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| Ticker | All the continuous contracts |
| Security Type | Future |
| Market | USA |
| Resolution | Minute |
| Status | Cannot Be Resolved |
In the attached backtest you can see prints of the GC continuous contracts.
If you run the EXACT same code today it will print different values.
This is not a problem only with GC, it's just an example, all the cont. contracts were changed somehow.
You can try CL or HG (crude oil or copper) to see the same issue
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Hey Gil Sapir!
Believe the price changes you are seeing is expected due to the nature of how backwards adjustment works. For example ‘in the attached backtest: 'DataNormalizationMode.BackwardsPanamaCanal' eliminates price jumps between two consecutive contracts, adding a factor based on the difference of their prices. Last contract is the true one, factor 0. Each time a new contract is mapped, because the continuous contract has rolled due to 'DataMappingMode.OpenInterest' previous factors will change. Same will happen for 'BackwardsRatio'. If you want raw data prices you can use Raw normalization mode, which will never change, but the continuous future will have price jumps.
Hope it makes sense for you now. Please take a look at https://www.quantconnect.com/forum/discussion/12644/continuous-futures-support/p1 for more details on the different possible configurations.
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.
Martin Molinero has marked this issue as cannot be resolved.
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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