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. In most cases you will need to use a Sierra Chart Service Package which includes the Sierra Chart Historical Data Service, for the necessary data that this feature requires.

    To see what Service Package you are using and to change the Service Package, select Help >> Account Control Panel on the Sierra Chart menu.
  4. 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.
  5. 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.
  6. Connect to the data feed if Sierra Chart is not already connected. Select File >> Connect to Data Feed on the menu.
  7. 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.
  8. To enable this option, select Chart >> Chart Settings >> Advanced Settings. Select one of the Continuous Contract options. Refer to the image below.
  9. 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.

  10. Select the Main Settings tab.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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 Dates 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.

In Intraday charts, transitions from one contract month to the next occur at the Session Times >> Start Time for the chart. 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.

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, 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.
  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.
  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. 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 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.

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:

 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.

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.

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. 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 >> Show/Hide 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. These have a dly file extension.

You can open these chart data file through File >> Open Historical Chart. You can edit the data with Edit >> Edit Data - Historical Chart when the Historical Daily chart is open for the symbol and the chart window is active.

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 contract to the F.US.ZWAH16 contract, then you would want to edit either ZWZ15.dly or F.US.ZWAH16.dly and adjust the open price on the dates given the Message Log.

The Historical Daily data files to edit may use a different format than the symbol format for the trading service you are using. Notice in the Message Log the symbols listed after Symbols used for continuous contract chart: are the filenames without the extension of the symbols that you actually need to edit.

After modifying the open price or prices, save the file and go to the Continuous Futures Contract chart and select Chart >> Reload and Recalculate to perform the calculations again using the new open price.

If you are modifying the open prices for the last two dates in a Historical Daily data file, this will be a problem because those will be rewritten at least once a day. You will have to periodically update those open prices until they are no longer the most recent two days in the Historical Daily data file.

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 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. Update to version 1377 or higher. Refer to the Fast Update instructions.
  2. 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.
  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.
  5. Select the Advanced Settings tab.
  6. Set the Continuous Contract option to Continuous Futures Contract - Forward Curve.
  7. Press OK.
  8. To see a line only, select Chart >> Graph Draw Types >> Line On Close.

Limitations

  • For the Sierra Chart Advanced Service Package, the number of years back you can create a Historical Daily Continuous Futures Contract for is 15 years. For the Standard Service Package it is 10 years. If you are subscribing to the Sierra Chart Exchange Data Feed, the limit is 35 years.
  • For Intraday charts which use 2 digit years in the Symbols, the maximum years back is 10 years. For single-digit years it is 5 years.

*Last modified Thursday, 08th December, 2016.