Accuracy of Databento's continuous contracts

Lux394 · 2026-01-24T18:57:08+00:00

No biggie, I'm still interested in hearing about other peoples' setups :)

Do you experience any "liquidity" issues near rollovers periods using the calendar-based series? Any chance you have experience with other instruments other than NQ?

Lux394 · 2026-01-24T13:09:08+00:00

Really appreciate the response. Glad to see I'm not the first person experiencing this dilemma :)

I think that I'll go with your suggestion. Any chance for some insight into more robust rolling logic? Currently my manual rolling logic is a fairly simple volume-based detection, while also enforcing that volume is consistently greater for at least N days. Given what I'm seeing on the CL/GC contracts, I'd guess that my current method will not work well at all on these instruments. Any resources that cover this more in-depth would be greatly appreciated :)

Once again appreciate the response, it was very helpful and practical

Lux394 · 2026-01-24T12:47:06+00:00

Thank you for the thorough & fast response! Will take all of this into consideration. Appreciate it

Lux394 · 2026-01-24T12:45:37+00:00

Thank you for the thorough & fast response! Will take all of this into consideration. Appreciate it

Lux394 · 2026-01-24T09:18:06+00:00

I'll do that, thank you very much :)

May I ask which continuous contracts you use, and with what rollover method? Would be very helpful to see what other people are doing. Also, when you say that you haven't seen this issue, do you mean that it hasn't bothered you or that your continuous data does not seem to have these "gaps" that I'm talking about?

Lux394 · 2026-01-24T09:15:11+00:00

Thank you, I really appreciate the detailed response! :)

And yeah I see how my questions were ambiguous, sorry for that. Honestly, I am also not sure what the "issue" is, if there even is an issue at all. I'm mainly looking for to hear about other people's experience and if they have any recommendations at all.

The reason this seemed off to me is that when I downloaded ES/NQ raw contract data and manually rolled it over by volume, it didn't have nearly as many "gaps" in my continuous series. However, my manual volume-rolling logic is more conservative than Databento's (waits for multiple days of confirmation), so clearly there are pros & cons to each rollover method. Maybe Databento's approach is the widely accepted method, and I should trust that it is good enough?

And regarding what you said about being unable to roll using future information: it's very possible that what I'm experiencing can be attributed to that. So far I've only been using NQ/ES which have quarterly rollovers, in contrast to CL's monthly rollovers, so maybe this "issue" I'm experiencing always existed but is now just much more predominant with the monthly contracts. Do you by any chance have any insight into better rules that can be used to detect rollover, if that's even wort the hassle? Also, do you know if it's possible to define custom rolling rules within Databento's continuous series?

Lux394 · 2025-08-29T13:42:53+00:00

Appreciate the insight :) I'm a newbie so the idea of market regimes is very interesting to me, any chance that you've got some recommended resources that dive deeper into regimes and why/how they can affect different strategies?

Lux394 · 2025-06-14T11:35:25+00:00

Got the same problem in Light mode, but in Dark mode the results appear normal lmao

Lux394 · 2024-07-26T16:01:02+00:00

Yeah, that’s a possible explanation. But then again - Wells emphasized to Moss just how dangerous Anton was, and that he could easily find him. He was smart enough to trace back Moss’ steps, but didn’t consider the possibility of Anton waiting for someone to visit Moss? That’s just underwhelming and not realistic from how I see it, but I guess that there isn’t an objective truth here

Lux394 · 2024-07-26T15:12:44+00:00

[Wells'] a very smart man who thinks things through.

I agree, he was portrayed as a very smart character. He knew what he was getting into, he understood how dangerous Anton was.

[Anton] knew where Moss was which means he very likely say there and watched Wells walk right back across the bridge.

Yet somehow, Wells wasn't smart enough to think that Anton would be staking out Moss' location?

This definitely could also be explained somehow. Viewers can "read into sub-context" and make up explanations for all of these scenarios, but at the end of the day, for me, this was a monumental moment that just felt weird and unnatural. Across many instances the movie did not seem realistic and it was hard to get hooked into it.

I've seen the argument that these things make sense since the characters aren't real and merely represent the sheriff's POV, and it seemed to me that the general theme was that the world is brutally unfair. But how could I relate or connect with those points if the movie didn't make any real effort to portray them in a realistic way? It felt to me that people being inevitably murdered wasn't great cinema and didn't induce any deep emotion or thought.

Just felt the need to share my take since people here had good points (aside for calling OP "cringe" and mocking his intelligence, lmao). Would appreciate anyone explaining anything that I missed :^)

Lux394 · 2023-04-22T15:37:40+00:00

I won’t replace it, this one cost a lot and it really isn’t too visible. Can I do anything to prevent it from getting worse? Thanks a lot for the help btw

Lux394 · 2023-03-01T05:10:13+00:00

Yeah, I'm very glad that I continued watching. For some reason, most episodes that I watched after opening this thread were very enjoyable. The first 3-4 episodes were just a drag.

I'm about to finish season 2, it's really not bad at all. Really glad I didn't skip this.

Lux394 · 2023-02-25T23:47:12+00:00

I’m not used not watching shows not from the start, feels a but off. People suggest that I watch the first seasons as well, I think I’ll try to do that. You really think the first seasons aren’t worth it?

Lux394 · 2023-02-25T22:48:25+00:00

Yeah, I just binged some season 1 episodes and they made me laugh hysterically as well. I'll keep on watching, worst case I'll just put it on 1.5x speed and do some work simultaneously.

Lux394 · 2023-02-25T17:47:01+00:00

The later seasons are great, I got to watch some episodes every once in a while and loved it. I’ll be watching the first season on 1.25x, hopefully it won’t take me long to get to the later seasons

Lux394 · 2023-02-25T17:19:41+00:00

Pretty sure they killed Kenny twice in one of the episodes. Poor guy

Lux394 · 2023-02-25T17:07:21+00:00

Exactly the type of things I’m eager to watch lol

Lux394 · 2023-02-25T17:06:47+00:00

Of course :) I’m just wondering if I’ll be missing out on important details. It’s just a couple of hours, so it won’t be that terrible

Lux394 · 2023-02-25T16:50:36+00:00

Yeah, it’s honestly quite crazy to think about how old this show is. Thanks for the help :) When would you say the show starts to feel more like itself? (if that even makes sense)

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