Esignal Backadjusted Continous Futures - Amibroker Download


#1

Dear all,

In e-signal continuous futures data have #F tag at the end. For instance crude oil continuous futures contract symbol is CL #F. I have noticed that e-signal has the ability to backadjust continuous futures data within their own application. They have a nice/neat tool to handle this problem.

Though, when these custom continuous futures (backadjusted) data created within esignal application, it is NOT possible to download these into Amibroker. Has anyone find a solution to download backadjusted continuous data from esignal to Amibroker (for both daily and minute data) ?

Many thanks,

Kind regards,

AD


#2

No, it is limit imposed by eSignal. They decided to encourage their subscribers to use their own app only if they want those new symbols.

Any 3rd party application using eSignal feed can only access symbols that are available via eSignal API, i.e. via eSignal's Data Manager. Old style -#F like symbols are available from data manager and are available to 3rd party apps like AmiBroker.

But eSignal few years ago decided NOT to extend Data Manager to support "new" synthetic symbols. Instead of putting this functionality into Data Manager so all apps can use same symbols, they moved some functionality to eSignal app so some symbols like those new synthetic symbols with exclamation mark (like CL 1!) are available only in eSignal own charting app and NOT from Data Manager making them unavailable to ANY 3rd party app.


#3

Dear TJ,

Thank you very much for your response.

Your explanation almost makes esignal redundant for futures traders as without ability to download backadjusted continuous futures contracts from esignal to Amibroker, it may not be possible to have a robust backtesting.

This is surely a major drawback for esignal.

The only other way I could possibly think, is to download all past futures contracts from esignal and create your own backadjusted continuous futures data in Amibroker. Esignal allows Amibroker to download prior dated contracts and this may be the only way.

Not sure if it is worth the effort. Though, it is important to note down all possible options for future reference.

Many thanks,

Kind regards,

AD


#4

AD
I use eSignal to trade index futures both US European and Ausralian.

First make sure you have computer time zone set so it spans the relevant exchange time zones of interest ie all your exchanges of interest are within the 24 hrs 00:00 to 23:59.
eg i am in Melbourne Australia currrently UTC +11hrs
I trade US index Futures ES Ym RTY NQ - UTC -6hrs
FTSE 100 UK - UTC +0
DAX FSMI(swiss) FCE(CAC 40) FESX(EURO STOXX 50 FUTURE) UTC + 1
AP (ASX 200 SPI Index Future) UTC + 11

So my computer time zone is set to UTC + 2 hrs and
my database intra-day settings is set to exchange time 0 time shift.
This ensures all open to close times of symbols of interest falls between 00:00 and 24:00
I use 5 minute bars
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Also I use Symbol Group intra-day settings to set each Exchange start - end times for each exchange.

in eSignal application

I create back adjusted continuous symbols using Tools> Composite Manager
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Click on Add +
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Fill out the form lets take Z which is the FTSE 100 Futures Contract in the UK as a non Us example
I set the Composite Symbol to ~ZBA ie Z Back Adjusted
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Click on the Right hand icon next to Symbol line
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Select Insert Continuous Contract
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Select your preferences re roll date and back adjust and relevant month of expiry for the relevant contract
Ans click insert

in a Quote window add ~ ZBA or the relevant symbol for the continuous contract you have created.
Add a chart of this symbol and set the time frame to match the Amibroker database you are using in my case its 5 minutes.
By the way I subscribe to extended intra-day data in eSignal so i have 10 years of intra day data.
Here is the current eSignal chart for ~ZBA
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Right click on the eSignal chart select propetries
Click the Time Template Tab at the bottom
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Set the Start Date/Time to the start date of the data you need in AmiBroker
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Click apply to > Currrent Page at bottom of winow then close
( The chart should now have all the data you need for you continuous contract to import into amibroker.)
If you want Volume data in your continuous contract make sure you add a volume pane to your chart
9Built in Studies) to the chart before next step.
Right click the chart
Select "Tabular Mode"
Your eSignal Chart Window wlll look thus
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Right click Chart window again
Select Data Export
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Deselect Bar#, Bar Index and tick Range
Note Target Folder and File Name, or change to you desired target folder and file name for editing and import to Amibroker.
Ok we now have a CSV file with 10 yrs of 5 minute data for symbol Z FTSE 100 Futures
In Windows explorer find this file as specified in the "Target" above & open in excel
At the immediae left hand column add a new column title "Ticker"
Populate the entire column all relevant rows with the ticker name in our example i use "~ZBA"
This to facilitate import to Amibroker Now the .csv file wil have the header line as follows
I move the "Time " Column to the righ hand side
sot the column order reads
Ticker,Open,High,Low,Close,Volume,Time
Note you Computer time format in windows settings need to be set to 24 Hrs not 12 hr format.

Once you have rearranged the csv file to the correct heading sequence save the file and close it in excel.
No go to Amubroker>Symbol>New
Add ~ZBA the click ok
Amibroker >File>Import Wizard>Pick Files --Select relevant file
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Select the file relevant to ~ZBA.
Then Click Next
Change the Date Format to Match the Date Format of the csv file you are importing in my case its DMY
Add a Time Column
If you have a header row in your CSV as I do the Change the Skip First to 1
And the window fields should look like this if you have the same csv format as me
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Click Next then finish

You should now have a Symbol called ~ZBA in amibroker populated with the period of data you specified when you exported the continuous contract from eSignal

Now Create a Symbol in Amibroker for the current Contract eg Z H18-ICL is the current FTSE 100 Contract in eSignal.

Open a chart or this symbol Z H18-ICL and it should backfill.

in the plug in status box right click and shutdown the eSignal plugin

Go to Symbol>Quote Editor
Highlight and delete all data except for the last 24 hours of data in the current contract.
With the current contract open in a daily chart it wont show any bars as there is only one days data in the database. The plug in is shutdown which prevent backfill
Now go to Symbol>Merge
Select ~ZBA in the Merge With box and select ok
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In this example the name of the merged symbol is slightly different ~ZBZ*8-H18)

You should now have a real time Continuous contract for Z with 10 years of data assuming you have the eSignal subscription to extra intraday data.

If you just using daily data you can use the same Technique

It looks like a lot of work but once you have done it a few times and get into a routing roll over is fairly straight forward.

Go to Plugin Status Reconnect so the chart and database continues to backfill.
Hope this helps.


#5

Dear Richard,

Thank you very much for this value added response. This answers the initial question in such granular detail.

Many thanks,

Kind regards,

AD