Holes in custom contract data?
Posted: Nov 11 2011
I have a collection of ASCII files with historical tick data for ES, for the contracts of March 2003 through September 2009. I've imported the data into QuoteManager as individual contracts (using "ASCII Files" as the data provider), and then created a custom futures symbol. Screenshots are attached.
When I attempt to display the data in MultiCharts, it mostly works. However, there are various holes in the data, particularly around contract rollover periods.
As an example, I've attached a screenshot that shows daily bars of ES from the ASCII data on top, along with comparable data from IQFeed's continuous-contract symbol on the bottom. (The IQFeed data is the continuous data that IQFeed itself supplies for its @ES# symbol, rather than a custom futures in MultiCharts.)
As you can see, the ASCII chart is mostly equivalent to the IQFeed chart. However, the ASCII chart is missing data for various days, particularly around contract rollover periods. E.g., the ASCII chart does not display any daily bars for March 12-19, 2009, inclusive -- those dates are just blank on the chart. In contrast, the IQFeed chart shows the correct OHLC data for those days.
Also, the ASCII chart is missing volume information for various days, even when it displays bars with the correct OHLC data. For example, it shows the correct OHLC data for March 6, 2009 and March 7, 2009. However, it shows zero volume for March 6, 2009 ("Up Vol 0, Dn Vol 0"), while it shows the correct volume on March 7, 2009 ("Up Vol 1,318,649, Dn Vol 1,330,615").
I've checked the underlying data in the individual contracts, and it appears to be correct. For example, the June 2009 contract contains many ticks for March 12-19, 2009, but those ticks aren't showing up in the chart.
Am I doing something wrong with setting up the custom future information? Is there anything I can do to resolve this? Thanks in advance.
When I attempt to display the data in MultiCharts, it mostly works. However, there are various holes in the data, particularly around contract rollover periods.
As an example, I've attached a screenshot that shows daily bars of ES from the ASCII data on top, along with comparable data from IQFeed's continuous-contract symbol on the bottom. (The IQFeed data is the continuous data that IQFeed itself supplies for its @ES# symbol, rather than a custom futures in MultiCharts.)
As you can see, the ASCII chart is mostly equivalent to the IQFeed chart. However, the ASCII chart is missing data for various days, particularly around contract rollover periods. E.g., the ASCII chart does not display any daily bars for March 12-19, 2009, inclusive -- those dates are just blank on the chart. In contrast, the IQFeed chart shows the correct OHLC data for those days.
Also, the ASCII chart is missing volume information for various days, even when it displays bars with the correct OHLC data. For example, it shows the correct OHLC data for March 6, 2009 and March 7, 2009. However, it shows zero volume for March 6, 2009 ("Up Vol 0, Dn Vol 0"), while it shows the correct volume on March 7, 2009 ("Up Vol 1,318,649, Dn Vol 1,330,615").
I've checked the underlying data in the individual contracts, and it appears to be correct. For example, the June 2009 contract contains many ticks for March 12-19, 2009, but those ticks aren't showing up in the chart.
Am I doing something wrong with setting up the custom future information? Is there anything I can do to resolve this? Thanks in advance.