Continuous Futures Contract Charts


Introduction

A standard futures contract symbol is for a specific delivery month and year. Example ESZ14 (S&P 500 mini futures for December 2014). Futures contracts have a limited life. A futures contract chart for a particular symbol, normally does not go back very far in time.

When you look at a futures contract chart back in time to a point where that particular delivery month and year was not the actively traded one, the bars usually will look incomplete (may look like dashes) and have low-volume.

The solution to have a futures contract chart that goes back far in time with complete bars at every point in time in the chart, is to use a Continuous Futures Contract chart which joins together multiple futures contracts. For every bar in this kind of chart, the data will be for the most actively traded delivery month and year at that moment in time.

Sierra Chart provides a very powerful feature to create Continuous Futures Contract charts. Automatic back adjustment of data is supported.

It is fully supported to replay Continuous Futures Contract charts.

Using Continuous Futures Contract Charts

The Continuous Contract options are a very powerful feature that activates the Continuous Futures Contract chart feature for both Historical and Intraday charts.

When one of the Continuous Contract options is selected other than None, the chart will load in historical futures contracts going back from the futures contract specified with the Symbol setting in the chart and based upon the Use Number of Days to Load or Use Date Range settings in the Chart Settings window.

Automatic back adjustment of data is supported.

The Continuous Futures Contract Chart feature is only for futures contracts. It is not for any other kind of market. It will not have any effect with stock, cash index, or market statistics symbols. Therefore, do not use it with these symbols because it is completely unnecessary and adds unnecessary messages to the Message Log.

Step-By-Step Instructions

  1. To use this feature you should be running a current version of Sierra Chart. To update Sierra Chart, refer to the Fast Update instructions.
  2. This feature requires a reliable historical data server with the particular Data or Trading service you are working with. If you are using the Sierra Chart Exchange Data Feed, then this provides a reliable historical data server. For most of the supported Data and Trading services, a reliable historical data server is provided because most or all of the data comes from the Sierra Chart Historical Data Service.
  3. The Continuous Futures Contract feature cannot be used in a chart which uses data from a remote instance of Sierra Chart. If you are not sure if this is the case, then most likely the chart is not using data from a remote instance. If it is using data from a remote instance, you would see [R] after the symbol at the top line of the chart.
  4. To make sure the necessary futures contract rollover settings needed for the construction of Continuous Futures Contract charts exist, update the Global Symbol Settings as explained in the Update Symbol Settings section. This step only needs to be performed once.
  5. Connect to the data feed if Sierra Chart is not already connected. Select File >> Connect to Data Feed on the menu.
  6. Open or go to either a Historical or an Intraday chart. If you do not have a chart open, open one with File >> Find Symbol. With a Historical chart, you can look at Daily, Weekly, Monthly, Quarterly, and Yearly time frames per bar.
  7. To enable this option, select Chart >> Chart Settings >> Advanced Settings. Select one of the Continuous Contract options. Refer to the image below.
  8. The descriptions of the available Continuous Contract rollover options are as follows

    None

    The Continuous Futures Contract feature for the chart is disabled. This should be the setting for symbols that are not futures contracts or if you do not want to use this feature.

    Continuous Futures Contract - Date Rule Rollover

    This option will create a Continuous Futures Contract chart. The transition date from one futures contract to the next is determined by a specific rollover rule defined for the symbol. This works very well for stock index futures. This method is a little faster than Volume Based Rollover because there is slightly less time involved because there does not have to be an analysis of the volume across futures contracts loaded in the chart to determine the rollover dates.

    The rollover rules are programmed in the Global Symbol Settings. It is not recommended to change the rollover rule for a symbol unless you specifically have a need to do so and you understand the changes you are making. If the rollover rule is not set correctly for a symbol, it might cause the building of the Continuous Futures Contract to not work properly.

    Continuous Futures Contract - Volume Based Rollover

    This option will create a Continuous Futures Contract chart and the transition date from one futures contract to the next is determined by when the daily volume, as determined from the historical Daily chart data for the symbol, becomes greater from one contract to the next at a particular day. At that particular day, the rollover occurs. This method is preferred for commodity futures which do not have a very definite calendar-based rollover rule and the rollover date can vary from one rollover to the next.

    Continuous Futures Contract - Date Rule Rollover, Back Adjusted

    This option is the same as Continuous Futures Contract - Date Rule Rollover, and in addition, prior futures contract months loaded into the chart are back adjusted.

    When there is a rollover from one futures contract to the next, on the day of the rollover, the difference between the newer futures contract open price on that day and the prior futures contract open price on that same day is calculated. This is the back adjustment amount between those two contracts.

    At the very first rollover in the chart, the back adjustment amount is calculated for that rollover and all of the subsequent rollovers.

    At each rollover, the back adjustment amount for that particular rollover and all of the rollovers forward from that rollover, are added together. This total amount is the amount by which the prior contract is adjusted by. This process continues itself going forward through the contract months.

    The futures contract open prices for the rollover day are determined from the historical Daily chart data for the symbol.

    Continuous Futures Contract - Volume Based Rollover, Back Adjusted

    This option is the same as Continuous Futures Contract - Volume Based Rollover, and in addition, prior futures contract months loaded into the chart are back adjusted. The method by which back adjustment is performed, is explained in the description for the prior option.

  9. Select the Main Settings tab.
  10. You must use a standard futures contract symbol for the chart. For example: ESZ14. Make certain the Symbol is not a continuous contract symbol. Do not use a symbol with a # in it.
  11. Make certain the Symbol is set to the current futures contract month assuming that you want the latest contract month at the end of the chart. If the Symbol is set to a further forward futures contract symbol that is not currently actively traded, then this can cause a problem with the construction of the chart.
  12. Set Use Number of Days to Load >> Days to Load sufficiently high enough to see the number of days that you want in the chart. Keep in mind the higher this number, the longer the chart will take to load in historical data. It can be a disadvantage to increase this number too large. It takes longer to download the data and increases the possibility of historical data ddownloading errors.
  13. Press OK to close the Chart Settings window. The necessary chart data will be downloaded if needed, and the chart will be created. You will see Downloading Continuous Contract Data displayed on the chart during the downloading process.
  14. If there any missing contract months in the chart, missing Daily or Intraday data, the back adjusted prices are incorrect, or a rollover date is significantly off from where it should be, then Re-download the Continuous Futures Contract Data in the chart since there is missing, incomplete or inaccurate data necessary to build the Continuous Futures Contract chart.

Displaying Rollover Transition Times and Contract Months

When viewing a Continuous Futures Contract chart it is essential to understand where in the chart there is a transition from one futures contract month to the next.

One reason this is very important is because a futures contract for a particular delivery year and month will have different pricing compared to other contract months for the same underlying futures market.

Therefore, this different pricing will cause differences in the price relationships from one contract month to the next especially if the chart bars are not back adjusted.

Another reason this is important is to clearly identify any problems where there is an incorrect transition from one contract month to the next.

In Intraday charts, transitions from one contract month to the next occur at the Chart >> Chart Settings >> Session Times >> Start Time set for the chart. In the case where the Session Times >> Start Time and Session Times >> End Time are reversed or when using the Evening Session times, this means that the rollover will occur in the prior trading day. For further information, refer to Session Times. It is important to be aware of this.

To view these transitions, as vertical lines with labels indicating the beginning of a specific contract month and year, go to the chart and enable Chart >> Show Rollover Dates.

Therefore, use this feature to understand where the transition occurs from one contract month to the next.

Refer to the image below for an example.

The chart bars for the current day in a Continuous Futures Contract chart from the Session Times >> Start Time for the chart, will always be for the symbol the chart is set to. This is so you always see the current days data for the symbol of the chart even if it is not the most actively traded symbol at the current time.

Therefore, when the next day comes, and the chart is reloaded with Chart >> Reload and Recalculate, you reopen the Chartbook, or restart Sierra Chart, what was previously the current day is now the previous day and if the current symbol of the chart is not the actively traded contract, then that previous days chart bars will then change to the prior contract month. This is something to be aware of because it will cause a change in values. The solution to this, is to not use the Continuous Futures Contract feature on a chart when you are looking at a futures contract symbol which currently is not the actively traded contract month.

If there any missing contract months in the chart, the back adjusted prices are incorrect, or a rollover date is significantly off from where it should be, then Re-download the Continuous Futures Contract Data in the chart since there is missing, incomplete or inaccurate data necessary to build the Continuous Futures Contract chart.

Automatic Advancing of Chart Symbol for Unsupported Contract Month to Next Contract Month

For some commodity markets, there are certain contract months which are not actively traded. For example with Soybeans, the August contract is never an active futures contract month.

Therefore, this contract month will never be included in a Continuous Futures Contract chart. Only the next contract month which is November will be included. If the chart symbol is set to a contract month which is not part of the contract months used in a Continuous Futures Contract chart for the particular futures market, then it will be automatically advanced to the next supported month. Although the symbol of the chart will still show the entered symbol. However, the displayed data will be for the next supported contract month.

In this particular example August soybeans, will be internally advanced to November automatically. So the chart will display November data. This is something to be aware of.

Automatically Rolling Over to Next Futures Contract Month

The Continuous Futures Contract feature in Sierra Chart does not automatically roll forward the futures contract symbol of the chart to the current contract when it expires or when the trading volume becomes higher in the next futures contract month.

It only is used to load in historical futures contracts, if necessary, based upon the number of days of data loaded into the chart.

To automatically rollover the futures contracts symbol of a chart, use the Automatically Rollover Futures Symbol setting in Chart >> Chart Settings.

Setting Rollover Time to Match Session Times

In newer versions of Sierra Chart the rollover from one contract month to the next in Intraday charts will be according to the Session Times set for the chart.

The rollover will be at the Session Times >> Start Time. If this is set to a time other than 00:00:00, then the rollover will occur at that time. If the Session Times are reversed, then the rollover will be in the prior trading day at that time.

Re-Downloading Continuous Futures Contract Data

  1. After the Continuous Futures Contract chart data loading is complete, if you notice missing data, price gaps (related to missing data), significantly invalid price values, out of order timestamps along the timescale at the bottom of the chart, incorrect transition Date-Times from one contract to the next, or the back adjustments are incorrect or do not occur in the chart, then you will need to re-download the data in the chart.

    You can identify the specific contract months which may have missing data and exactly where the transition occurs from one contract month to the next in the chart, by enabling Chart >> Show Rollover Dates. When this option is enabled, then where a new contract month begins in the chart, there is a vertical line and a Month and Year displayed at the bottom of the line. Therefore, you will know specifically what contract month is being displayed at each bar in the chart. For further information, refer to Displaying Rollover Transition Times and Contract Months.
  2. To make sure the necessary futures contract rollover settings needed for the construction of Continuous Futures Contract charts exist, update the Global Symbol Settings as explained in the Update Symbol Settings section. This step only needs to be performed once.
  3. In the case of missing data, the first step is to select Chart >> Reload and Recalculate to see if that loads in the missing data. If that corrects the problem, and there are no price gaps (related to missing data), significantly invalid price values, or out of order timestamps along the timescale of the bottom of the chart, then stop here.
  4. Select Chart >> Chart Settings. Set the Use Number of Days to Load >> Days to Load sufficiently high enough to see the number of days that you want in the chart. Press OK. Keep in mind the higher this number, the longer the chart will take to load in historical data. It can be a disadvantage to increase this number too large. It takes longer to download the data and increases the possibility of historical data downloading errors.
  5. The next step is to select Edit >> Delete All Data And Download on the menu.

    If you are using a sub instance of Sierra Chart connected to a DTC Server which will be the case if you started the instance of Sierra Chart you are currently using with File >> New Instance, then you must perform this step and the remaining steps in the main DTC Server instance of Sierra Chart. Once that is done, then perform these steps in the sub instance again. For additional information, refer to Historical Data and Missing Historical Data.
  6. Press No at the first prompt to re-download data for all of the historical futures contract files. Do not press the Yes button.
  7. A Multiple Symbol Selection Window will be displayed listing all of the symbols loaded into the Continuous Futures Contract chart. Refer to the image below.

    By default all symbols are selected. Left click on a symbol to select or unselect it. This way you can control whether you want to re-download data for a particular symbol.

    Press OK to re-download data for the selected symbols. Always select all of the symbols when there are significantly invalid price values in the chart. You can unselect a particular futures contract symbol if you are sure there is not any missing data for that symbol and the price values are correct for it.
  8. There is also a limit on the number of Historical Daily data downloads that can be done within a single day. When the limit is reached, this will prevent the historical data for the affected contract months from being complete. Historical Daily data is also downloaded in the case of back adjusted Continuous Futures Contract Intraday charts. For the limits, refer to Daily Data Download Limit.

    You will need to re-download the data the following day for any symbol that is missing data. Once the data is downloaded, it does not need to be downloaded again.

Re-Downloading Continuous Futures Contract Data By Deleting Files

This section explains how to re-download continuous futures contract data by deleting files. This is an alternative method which thoroughly clears prior data. It can be a more simplified method when you need to delete several Historical Daily data files. This section is for more advanced users.

After the Continuous Futures Contract chart data loading is complete, if you notice missing data, price gaps (related to missing data), significantly invalid price values, out of order timestamps along the timescale at the bottom of the chart, or the back adjustments are incorrect or do not occur, then you will need to re-download the data in the chart.

It is easier to identify the specific contract months which may have missing data, by enabling Chart >> Show Rollover Dates. When this option is enabled, then where a new contract month begins in the chart, there is a vertical line and a Month and Year displayed at the bottom of the line. Therefore, you will know specifically what contract month is being displayed at each bar in the chart.

For Historical Charts

  1. Go to the chart which uses the Continuous Futures Contract option that you want to re-download data for.
  2. Select File >> Open Historical Chart.
  3. In the Search box at the top, enter the beginning portion of the futures symbol that you want to delete data files for. For example, in the case of the CL futures market, enter CL.
  4. Enable the Multiple Selection option on the Open File window.
  5. In the list of files, select the specific files that begin with the futures contract symbol that you want to re-download data for. These files will also contain the month and year and possibly an exchange code in their name.
  6. Press the Delete Files button.
  7. Press the Cancel button.
  8. Go back to the original chart and select Edit >> Download Data - Historical Chart.

For Intraday Charts

  1. In the case of when using one of the Continuous Contract >> * Back Adjusted options for the Continues Futures Contract chart, then select File >> New/Open Historical chart. Otherwise, skip to step 7.
  2. In the Search box at the top, enter the beginning portion of the futures symbol that you want to delete data files for. For example, in the case of the CL futures market, enter CL. This needs to be the Historical Daily data symbol which corresponds to the real-time symbol. The Historical Daily data symbols can be found on the Sierra Chart Exchange Data Feed Symbols page.
  3. Enable the Multiple Selection option on the Open File window.
  4. In the list of files, select the specific files that begin with the futures contract symbol that you want to re-download data for. These files will also contain the month and year in their name.
  5. Press the Delete Files button.
  6. Press the Cancel button.
  7. Select Global Settings >> General Settings. Make a note of the Data Files Folder.
  8. Exit from Sierra Chart.
  9. Navigate to the Data Files Folder through your operating system file manager program.
  10. Locate the files with the scid (Historical Intraday Data) file extension for the futures contract you are charting. For example, in the case of the CL futures market, these files will have the name CL*, where the * represents the month and year and possibly the exchange code. There will be multiple files. Delete all of these files.
  11. Start Sierra Chart.
  12. Open your Chartbook and fresh data for the Continuous Futures Contract chart will be downloaded.

Handling Specific Error Messages

This section explains the steps to follow when receiving specific error messages for a Continuous Futures Contract chart in the Sierra Chart Window >> Message Log, like the following:

ZNU16 [CBV] Daily #3 | Error while getting daily open price with date 2014-12-22 from file. C:\SierraChart\Data\ZNH15.dly. Error: Date not found
        

For the above error message, re-download the data for the mentioned symbol and contract month, following either of these instructions:

However, if the problem is that there is not enough historical data available for the particular contract, then refer to the Preventing Error Messages by Reducing Days to Load in Chart instructions instead. Be sure to follow those instructions and reduce the Days to Load setting in the chart to prevent error messages from occurring every time the chart is loaded.

 Unable to determine transition date based on volume from files: ZBU14.dly, ZBZ14.dly
 The ZBZ14.dly symbol may not be the active contract month.
        

For the above error message, re-download the data for the mentioned symbols/contract months, following either of these instructions:

 ZNU16 [CBV] Daily #14 | Limiting the number of years to download historical data for to 10 years for the continuous futures chart. Reason: Account limitation
        

For the above error message, select Chart >> Chart Settings. Set the Use Number of Days to Load >> Days to Load to a value less than the number of days in 10 years.

Preventing Error Messages by Reducing Days to Load in Chart

If you see a large number of messages like the following in the Window >> Message Log, then this may be because the Chart >> Chart Settings >> Use Number of Days to Load >> Days to Load is set too high and beyond the available historical data for the symbol.

[symbol] [CB] Daily #2 | File [symbol].dly has a volume of 0 at (Date). | (Date-Time)


[symbol] [CB] Daily #2 | Error while getting daily open price with date (Date) from file. C:\SierraChart\Data\[symbol].dly. Error: Date not found | (Date-Time)
        

The solution is to reduce the Chart >> Chart Settings >> Use Number of Days to Load >> Days to Load setting to the number of days which there is historical data available for the symbol. This is something that you must do to prevent these excessive messages displayed in the Message Log repeatedly when charts are loaded.

Notes

  1. Unlike some Data services which use continuous futures contract symbols (for example @ES# for IQ Feed), the Continuous Futures Contract feature in Sierra Chart dynamically joins together individual futures contracts which exist as separate files.

    The advantage of this is that if you are back adjusting the data, you do not have to re-download the entire historical data for the chart at the time of a futures contract rollover to get updated back adjusted data. Since the back adjustment is done dynamically in memory. The original prices are also preserved and never modified in the chart data file.

    Therefore, any changes to back adjustment calculations can be dynamically done without actually modifying data.

    To recalculate the back adjustments and update the chart, simply select Chart >> Reload and Recalculate. It is that easy.

    Additionally, you are also able to modify the rollover dates by changing the General Settings >> Symbol Settings >> Rollover rules for the symbol.

    The method used by Sierra Chart to create the Continuous Futures Contract charts and do back adjusting, has no additional overhead compared to Continuous Futures Contract data on the server. And rather than having one large data file for a Continuous Futures Contract chart, there are multiple files which are easier to manage.

    Now that this feature has been in use for more than 2.5 years, we can unequivocally say that it is far more efficient, orderly, and flexible to generate Continuous Futures Contract charts on the client-side from individual futures contract files rather than maintaining the data on a server.
  2. When transitioning from one futures contract to the next, the transition from the current futures contract being processed will only occur within the last two months of that particular contract month.
  3. The transition point from one contract to the next in a Historical Daily chart occurs at the particular date according to the date rollover rules or volume depending upon the particular Continuous Futures Contract option you have selected.
  4. The transition point from one contract to the next in an Intraday chart occurs at the particular date according to the Date rollover rules or Volume depending upon the particular Continuous Futures Contract option you have selected. In Intraday charts, transitions within a particular Date from one contract month to the next occur at the Session Times >> Start Time which is controlled by the Session Times in the chart.
  5. In the case of a Continuous Futures Contract chart and Weekly bars, a Weekly bar will contain data from two different contracts around the point of rollover.
  6. When the Continuous Contract option is set to one of the Continuous Futures Contract options, a [C], [CB], [CV], or [CBV] is displayed after the symbol of the chart in the Region Data Line and on the title bar of the chart window.

    C = Continuous. B = Back adjusted. V = Volume-based rollover.
  7. Back Adjustments of Historical Futures contracts in Chart: If the current symbol of the chart is not considered the current futures contract based upon the Date rules or Volume rollover rules, then the back adjustments for the Continuous Futures Contract chart will not be correct because they cannot be completely calculated. Therefore, in order to use the back adjustment options, the current symbol of the chart must be the active futures contract month based upon the Date rules or Volume rollover rules.

Continuous Futures Contract Charts with Skipped Month

Some futures markets have contract months which are not actively traded. For example, in the case of CBOT Soybeans, the listed contract month letters are as follows: FHKNQUX. Although in the case of when building a Continuous Futures Contract chart, only the following contract months are included: FHKNX in that chart.

When the symbol of the chart is set to a contract month which is not one of the ones included in a Continuous Futures Contract Chart, then that month will not be included but the following month will be instead.

Controlling Rollover Amount for Back Adjustments

When using one of the Back Adjusted Continuous Futures Contract options, when there is a rollover from one futures contract to the next, on the day of the rollover, the difference between the newer futures contract Open price on that day and the prior futures contract Open price on that same day is calculated.

This is the back adjustment amount between those two contracts. The open prices come from Historical Daily data for the futures contracts, not from Intraday data.

The closing/settlement prices cannot be used because those are calculated by the exchanges using certain algorithms and will not produce correct price differences between one futures contract to the next. The open prices are the only accurate method of doing this. The reason for the price difference between one futures contract month to the next relates to the cost of carry which also includes interest rates. The only accurate way to measure this, is through the Open prices and not a settlement price, which is calculated using an algorithm.

Furthermore, we must make it clear that the exchanges do not provide any official data about what is the correct back adjustment amount from one futures contract to the next since this concept is not something, to our knowledge, accepted by exchanges.

Below is an example of what you will see in the Sierra Chart Message Log for the back adjustment calculations. To see these calculations displayed, follow these instructions:

  1. Enable Global Settings >> General Settings >> General 2 >> Detailed Continuous Futures Contract Chart Logging.
  2. Press OK.
  3. Go to the Continuous Futures Contract chart and reload it by selecting Chart >> Reload and Recalculate.
  4. Select Window >> Message Log to open the Message Log if it is not already open.
  5. Scroll to the bottom of the Message Log.
  6. You will see messages like the following:
F.US.ZWAH16 [CBV] Daily #2 | Symbols used for continuous contract chart: |
 ZWZ15 |
 F.US.ZWAH16 | 
F.US.ZWAH16 [CBV] Daily #2 | Checking for volume based rollover dates. | 
F.US.ZWAH16 [CBV] Daily #2 | Volume based rollover from F.US.ZWAZ15 to F.US.ZWAH16 occurs at 2015-11-17 | 
F.US.ZWAH16 [CBV] Daily #2 | Performing continuous futures contract back adjustment calculations. | 
F.US.ZWAH16 [CBV] Daily #2 | F.US.ZWAZ15 Open price on 2015-11-17 is 493.5. |
F.US.ZWAH16 [CBV] Daily #2 | F.US.ZWAH16 Open price on 2015-11-17 is 493.5. |
F.US.ZWAH16 [CBV] Daily #2 | F.US.ZWAZ15 price difference to F.US.ZWAH16 is 0. |
F.US.ZWAH16 [CBV] Daily #2 | Back adjust amount for symbol F.US.ZWAZ15 is 0. | 
        

These messages can be generated at any time for a Continuous Futures Contract chart by selecting Chart >> Reload and Recalculate.

For both Historical Daily charts and Intraday charts, the Open prices are determined from the Historical Daily chart data files.

In the particular example Message Log above, if you wanted to adjust the actual back adjustment amount for the transition from the F.US.ZWAZ15 CQG futures contract symbol to the F.US.ZWAH16 contract, then follow the instructions below for this.

  1. Before following these instructions, it is a good idea to re-download the data for the two contract months where you want to adjust the back adjustment amount between those contract months. Refer to Re-Downloading Continuous Futures Contract Data. This may correct any error with the back adjustment amount. If it does, then stop here.
  2. Select Global Settings >> Symbol Settings.
  3. In the list of Symbols, select the symbol or symbol pattern that you want to adjust the back adjustment amounts for.
  4. Select the Rollover tab.
  5. In the Custom Continuous Contract Back Adjustment Amounts box, you will want to enter the futures contract symbol and amount as an actual price value, to add to the existing back adjustment amount already calculated by Sierra Chart for the particular futures contract month just before the rollover to the next contract. The symbol and the amount need to be separated by an equals sign. To subtract, use a negative value.

    For example, in the case of the rollover from December wheat to March wheat, if you want to add .5 to the existing back adjustment amount then you would enter F.US.ZWAZ15 = .5. Additional back adjustment amounts can be entered by separating them with a comma (,) character. Refer to the image below for an example. The image below shows an adjustment to GC June gold.
  6. Press OK to close Global Symbol Settings window.
  7. Go back to the chart and select Chart >> Reload and Recalculate.

Using Date Rule Rollover or Volume Based Rollover?

For Continuous Futures Contract charts, Sierra Chart provides two methods to determine when to rollover from one futures contract month to the next in a chart.

Each of them is described below along with an explanation as to when you should use one instead of the other.

  • Date Rule Rollover: When using this rollover method, there are specific date-based rules which is used to determine when to rollover from one contract month to the next in the chart. These are set on the Rollover tab in Global Settings >> Symbol Settings for the symbol pattern.

    This is the method to use for stock index and currency futures (ES, NQ, YM, TF, 6E, 6B) because generally these have very definite and reliable rollover dates. Using a date rule rollover is going to be faster than a volume-based rollover and avoids any issues caused by inaccurate volume data. In the case of Intraday charts, there is no reliance on the volume data in a Historical Daily chart data file when using this rollover method.
  • Volume Based Rollover: This is the method to use for commodity futures because usually these do not have a very definite date-based rule for when the volume transitions from one futures contract month to the next. Sometimes there can be slight variations of the day or two. For a description of how this option works in more detail, refer to the Rollover Options description.

Forward Curve Charts

Follow the steps below to create a Forward Curve chart.

  1. Open a Historical Chart through File >> Find Symbol >> [select symbol] >> Open Historical Chart. This needs to be a futures contract symbol. This feature will not work properly with Intraday charts. Only Historical Daily Charts.
  2. It is imperative, that you are using the correct symbol and only use the symbols listed in File >> Find Symbol. If the symbol is not correct, then the Forward Curve chart functionality cannot work. Check to make sure you are using the correct symbol.
  3. Select Chart >> Chart Settings.
  4. Set Use Number of Days to Load >> Days to Load to the number of days forward that you want a forward curve chart for. Do not set this too high. Only set it to what is necessary because the futures contracts for forward months all have to be downloaded and will update every time Sierra Chart is restarted. Generally it is not recommended to set Days to Load higher than 365.
  5. Set the Historical Chart Bar Period to Days and the value beside it needs to be 1. You cannot use a higher timeframe per bar than this.
  6. Select the Advanced Settings tab.
  7. Set the Continuous Contract option to Continuous Futures Contract - Forward Curve.
  8. Press OK.
  9. To see a line only, select Chart >> Graph Draw Types >> Line On Close.
  10. Select Chart >> Show Rollover Dates to see which bar is which contract month.

Limitations

  • For the Sierra Chart Advanced Service Package, the number of years back you can create a Historical Daily Continuous Futures Contract chart for is 20 years. For the Standard Service Package it is 15 years.

    To change the Service Package on your account, go to the Activate and Pay for Sierra Chart Services page.

    If you are subscribing to the Sierra Chart Exchange Data Feed, the limit is 50 years.

    It is important to be aware of these limits and to adjust the Chart >> Chart Settings >> Use Number of Days to Load >> Days to Load setting to be within these stated limits.
  • For Intraday charts which use 2 digit years in the futures contracts symbols, the maximum years back for Continuous Futures Contract charts is 10 years. For single-digit years it is 5 years.

    To be able to access 10 years of historical Intraday data in a Continuous Futures Contract chart when the particular Trading service you are using only supports single-digit years in the futures symbols, will require that you install another copy of Sierra Chart following the Step-By-Step Instructions to Install Multiple Copies of Sierra Chart instructions and then set it to use the Sierra Chart Historical Data Service.

    You can then open charts in this new copy of Sierra Chart using the Sierra Chart Historical Data Service data which uses two digit years in the futures symbols.
  • There is also a limit on the number of Historical Daily data downloads that can be done within a single day. When the limit is reached, this will prevent the historical data for a new Continuous Futures Contract chart from being complete. Refer to Daily Data Download Limit.

    You will need to re-download the data the following day for any symbol that is missing data. Once the data is downloaded, it does not need to be downloaded again.

Back Testing and Trading with Continuous Futures Chart

When performing trading from a Continuous Futures Contract chart, whether Trade Simulation Mode is enabled or not, and the chart is not replaying, the symbol for the orders will always be the current symbol of the chart.

When performing a Back Test or Chart Replay at any Date-Time in the chart, the symbol for the orders will always be the current symbol of the chart completely irrespective of the Date-Time of the chart bar the order is submitted at during the Back Test or a Chart Replay.

Therefore, when looking at the trading activity related to the trading from the chart, in the Trade Activity Log, you need to select the Symbol in the Trade Activity Log which matches the symbol of the chart, in order to see the trading activity related to the trades made from the chart. It will always be the same symbol completely irrespective of the Date-Time of the chart bar the order was submitted at.


*Last modified Thursday, 23rd November, 2017.