Continuous contract futures data

Interest Rate adjusted Data

To trade futures on a long-term basis anybody needs a long track of correct data. But the most active lifetime of well known futures contracts are about 1-3 months from "Roll-Over-Day" to "Roll-Over-Day" (ROD to ROD). Putting those together in one database to satisfy your analytical and charting needs, you are getting a terrible "noise" - the gaps in prices between two (old and new) contracts.
Continuous contract chart
Fig.1: The ANF Continuous contract Chart.
The value of gap is different from time to time and varies according market environment. To eliminate this "noise" we adjust actual data. There are many ways to adjust futures data into the long term history. We use so named INTEREST RATE ADJUSTMENT method. With this method the value of adjustment is a function of current price level, number of days until contract's expire day and current Federal Reserve Interest rate.
How calculate adjustment
Fig.2: How calculate adjustment.
As a result we have the most correct data of a Continuous futures Contract (CC). It looks like a new indicator that closely follows spot market. More over, it is built into the actual futures data. We have inserted it into the last field of a standard field's set - instead of OI (Open Interest). As you know, the OI field is usually empty if we use intra day futures data. This method allow us to get a most effective, short way to handle with data of continuous and actual futures prices simultaneously. Having Adjusted Close Price it is easy to get Adjusted High or Adjusted Low Prices. This way lets us increase the effectiveness of system developments and decline the time of processing during system testing. You can download the Sample CC Data file to learn more, it is absolutely free.

Sample Continuous contract data
Fig.3: Sample rows of CC Data.
Our data looks like "2 in 1". User will get traditional actual open-high-low-close-volume data and adjusted close data in the same file: The intraday (1 minute) Data is in the universal ASCII text (csv) format that is compatible with the most of charting packages, such as Trade Station (Omega Research), MetaStock (Equis) and other. To turn our 1 minute data into the 3,5,10 and so on min data somebody have to use our CC Data Converter - it is free to download and install.

Up/Down Tick Data History

An up tick is a tick that is higher than the previous tick (or the same as the previous tick). Up Tick returns the number of up ticks on a bar whose value is higher than the tick immediately preceding it or the same as the previous tick. A down tick is a tick that is lower than the previous tick (or the same as the previous tick). Down Tick returns the number of down ticks on a bar whose value is lower than the tick immediately preceding it or the same as the previous tick. Up Volume is a volume of Up Tick's on a bar. Down Volume is a volume of Down Tick's on a bar.

Up/Down Tick Chart helps to answer the quesions: Are traders strong involved in the market? Where traders placed stop orders? When traders prefer buy or sell?

Up/Down Tick Chart
Fig.4: Up/Down Tick Chart.

ANFutures provides Up/Down Tick Data history in CSV (text) format with a 01 minute time interval. We offer Up/Down Tick Data of Globex Time Hours . Every history tick data file includes data for 3 months contract's period from roll-over day to roll-over day. It fits exactly to our CC Data history. Tick data files are ZIP compressed for faster download.

There is an additional option for CC Data. It includes up/down tick and up/down volume only. To get price data with ticks you must have our CC Data and Tick Data files and use Data Converter to compose price data with up/down ticks. Look at the tick data file layout below for detail. You can download the Sample Up/Down Tick Data file to learn more, it is absolutely free. To combine CC Data and Up/Down Tick Data to get new one with different format (3,5,10,15,20,30 and 60 min) use our Data Converter 2.1 for free.

Data makes a difference

Why it is important to use most accurate data in system developing? All data providers have data that may differ from data CME has itself. With the sample below the cumulative effect of the 5*0.25 on a seven bars was reflected in a triggered Buy signal on a CME data one bar earlier than on a eSignal data. Signal generation one bar earlier/later may bring additional win/loss on a short time period. With a long time trading win/loss as a result of difference in data will offset each other. But if you use data from different data vendors you might get strange result in track during system testing

Test results on different data
Fig.5: Test results on different data.

"...Even if all vendors reported prices the same way, differences in their data still would exist. Data are processed and reformatted several times between the pit and trader's computer, and errors can occur along way. The exchange computer passes information with bids, offers and trades to real-time data vendors who reformat it and send it on to users of tick-by-tick data. Most end-of-day vendors get their raw prices from this real-time vendors, not directly from the exchange computer. ...What really matters is whether or not the data differences affect system test result. To find out, we tested a simple S&P 500 trading system using Omega Research's TradeStation200i on continuous contracts from three different vendors. The system itself is a simple version of the popular volatility-adjusted breakout strategy. It is always in the market, either long or short. This equity curves highlight the variability in the system test result based on the data differences. The test period was 2 years long (from Jan. 97 to Dec. 98.) The results varied greatly, with net profit ranging from $95,275 with Historybank.com data to $127,500 for CSI, and drawdowns of $25,375 for CSI to $45,475 for Bridge. When trading a system in real time, you must trigger your trades with the same kind of prices used for testing or the results will not match the test..." From the article: Sheldon Knight. "How clean is your end-of-day data?" Futures Magazine, Volume 28, Number 9


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