Hi,

Using symbol +GC#, I get the continuous contract for gold on the COMEX but the setup of this continuous contract is incorrect as it always shows data from the front calendar month (12 months in the year) and not specifically the ACTIVE front month (only 5 months in the year). This means that one does not get the correct number of trades and also one does not get the correct volume, as 7 months of the year the continuous contract is not showing data from the ACTIVE front month (which may be 2 or 3 months in the future).

From the CME website for the Gold contract:
"The active contract months will be February, April, June, August and December."

From: http://www.cmegroup.com/trading/metals/precious/gold_contract_specifications.html

Note that the above issue is present for all the metals and means that one cannot use IQFeeds' continuous contracts to trade. This is a real dissapointment and means that many traders of metals use other feeds who supply the correct data for continuous contracts for active months only.

This issue is not present for energy continuous contracts as the calendar front month is always the active month too.

Please can you either Fix +GC# to show the ACTIVE front month only, or let me know which symbol I can use to get a continuous contract across all sessions for the ACTIVE front month.

Many thanks,
Peter

Peter
I will forward your concern to that department for review. I will follow as soon as I receive a answer.

Peter

Here is a reply:
We have tweaked the continuation rolling rule for Gold (also Silver & Copper), and we have regenerated the continuation charts as well. let me know if you any additional concerns.

For Gold, we did have the correct month map for charting (G-J-M-Q-V-Z), but we were not rolling to the next active contract until expiration date of the current front month. We are now rolling to the next active contract month on the 2nd to the last business day of the month proceeding the current front month.

As far as gold is concerned, I dont believe you should be including V = October in the list

Skunk

The continuation documentation we have from a competitor (ESignal), and checking other vendors (CQG & Reuters) indicates that they track October (V) on their continuation charts.

Thank you for the sugestion.

Many thanks for your response. I see that you are correctly rolling now. Last time I checked (a couple of months ago) you weren't. I'm not sure about the October contract though and will need to get back to you on that.

Today the volume rolls. Will it roll to December or October ???

Hi Skunk,

I just got a conformation, it will roll to October. If you need anything else please feel free to ask.

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Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

Hi,

The contract you should have rolled to is the active contract. The active contract always has the most volume. If you compare the volume of the October contract with that of the December contract, you will see that the December contract is definitely the current active contract.

There is almost no volume in the October contract and rolling to it in your continuous contract makes all the volume (and price) analysis incorrect.

Looking at the CME contract specification: "The active contract months will be February, April, June, August and December." This is what I originally stated and Skunk also confirmed, yet you maintain that October is correct.

The proof is in the figures - please look at which contract is being most actively traded - this is December - and this is the contract you should have rolled to.

I know that you have only recently corrected your continuous contract set-up, but this is your first October month on this new set-up and it is incorrect. Please can you correct this.

Regards,
Peterb

peterb
For right now we are matching the competition, and it is the next active month. Even though it does not have the volume that December has, it still has a some volume/open interest.

I'm sorry that is not good enough - I use tick charts for trading and there are almost no trades in October so the charts are completely wrong. One can clearly see that the price movement is based on the december contract. I don't care what the competition is doing - it has nothing to do with what others are doing, it is to do with what is right or wrong.

DTN's continuous contract had been wrong for a long time prior. You recently corrected it with the wrong thing again.

Please can you correct this - it is incorrect.

I will also investigate what your competition is doing and if I find any of them with the correct contract month setup (not october for gold) I will be switching.

I suggest that any other DTN customers who read this thread and trade gold, also voice your concern and try switching data provider if DTN will not correct this.

I find your attitude to the quality of your product a little obtuse. I strongly suggest that you pay attention to your customers needs and do your own research into what is correct for the gold market instead of constantly quoting that this is what your competition does.

Right now all my gold tick based charts are a mess using the GC continuous contract.

Peterb

Some vendors will provide the configurable continuation chart settings. And you may see another Vendor that will skip the month of October.

There are plans in the making for the new history system; which will have the active roll over featured. At this time, there is not an eta on its release.

IQ provides a standard continuation chart only (not active roll over) This doesn’t appear to be changing from what I can tell.

With that being said, DTN does offer active roll over contracts on another one of our platforms, ProphetX.

I understand what you are saying, but I still don't get it.

If you don't provide active month rollover at present, then what is it that you are providing with your continuous contract; since the next contract after August is actually September (GCU0)? Why did you skip September and roll from August to October? What is your continuous contract actually showing? It can't be the front month contract, or else you would have rolled to September. It's not the active month, or else you would have rolled to December. What is it that you are actually showing?

I suppose I will have to start looking elsewhere then for another data provider.

*** ALL GOLD TRADERS PLEASE TAKE NOTE THAT IQFEED DOES NOT CORRECTLY ROLL THEIR CONTINUOUS CONTRACTS.
Edited by peterb on Jul 30, 2010 at 04:53 PM
Edited by peterb on Jul 30, 2010 at 04:54 PM

Peter,

We are working on this and will have a solution soon. I appreciate you taking the time to provide the feedback as it is this that helps us to improve our services.

Stay tuned.

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Jay Froscheiser
DTN

If this is going to be fixed anytime soon, please don't forget about Silver

Any updates on this?

I assume that this should be quite quick and easy for you to do, by just changing one of your configuration files - removing October from the GC# symbols config. Then running an update on your stored data to replace the current October data with December data.

This needs to be done within this month or else I can't update with history from IQFeed with tick data that is more than 30 days old - you don't currently allow it.

If you are going to take longer than 30 days to get this fixed, then please can you arrange for special access for me to download tick data over a longer historical period than 30 days.

Any updates on this?
Do you have an expexted delivery date?

5+ months later and gold is still incorrect. Is this issue ever going to be resolved?

Here's a picture of what our charts look like. I can't see how anyone could claim that this is the best selection of contracts regardless of what your competitors do.

Hi RDG,

I have our Market Integrity dept checking the data and will let you know what I hear back from them.

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Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

We are currently scheduled to roll out a change/fix for this over the weekend of Feb 5th. Refreshing your chart data on Monday should produce better data for you as we will be removing Oct from the months used in the continuation data.

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Jay Froscheiser
DTN

That's great news. Thanks for following up!

Will silver be fixed also?

Skunk,

We adjusted silver a few months ago. Are there further adjustments to our roll schedule you would like to see for Silver? If so, please let me know the details of what you would like to see and we will do some further research on it.

Thanks

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Jay Froscheiser
DTN

Gold looks great now. Thanks again for addressing this.

Wish we could have got this done faster for everyone! Thanks for the feedback.

We continue to work on additional enhancements to our front month/continuation data, so if there is further input from anyone, please keep them coming.

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Jay Froscheiser
DTN

Looking at the charts of the main futures contracts, using volume distribution as a guide, it looks like all the continuous contracts are fine except agricultural. Sugar seeems to be ok, because it expires before first notice date, but corn, wheat, soybeans on CME and cotton, cocoa, coffee on ICE show almost no volume for about two weeks before the expiration date of the front contract.

It would also be great to have a complete list of rollovers for the major futures contracts.

Thanks,