Support Board
Date/Time: Tue, 26 Nov 2024 02:48:56 +0000
GFDL Nifty continuous contract back adjusting
View Count: 2767
| [2014-03-03 12:17:17] |
| turnbull - Posts: 34 |
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Hello, I am using GFDL as data feed. I can download nifty futures daily historical chart without problems. However, it is non-adjusted data. I am not able to back adjust the data as per following instructions: http://www.sierrachart.com/index.php?l=doc/doc_ChartSettings.html#ContinuousFuturesContract Also I get data for the present contract only. Please advise how can I get continuous back adjusted data for nifty futures. Thanks |
| [2014-03-04 04:56:52] |
| turnbull - Posts: 34 |
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Hello, Any updates regarding my query ??? Thanks |
| [2014-03-04 07:13:47] |
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What are the rules for the last trading day for the Nifty futures? In other words what is the last trading day. The last business day of the month? Once we have this we can program the rollover rules. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-03-04 07:14:14
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| [2014-03-04 09:42:27] |
| turnbull - Posts: 34 |
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It is last THURSDAY of the month for all futures traded in NSE.If thursday is a holiday then a day before Rgds |
| [2014-03-05 08:43:12] |
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This rollover rule has been set up for the NIFTY futures. You need to restart Sierra Chart to get the updated settings. With the rollover rule defined, you will now be able to properly use the Continuous Futures Contract feature, as long as the historical data is available from Global Data Feeds for past futures contracts. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-03-05 08:43:50
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| [2014-03-05 11:01:00] |
| turnbull - Posts: 34 |
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Hello, When I open historical daily chart of nifty (NIFTY-NS-FUT-2011403) I can get bars as far as 2009. But when when I apply "Continuous Future Contract- date rule rollover" I get bars only only as far back as 26th/Dec/2013. Am I missing something??? rgds |
 NiftyBkAdj05-03-2014 16-12-31.png / V - Attached On 2014-03-05 11:00:09 UTC - Size: 33.07 KB - 457 views NiftyCondNonAdj05-03-2014 16-10-21.png / V - Attached On 2014-03-05 11:00:39 UTC - Size: 23.95 KB - 475 views |
| [2014-03-05 20:34:49] |
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We need a little time to test this.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-03-13 07:43:41] |
| turnbull - Posts: 34 |
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Hello, Any updates regarding this issue ?? Rgds |
| [2014-03-13 17:28:39] |
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We have not had a chance to review this yet. We also do not have access to the market data any longer and have to ask Global Data Feeds to enable our account. We will do that now. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-03-14 04:55:28] |
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The problem is the availability of historical data for expired contracts. If there is missing data, it affects the entire procedure of building a continuous futures contract chart , including the back adjustments. We have sent Global Data Feeds this message: A customer is asking us about our Continuous Futures Contract feature in Sierra Chart. This depends upon getting historical data for expired futures contracts. But it appears we cannot:
HD Request # 35 - Downloading Historical Daily chart data for NIFTY-NS-FUT-201402. Starting date: 1964-02-29. Service: gdf | 2014-03-14 00:48:27 GDF FIX Data (Send) << 8=FIX.4.29=15635=V49=DEMO320-GDF56=GFDL32034=5152=20140314-04:48:27.337262=MD37263=1264=1265=155=NIFTY207=NS167=FUT200=2014029883=20090227267=1269=2146=010=010 | 2014-03-14 00:48:27 HD Request # 35 - Requesting historical Daily data for NIFTY-NS-FUT-201402 from date 2009-02-28 | 2014-03-14 00:48:27 GDF FIX Data (Recv) >> 8=FIX.4.29=13235=Y34=132649=GFDL32052=20140314-04:48:16.22056=DEMO320-GDF58=No data for the combination Symbol NIFTY Exchange NS262=MD3710=060 | 2014-03-14 00:48:28 HD Request # 35 - Error downloading historical Daily data for NIFTY-NS-FUT-201402. No data for the combination Symbol NIFTY Exchange NS | 2014-03-14 00:48:28 HD Request # 35 - Received 0 records from 00:00:00 to 00:00:00 (0.0 seconds) and wrote 0 records for NIFTY-NS-FUT-201402 | 2014-03-14 00:48:28 HD Request # 35 - Daily download COMPLETE for NIFTY-NS-FUT-201402 | 2014-03-14 00:48:28 Is it possible to get historical data for expired contracts? Are we doing something wrong with the request. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-03-14 04:56:03
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| [2014-03-15 02:52:23] |
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We have heard from Global Data Feeds and they have indicated that it is not possible to get historical data for expired futures contracts. What this means is that unless you already have the historical data for expired contracts , the Continuous Futures Contract feature in Sierra Chart is not going to be able to download the necessary data it needs from Global Data Feeds. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-03-15 03:03:50
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| [2014-03-18 13:25:44] |
| turnbull - Posts: 34 |
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Hello, I am a bit confused here ! The most recent contract (front month) that is Nifty-NS-FUT-201403, is already a continuous contract going back till 2004. The only problem is that it is not adjusted. Is there any way SC is able to back adjust this data. OR Does it require to download every expired contracts individually from GDFL and then adjust it. Is there any other way out. Rgds |
| [2014-03-18 17:01:25] |
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An individual futures contract cannot be a continuous futures contract. This is not technically possible. And it is not possible to adjust it. There is no solution to this unless Global Data Feeds provides historical data for expired futures contracts. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-04-01 12:13:42] |
| turnbull - Posts: 34 |
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I understand GDFL does not provide historical data for expired contracts. Would it be possible to push them from your side to provide this data. It is very important information for traders after all. They do provide this data for other platforms like Amibroker etc. If I have data for expired contracts for past one year or so- How do I construct continuous back adjusted contract with it. Thanks |
| [2014-04-02 00:31:26] |
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There is not enough users we have using Global Data Feeds to make it worthwhile for us to offer this historical data, assuming it is even financially reasonable to begin with. Most likely there would be a very high cost which would have to be paid for the data. If you have the data for the expired contracts for the past year, you just need to refer to the Continuous Futures Contract documentation on this website for instructions. If you need to import it, refer to this page: https://www.sierrachart.com/index.php?l=doc/doc_ImportExport.html Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-04-03 15:01:38] |
| turnbull - Posts: 34 |
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This is for importing and loading files. The data I have is contract wise. Once I have imported/added and loaded the files I get a continuous contract but not back adjusted. My question is - how do I back adjust this data. ??? Thanks |
| [2014-04-03 17:18:20] |
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Actually, thinking about this, the back adjustment will not work because it relies upon historical Daily data files for each historical contract month for the symbol. This is the format for those files: https://www.sierrachart.com/index.php?l=doc/doc_TextCSVDataFormat.html So you will have to create those files as well. You really should contact Global Data Feeds to find out why over the FIX connection they do not provide expired futures contract data. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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