Futures difference adjustment all screwed up.

Jan

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I don't think the difference adjustment for futures works correctly. I am getting a huge gap. Here for example in ES. But not just ES. All symbols hat I have checked so far. Please compare to the attached picture from Tradestation that does difference adjustment correctly. This is a software that is on the market for more than 30 years. Difference adjustment almost always means no gap. Only if there was a gap anyway in that contract.
 

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bart

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Not sure if I am right but that could be for the new contract. Is that the only gap you see regarding ES time frame?
 

Jan

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Yes, the new contract starts where the gap is, but difference adjustment removes the gap, because as we all know, the gap isn't real. It never actually happened. It is only there because you jump from one futures contract to the next. But it's not a tradable event.

This is why professionals all work with back-adjusted continuous futures. Specifically using difference adjustment. Without that, you couldn't backtest an automated trading system for example, because it would trip over the gap that is completely artificial.

The picture from Tradestation ALSO goes from the old contract to the new one. And the reason why you don't see that is because the contracts are stitched together correctly via difference adjustment.
 
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bart

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Check with who you get data from. Tradestation you have pulled up @ES which is a contract continuous. Then in motivewave you have pulled up ESZ1. Not continuous Which is maybe where that gap is made. I have Rithmic and the gap shows up until the previous contract expires. So if you goning to back test try to us a continuous contract.
 

Jan

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My data is from Rithmic. Rithmic has all the contracts and they are all correct. I know that Tradestation has a symbol @ES that is already adjusted, but Motivewave has the option to build continuous contracts with back-adjustment. (see image). And this feature does not work correctly.

1631650417496.png
 

Jan

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The gap is there because Motivewave back adjusts the contract ESZ1 incorrectly. It has nothing to do with the data feed. There IS NO gap in ESZ1. The gap is because transitioning to ESU1 and screwing up the calculation how many points should be added or subtracted from ESU1 to line it up with ESZ1.
 

Jan

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Here, you can see that there is no gap in the Rithmic data.

1631650825161.png
 

Jan

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Update: The problem automagically fixed itself today after restarting the platform.

1631726570006.png
 
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