-contracts-rollover-and-dtn-gap-adjusted-data
(explaining the situation for brokerage feed from 7.10 onwards)
Cheers
Eddy
Note : preparing a second post about the different ways to fix the situation
Eddy,
Thanks, as always for the information. I saw the video that mentions the backfill contract and ignored it after watching it. I assumed it had to be something else because ive been using IRT since last January and this has never happened with any roll periods to date. I always manually roll during the roll at my own discretion based on OI and Vol and when i finally choose to i always do so via right clicking on QP and selecting roll. I use the exact same proccess for all the other contracts i actively watch. I did remove ES from database beginning of year, so maybe its possible i had something set up wrong originally that was corrected when i did that. I am clueless but at least i know what to look into in the future. Look forward to seeing the post that will discuss fixing my issue.
Thanks again,
Dean
I changed my DTN backfill symbol to @ESH24 and downloaded the data for the symbol again and now have working data. Wish i knew why this hasnt happened on prior expirations though. Also, I noticed my CLJ24 symbol has a DTN symbol of QCL# not @CL#. Plus, my GCJ24 has QGCG24 which must be incorrect. Could that be why i havent had an issue with the roll in those symbols? I also believe ES originally had something similar to what CL has and i changed it in the beginning of year when i deleted symbol from database and added it again.
Thanks,
Dean
Hi Dean,
In fact, I think that your previous rollover operations went fine as your timing was correct. FYI, your DTN symbols were correct. CME/CBOT futures have a "@" at the start of their symbol, while NYMEX/COMEX traditional instruments (ie QCL, QGC) usually don't have one (except for the more recently introduced E Mini contracts) -
See the screenshot at the end of this message for a DTN to Rithmic symbol correspondence table (for the main quarterly indexes, equity and treasuries have already rolled, currencies not yet)
https://www.cmegroup.com/trading/equity-index/rolldates.html
Few additional comments here :