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NOTE: Pre-adjusted 1-minute ES data for the past few years is now available.  Visit this Q&A to learn how to import this pre-adjusted data.

When a futures symbol rolls over to a new contract, a gap is created at the exact time of the rollover. Looking at a specific example, below is a chart of the continuous contract the S&P mini contract (@ES# using DTN IQFeed).  This continuous symbols follows one contract right up until the time of rollover, then immediately switches to follow the new front-month contract.  This is demonstrated in the chart below showing 30-minute data on 06/09/10, a day when the ES rolled from June 2010 (M0) to September 2010 (U0).  Notice the gap right at the open of the new session at 16:30 EST, a drop of 4.50points.

Many traders would prefer to remove this gap, adjusting the data prior to the gap to align 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.

Before following the steps below to adjust the data, you will first need to rollover your contract to the front month contract if you have not already (ESU0 to ESZ0).  If your data feed is DTN IQFeed or eSignal and you're using the continuous contract (@ES# or ES #F), no rollover is needed.  By rolling over your symbol as explained in the rollover page/video, your data is retained with the new contract/symbol.

Notice:  Users that download data from DTN (DTN IQFeed users or brokerage feed users w/ DTNMA for backfill) no longer need to follow these steps for continuous contracts such as @ES#.  Those users should see the "Attention DTN" box at the top of this page for more details.

This can be achieved using the following method.  From the main menu in Investor/RT, choose "Control: Data Management: Adjust For Splits".  While this technically not a split, we can use this window to serve our purpose.

• Select the symbol you wish to adjust from the list on the left, in this case, @ES#.

• Set the "Split Effective Date" to the date and time of the rollover; in this case, 09/08/10 at 16:30 ET.  (adjust for your time zone)

• Check the "Calendar Spread Adjustment" checkbox.  When this checkbox is checked, the adjustment will be made by a constant dollar/point value equal to the spread between the values discussed/shown below, instead of a multiplier of the ratio, and will result in a more accurate adjustment of historical data.

• Set the split ratio to "x for y".  Ideally, x should be the closing price of the contract that previous contract (1099.25 for @ESU10 in our example) and y should be the closing price of the new contract (1094.50 for @ESZ10 in our example).  If you don't have access to this information, email support@linnsoft.com and specify the symbol you're interested in.

• Make sure both "Adjust Only" checkboxes are UNchecked.

• Your window should look something like the one below.  Now click the "Split" button at bottom of the window.  The split process should go quickly.  You will have to close and reopen charts after splitting as the data is not automatically reloaded into chart.

Some additional important notes on the process above:

• If you are a brokerage feed user (Infinity/TransAct/Zen-Fire/IB) but you're using DTNMA backfill and have the continuous symbol such as @ES# setup as the DTN download alias symbol, then this process applies equally to you as well.

• After adjusting the data, you must be careful not to download/backfill data prior to the date/time of the rollover (Question: How do I ensure that I don't overwrite my adjusted data?  Answer).  If you do make this mistake, you'll need to initialize your data (control: database utilities: initialize: intraday, daily, week, monthly data) and then do a full download again (right-click in chart and "Download Data: Full Data"), then split again.

• If you would like to continue to adjust data from past rollovers, you can continue to do so in reverse chronological order.  The data that is adjusted is always the data prior to the date/time provided in the Split window.

• At the time of the creation of this Q&A, DTN is considering adjusting their data to account for the rollover gap on the server end, so this process may become unnecessary soon.

Below is a quote from FuturesTrader71 as to why it's important to adjust the data:

"If you do not adjust the prior futures contract information to reflect the current difference between the expiring and the current contract, then you will essentially be trade from data that can be off as much as 15 points. This adjustment is essential for all futures contracts you trade. Unless you want to trade from levels created by the cash instrument, your charts will have to be adjusted to account for the fact that the "premium" for the current contract is different than the one that existed on the prior contract."