Support Board
Date/Time: Mon, 25 Nov 2024 06:47:27 +0000
Post From: Very Impressive!: New Continuous Futures Contract Feature
| [2014-01-01 22:16:38] |
| PTG - Posts: 57 |
|
Intraday data for 6E now goes back to July 11th, 2008. This is good. One difference I notice is that IQFeed apparently use the front month at the time and the SC feed doesn't, which leads to thin volume up until the rollover date of that contract. The volume of the SC continuous contract picks up from November. All this leads to a distortion of the long time volume profile relative to the one from DTN in the range from 1.2500-ish to 1.5860-ish. Is there something you can do about this, by e.g. providing more historical contracts ? (at least one more I reckon). Next question: I notice differences in shorter term volume profiles between SC and DTN on 6E, for example from Nov 1st to Nov 27th resulting in different VAH/VAL/POC values. Do you notice that as well, and if so, what then ? Next question: historical data now goes back to Sept 2003 (6E). IQFeed have more data, it goes back to Jan 4th, 1999. Are you going to make more historical data available ? Last question: I notice that 6B data goes back to Dec 13th 2010. Are you going to make more intraday data (as well as historical) available on other contracts too ? Wishing you all the best for 2014 ! |