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.
- Go to Setup -> Preferences -> Configuration
- Enter the letters dtn into the Find box and a list of configuration variables with names containing dtn will appear.
- Select the DTNAdjustedContinuousFutures variable and change it to false and click OK.
- Return to your chart, right-click and choose Download: Full Data
Once you have this variable set false your @ES# charts will reflect the continuous front month raw prices and you will see gap up transitions on rollover days when a new front month begins tracking. If you wish to compare the adusted and raw @ES# charts side by side, you can add the symbol @ES#C and chart that along with @ES# to observe the difference. Most traders prefer the adjusted contract in our experience and as a matter of convenience we automatically translate requests for @ES# into a request for @ES#C internally unless you turn off this behavior via configuration variable DTNAdjustedContinuousFutures.