Support Board
Date/Time: Sat, 03 Jan 2026 03:29:17 +0000
Back adjust amount calculated from two different dates?
View Count: 38
| [2026-01-02 19:42:23] |
| User487950 - Posts: 1 |
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Hello, I'm using the Continuous Futures Contract feature on the version 2847 (r55315 64-bit). The documentation (Continuous Futures Contract Charts: Controlling Rollover Amount for Back Adjustments) says that the back adjust amount should be calculated from the same date, if I understood correctly. For MBT, however, the log seems to suggest that the back adjust amount is calculated from two different dates. Example (12/30 vs 12/24): 2026-01-02 10:40:36.327 | MBTF26-CME [CB][M] 60 Min #10 | Date rule based rollover from MBTZ25-CME to next contract occurs at 2025-12-26.
... 2026-01-02 10:40:37.040 | MBTF26-CME [CB][M] 60 Min #10 | MBTZ25-CME Settlement price on 2025-12-30 is 87245. 2026-01-02 10:40:37.042 | MBTF26-CME [CB][M] 60 Min #10 | MBTF26-CME Settlement price on 2025-12-24 is 87750. 2026-01-02 10:40:37.042 | MBTF26-CME [CB][M] 60 Min #10 | MBTZ25-CME price difference to MBTF26-CME is 505. ... 2026-01-02 10:40:37.042 | MBTF26-CME [CB][M] 60 Min #10 | Back adjust amount for symbol MBTZ25-CME is 505. The same appears even if I use "Continuous Futures Contract - Volume Based Rollover, Back Adjusted". I also tried "Delete All Data And Download", which didn't help. This also happens in GC, TN, and ZT. Example: (btw, 2025-05-24 is Saturday, which is strange. Why?) 2025-12-31 19:59:16.907 | ZTH26-CBOT [CB][M] 1 Min #3 | ZTM25-CBOT Settlement price on 2025-05-24 is 103.36328125.
2025-12-31 19:59:16.909 | ZTH26-CBOT [CB][M] 1 Min #3 | ZTU25-CBOT Settlement price on 2025-05-27 is 103.65625. 2025-12-31 19:59:16.909 | ZTH26-CBOT [CB][M] 1 Min #3 | ZTM25-CBOT price difference to ZTU25-CBOT is 0.29296875. The issue doesn't seem to appear in ES, NQ, 6E, or 6J. Do you have any explanation? (Perhaps, the amount is actually calculated on the same date internally but only the log message somehow shows different dates? Then, on which date the amount is calculated? In the MBT example above, I suspect it is 12/24 not 12/30... but then why 12/30 is printed for MBTZ25? Also, I suspect 5/27/2025 for the ZT example - correct?) Related question: Is the dashed line shown by "Chart > Show Rollover Dates" consistent with the internal workings? For example, in here (https://www.sierrachart.com/image.php?Image=1767385036600.png), the dashed line appears on 12/25 at 18:00:00 ET. Is the following a correct statement? "MBTZ25 is shown up until right before the dashed line (i.e., until the end of the 12/24 trading session) with +505 adjustment; and MBTF26 begins to show on and after the dashed line (i.e., from the beginning of the 12/26 trading session)." Thank you. Date Time Of Last Edit: 2026-01-02 22:58:11
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