Sierra Chart - Changing to a New Futures Contract Month

Changing to a New Futures Contract Month

Introduction

There are several methods you can use to change to a new futures contract month. For example, if you are following ESH0 and then trading begins in ESM0, then follow one of the methods given below. Note: Supported services like DTN IQ Feed and some others, have continuous contract symbols. If you are using a continuous contract symbol such as @ES# (DTN IQ Feed symbol), then there is no need to perform contract rollovers because it happens automatically by the service.

Instructional Video

Futures Contract Rollover Instructions.

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Changing To A New Futures Contract Month And Not Include Data From The Prior Contract

To change the symbol of a chart to a new futures contract month and not include the data from the prior contract month in the chart, then see the Changing the Symbol of a Chart documentation page for instructions. Also, please see the Important note below.

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NEW: Changing to a New Futures Contract Month by using the "Perform Futures Symbol Rollover" command

To rollover to the next futures contract and include the specified amount of data from the prior contract, then follow these steps:

  1. Go to one of your charts that you want to rollover and select Chart >> Perform Futures Symbol Rollover.
  2. In the New Symbol box, enter or select the symbol for the next contract. Depending upon the data or trading service you are using, the list may or may not have the next available contracts.
  3. Set the Include Data from the Past to the number of Days you want to include. Please keep this to a small number so your file size is not too large and so the rollover process does not take long. A recommended number would be about 10.
  4. It is highly recommended that you set the Output Storage Time Unit to 10 seconds or higher to prevent your data file from being too large.

If after this procedure you wish to fully refresh all of the data in your chart for any reason, you can do this by selecting Edit >> Refresh All Intraday Data for Symbol. This will delete all of the data in the data file and download data only for the current contract month.

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Changing To A New Futures Contract Month And Include Data From The Prior Contract By Joining Files

  1. Select File >> New/Open Intraday Chart and open a chart for the next/new futures contract. Wait for the historical data download to Complete.
  2. Disconnect from the data feed by selecting File >> Disconnect.
  3. Select Edit >> Join Intraday Data.
  4. Add the prior and the next futures contract scid files to the Intraday Files to Join list.
  5. Set the Output Data Storage Time Unit to 30 seconds or 1 minute. You can use a shorter time unit, but the data file over time will become large and load times will be longer. You do so at your own risk. If you do use a smaller Output Data Storage Time Unit, then please don't contact Sierra Chart support about issues arising from large files which would be long load times.
  6. Select the Output File. The output file should be the data file for the next futures contract.
  7. If you want to include less data from the prior contract in the data file for the next contract, to reduce the file size so load times are less, then enable the Start Date/Time option and enter a starting Date and Time. For example, you could use a date which is about 2 weeks back in time from the rollover date. In most cases that should give you sufficient data for your studies.
  8. Press the Join button. When intraday data files are joined, overlapping data is removed and the transition point from the prior file to the next file in the resulting output file, occurs at the time at which volume in the next file being joined with the prior file exceeds the volume in the prior file. The volume is analyzed over a period of a few hours. And the transition point may be within a day. Not necessarily at the start of the day.
  9. Go to each of your charts that use the prior futures contract symbol and change the symbol of those charts to the next contract by following the instructions in Changing the Symbol of a Chart.
  10. Select File >> Connect to Data Feed.

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Changing To A New Futures Contract Month And Include Data From The Prior Contract By Renaming File

To change the symbol of a chart to a new futures contract month and include the data from the prior contract month in the chart, then follow the Renaming a File instructions on the Chart Data Files documentation page for instructions. In this way you will create a long-term continuation chart over time. You can rename either historical or intraday chart data files. This is a more advanced procedure. However, it is still easy to do.

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IMPORTANT: Updating the Intraday File Update List

After changing to a new futures contract month in your charts, select Edit >> Intraday File Update List on the menu. If you have added futures symbols to this list previously, then you need to modify the date part of the symbols to the current date you are charting. To do this, click on the symbol in the Symbols List, modify the symbol displayed in the Symbol box. Do this for each futures symbol, and press OK when finished.

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Allowing Trend Lines and Other Chart Drawing From Other Contract Months to Appear on the Current Contract

To make trendlines and other chart drawings from other contract months appear on the current contract, follow these instructions:

Select Chart >> Chart Settings. Enable the Show Chart Drawing For Different Symbols option.

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Adjusting Prior Contract Data to Match Current Contract

When you rollover to a new futures contract in your chart and have included prior contract data, which may include more than one delivery month, there will be a difference in prices at the time of rollover. If you wish to adjust the prior data, then see the Adjusting Data documentation page. Refer to the Add/Subtract Amount option. Our instructional video also shows you how to do this in great detail.

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What to Do If the Futures Contract Rollover Does Not Work As Expected

If your futures contract rollover does not work as expected, the very first step is to get a chart working for the current futures contract. To do this, delete the data file for the current contract and open it again. To do this, follow the Deleting a Data File instructions.

If you're OK with having data only for the current futures contract in your chart and do not need the prior contract, then you are all set. If you want to include the prior contract, then the next step is to delete the prior futures contract symbol data file, open it again and then join it with the current contract.

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