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Is the futures (ES) price data back adjusted? If not can you provide me an example of how to back adjust pricing?
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Alexandre Catarino
Hi Muhammad Haroon ,
No, the future's data is not back adjusted, In other words, there are no continuous contracts.
Support for Future's continuous contracts is in our TODO list.
We don't have an example of how to do it in runtime.
I would suggest using custom data (Quandl) that provides continuous contracts as you can probably use it to infer the adjustment factor.
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Eugene
Sry for reopening an old post.
Is there an update on this topic?
(besides using Quandl data?)
Thx.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
Hey @Eugene please subscribe to this issue to be notified of when the feature is merged.
It is scheduled for Q4-2020.
https://github.com/QuantConnect/Lean/issues/1650
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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