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
For those using DTN IQFeed to feed
Investor/RT, or using DTN Market Access for backfill, DTN now provides a
method for supplying pre-adjusted backfill data when downloading. This will result
in the tick data, 1-minute data, and daily data being adjusted properly.
If you do not use DTN for backfill, click here to
learn how to adjust the data manually.
(11 minutes): This video demonstrates how to turn on the auto-adjusted
DTN backfill data and answers a number of questions that have been
submitted by users on this subject. NOTE: Adjusted data is
now turned on by default.
Auto-adjusted backfill data for continuous
contracts for those downloading from DTN is now turned on by default in
Investor/RT. No action is required by the user. If you would
like this turned off instead, perform the following steps:
From within Investor/RT, choose "Setup: Preferences: Configuration" from the main menu
Set the variable
You will need to download fresh data at this point by right-clicking in
chart and choosing "download data: full data" to replace your data with
For more information on rollover and adjusted
data, click here.
To learn how to best manage and maintain this
adjusted data through a rollover period, click