Data providers typically offer the opportunity to receive continuous futures contracts, i.e., data averaged over quarterly contracts such that no gap appears at the transition from the expiring contract to the nearest back-month contract. For eSignal data, a gap did occur on the continuous NQ futures contract starting at 1800 EDT on June 8th. I've used the NQ continuous contract for a decade and never saw it gap before. Obviously, the September contract was trading far higher than the June for several weeks. Can anyone explain why the eSignal averaging protocol was unable to prevent a gap under that condition? Can you describe the details of the eSignal averaging protocol?
Something related to the 9 Jun 23 rollover. 9 Jun 23 Friday was a rather odd / strange day; The U contract volume was very low compared with the M contract.
With ZIRP for the last several years, there wouldn't be much of a gap in the futures at the start of a new quarter. Now with rates up, large gap. (There were gaps before... just small enough that you didn't notice.) Not one to tell another how to do his business, but for looks longer than a quarter, I'd suggest you do your analysis off of the cash chart instead of continuous futures... there's really little value (if any) in them, IMV.
The volume on the day the next contract becomes front month is almost always light/very light. Sierra Chart does an automatic rollover to the next contract if that option is selected. They used to do it on actual rollover day... but they recognized the low volume and now do the roll on the following Monday so the volume has had a chance to "catch up" a bit in the new contract.
But there was no gap at the March rollover of eSignal's continuous NQ chart when t-bills had about the same rate as now. Going out on a limb here, my analysis has NQ and ES above price levels where a serious reversal should occur. So actually, I'm checking for the possibility of a calculation anomaly. If there is no mechanical reason for the gap, then I'm going to assume that it's a sign of exhaustion. YM surpassed its "critical level" on 11/30, reversed down, and has been trading sideways since stabilizing. U.S. cash indices don't post data outside NYSE trading hours, do they? So I use continuous futures charts to allow an analysis during the pre-open hours in order to trade the hour after 0930 and to decide whether to enter before the open.
Let them know, but suspect they know by now and will fix it soon enough. I don't use either eSignal or continuous charts of any kind from my data provider TradeStation. I only want the real thing.
1. I don't have an explanation as to why "no gap" into Jun contract and big gap into Sep. I could guess but that's all it would be. 2. The big adjusters in "fair value" calculation ares interest rates and time to expire. I don't know exactly which rate vehicle is used, but you get the idea. 3. Lets say FV is calculated with a 5% interest rate. Current SP is ~4300. 5% of that would be ~215 points... spread over 4 quarters... or ~$50/qtr now. The FV in the ES yesterday was +47 over cash... which is why the big gap. (FV the day before on the Jun contract was down to 6). 4. The gap from yesterday was an adjustment for interest rates + time remaining on the new contract... nothing more.
Thanks for your exposition. I'll be interested to see whether the data vendors back-adjust the gap out of existence on Monday (both eSignal and DTN show a gap), and even more interested to see whether the gap coincides with a major topping process.
The adjusters might mitigate the gap, but I doubt the gap had anything to do with topping. If it does, you'll see it in the cash chart.