rollover

Investor/RT uses DTN premium adjusted continuous contract historical data while other charting products are likely using the raw @ES# continuous contract historical data. The adjusted contract is premium adjusted so that charting of price on front month rollover days is smooth, no discrete gap up that has to do with time premium and little to do with market sentiment. We provide a means to turn off this default behavior in Investor/RT using a configuration variable.

IMPORTANT

The IQFeed Continuous Contracts begin tracking the upcoming contract two-three days prior to Rollover however, the historical data is not premium adjusted until rollover. The solution is that during this time of the quarter (2-3 days prior to roll) use the non-continuous contract. For example, during this time period, instead of using @ES# as your symbol or DTNMA symbol alias, use @ESMYY. Once the actual roll date has occurred, you can return to using the Continuous contract.

If you are using a DTN IQFeed or eSignal and tracking a continuous contract, rollover is not required. Continuous contracts for DTN IQFeed end with a # such as @ES#. Continuous contracts for eSignal end with #F such as ES #F. However, if you are using a symbol which contains the month (letter) and year (number) such as ESM0, @ESM0, ES M0, or @ESM10, you will need to go through the rollover process.