Why Continuous Futures Prices Differ Across Data Feeds
Summary
This forum exchange explains why historical prices for a continuous Dalian soybean futures series may differ between the Xt data center and VeighNa downloads. The main issue identified is the adjustment method: VeighNa’s data feed requests ratio-adjusted continuous prices, while the user’s direct Xt example requests unadjusted data. Continuous contracts can therefore show different historical price levels even when volume and turnover agree. The discussion also notes that VeighNa timestamps bars at their start and does not fill missing data, which are additional settings to check when comparing feeds.
The evidence is a user’s comparison of downloaded daily bars and the final clarification that the data feed uses a different adjustment parameter from the direct request. The thread does not independently establish the source of every discrepancy, and its examples focus on one product and interval. Feed-specific conventions, contract mapping, and adjustment settings should be aligned before treating a difference as a data error.
Key ideas
- Continuous futures history can vary with the adjustment method used by a data source.
- The discussion attributes the price mismatch to different adjustment parameters for the continuous series.
- Bar timestamps may represent the beginning rather than the end of each interval.
- Missing-bar filling and contract mapping are other settings to align when comparing feeds.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.