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I'm using a brokerage feed (IB, Zen, Infinity, etc) and using DTNMA for backfill.  I'm still confused regarding what symbol to use in charts and where to specify the DTN symbol.  Can you please clear that up?


Below is the Setup Instruments window.  This window can be accessed by choosing "Setup: Instruments" from the main menu, or hitting Alt-A on the keyboard.  Notice the symbol at the top if ESH0.  This is the symbol for the S&P e-mini contract for Zen-Fire for the March 2010 contract.  This is the symbology used for all supported brokerage feeds (IB, Zen, Infinity) starting with the underlying symbol (ES) followed by the month code (H for March) and then the year code (0 for 2010).  You will find many common symbols on our symbology page.  Below this image, I'll discuss several sources of confusion when setting up symbols for brokerage feeds.

The symbol you see at the top of the Setup Instruments window, ESH0, is the symbol the symbol that's used for live data from the brokerage feed.  That is the symbol you should have in your charts and quotepages.  At the bottom of the window is a place to enter the DTN Symbol (if you're not seeing this part of the window, click the "Show Advanced" button at lower left of window).  The DTN Symbol is where you specify the symbol that will be used when requesting backfill data from DTNMA (DTN Market Access).  You can find the proper symbol for DTN using the symbology page and looking in the "DTN IQfeed/DTNMA" column.  In general, this is the only place in the software you should be using the DTN symbol.  In the charts, quotepages, etc, you should be using ESH0 and not @ES#.

Most users prefer to use the continuous contract (@ES#) when specifying the DTN alias instead of the front month contract (@ESH0) as that will allow them to backfill continuous historical data several years back.  And this continuous symbol will not need to be changed during rollover.  Users will need to rollover their primary symbol (ESH0) at the proper time.  For more details on rollover, watch the Futures Rollover video.

If you are having problems getting live data from the brokerage feeds, watch the setting up symbols video at the top of the symbology page.

In addition, many users are now interested in adjusting the continuous data to account for gaps left by calendar spreads.  To read more on this, visit: http://www.linnsoft.com/qa/a/179.htm