Hello at all
Please if possible connect my data eSignal with Amibroker for Dax Future continuous (symbol on eSignal %FDAX 1!-EUX this is not seen on amibroker)
thx
Hi Hughes,
I use eSignal too. I have been there and please see my humble suggestions below:
%FDAX 1!-EUX is a contious contract stitched via eSignal software. Currently eSignal is not allowing these to automatically downloaded into Amibroker or any other 3rd party software. This is a decision taken by eSignal Corporate and nothing related to Amibroker.
To mitigate this you have two options:
a) Download from eSingal tool using tabular mode and then data export. You can save this into a CSV file and upload it to Amibroker like any other CSV. It is a manual process and it works.
b) eSignal allows you to automatically download individual futures contracts for DAX as well as any other futures into amibroker!!! You can do that pretty easily. These contracts are in the format of "FDAX M2016-EUX" format for prior years. Just use this format for past and current contracts and it would download to Amibroker.
Then you can code a stitching utility that you programme to stitch these in your own environment.
c) If you do not know how to code a stitching utility, you can use 3rd part coding services. Usually it takes less than 500 lines to code a stitching utility. Do not struggle yourself, just search for the 3rd party services here available in the forum, pick a programmer and s/he would do it for you. It can finish quite quickly.
Once you have utility you can download automatically from eSignal to Amibroker individual contracts and stitch them as you go along.
Many thanks,
Kind regards,
AD
3 Likes
Hello AD
thx for your answer
use qcollector to import eod data eSignal in metastock format can I use qcollector?
what options do you use? a/b or c
I need the continuos future EUREX for backtesting with Crude Oil import data with CL #F eSignal symbol
thx
US
Personally, I always thought that Tomasz should support a seamless tool in AB to create continuous back adjusted and continuous spliced contracts, a dynamic symbol, and with an area for user roll timing logic. Other than roll logic, you would only have to define the symbol format, to get the root symbol from the contract and then the tool could take it from there etc. Additionally supporting intra-day resolutions and roll prices, ie.e., Open-to-open, close-to-close etc.
I haven't seen any stitching code out there, do you have a link? Is it written in AFL, plug-in, J-Script?
-S
I have mine written in C#, but C# OLE data access with AB seems very slow to me.
1 Like
Hi all,
With respect to stitching utility, please note the following:
a) There is no single way to stitch a continous contract. You could do it via points based, percentage based, volume based, based on exchage requirements. Many traders use many other methods. Each method has its own advantages and disadvantages. Overall, I think they are materially the same output and so long as you are consistent accross the futures portfolio, it would work well.
Points based system is the most traditional way of stitching. Though, one drawback with this method is you could end up with negative prices if you stitch from end to start for 20+ years. Then the question becomes, how can you backtest a negative price ? Perhaps then % based would be preferable.
b) In AFL library where subscribed members could access there is an example code. Search for "Continuous Contract Rollover". I have not tested this and I cannot guarantee it works. But perhaps a starting point.
c) The best way of course for "norgate data subscribers", once you subscribe to norgate then you have full access to their continuous contracts as well as individual future contracts. You can start coding one and compare results with norgate. This I believe could be a solid way of minimizing your errors. Once you have a mature code, you could further complicate with other stitching methods as mentioned above.
d) I do not think it is Amibroker corp's responsibility to provide a stitching utility for futures traders. As mentioned, just do it yourself or hire a programmer and follow the examples provided on b) or c) above and you could end up with a good code no more than 500 lines.
e) @hughes1970 - I am using both manual and automated solutions for my own requirements. Both of them works.
With respect to qcollector, similiar to Amibroker, it is a third party software from eSignal perspective, and I believe it is more likely than not, will be subject to same restrictions like Amibroker. Please test it on your end.
f) With respect to stitching futures conracts good resources are as follows:
i) Search "panama method" and you can see Ed Seykota's timeless article
ii) Norgate has a good write-up: https://www.premiumdata.net/support/futurescontinuous.php
Many thanks,
Kind regards,
AD
Hi Hughes,
One more thing CL #F in eSignal provides "spliced" continous contract as oposed to a "backadjusted" one. To backadjust this you need to use, eSignals built in tool.
Many thanks,
Kind regards,
AD
This has been already discussed on this forum. Please use search before posing duplicate topics:
No third-party application can even access those because they ARE NOT available from eSignal feed. They are created inside eSignal CHART application and NOT made available to any external programs by ANY method.
eSignal is the DATA vendor and it is their task to deliver data for all symbols that you are subscribed to.
AmiBroker is not in the data business. Compared to eSignal we have got very small fraction of human resources and we can't really fix everyone's else missing parts. Due to limitations of Windows I already had to re-implement parts of Windows because Windows API either did not work or worked to slow. But I can't fix entire world.
Continuous contracts should be handled by data vendor. This is core functionality and should be done on server level. In fact they are doing that for # symbols (not-adjusted), so there is no real reason why not to do the same for adjusted. Stitching on client side is bad idea because it requires way more downloads and unnecessary processing on each and every client computer when this could be easily done once on server side for everybody to use.
Hi TJ,
Agreed. Referring prior posts is definitely better & more effective.
With respect to eSignal, you know this business has been recently bought by ICE exchange. So due to change in ownership they are now part of one of the biggest exchanges globally. It is even more interesting with this excess size (& perhaps funding) why they choose not to stitch backadjusted contracts.
Though as a futures trader, once you choose your database provider as eSignal, since you have “skin in the game” it really becomes your problem as an individual trader to mitigate this lack of service on eSignal’s end.
Many thanks,
Kind regards,
AD
Let me reiterate.
1). I know how to do the many Rolls, hard and fast price adjustment and support for negative prices is the only real-life situation, all those proportional or whatever overly sophisticated methods are crap.
2.) This possible AB tool would be data source independent, not specific to e-signal. Individual contact data can come from all sorts of data sources.
3.) Real futures traders that need to reference longer price series do their own back adjusted contracts and don't leave it up to the data source. A) because they know how it is created and can replicate it in their trading. and B) Know when a roll will happen before it happens, so they can roll live positions as well.
4.) A dynamic continuous feature in AB would be great. It would support defining the root symbol and feed specific symbol format logic and be a "Set it and forget it" solution.
-S
1 Like