Support Board
Date/Time: Sun, 22 Jun 2025 20:16:18 +0000
Rollover procedure
View Count: 1785
| [2021-12-02 10:00:53] |
| nicktrader - Posts: 750 |
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To mark my levels I use rectangles and also different lines. Some of the levels go back several months. To avoid redrawing the levels after rollover, I manage the adjustment with the tool "Manage Chart Drawing Window". Therefore it is very important for me to know the exact adjustment value, because I use "back adjusted". As I have read, the calculation is based on the open historical price of both (current and next following) contracts and then the difference will be calculated. For several days now I have been watching the Dec21 and Mar22 contracts of ES and FESX (historical). I noticed that on the current day, the difference always deviates from the previous days. So we have today for the ES a difference of 5 points and for the FESX of 14.5 points. On the next day, however, these values are corrected again (I assume after closing of Stock Exchange). So the ES shows a permanent difference of 6.75 and the FESX of 2 points. Tomorrow we will no longer see the differences of 5 and 14.5 points, but 6.75 and 2 points (so far). My question now is what difference value do I need to work with on rollover day to have a clean adjustment of my Drawings. Or maybe should I adjust the Drawings one day after the Rollover. Which value is taken by you on the rollover day and can it be that this value changes again on the next day? I would be very happy if you could tell me exactly how I should proceed. Many thanks |
| [2021-12-07 15:42:11] |
| Sierra_Chart Engineering - Posts: 19980 |
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This issue must relate to the Historical Daily data not being up-to-date at the time of the rollover. We are going to add a command to make that easy to do if for some reason the data is not up-to-date.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-12-07 15:42:33
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| [2021-12-07 16:27:49] |
| nicktrader - Posts: 750 |
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Thank you very much. I have been watching ES and FESX for a few days now and new differences were seen every single day. On Friday after the close of the market, all values were suddenly adjusted and the differences were ZERO. Will the command still be available until Thursday so that I can do testing in a timely manner? |
| [2021-12-09 05:14:45] |
| nicktrader - Posts: 750 |
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This morning I did the rollover for the ES. To adjust the levels, I determined the difference value. The "historical" difference was -5.5. I used this value for the adjustment of the intraday charts, but unfortunately this value did not fit. I had to adjust again by the value -0.75. Why did the first value not fit. I think I did everything right by taking the difference for the historical value. However, I am surprised that the difference value of the previous days would have fit. Date Time Of Last Edit: 2021-12-09 05:17:34
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 Rollover ES.png / V - Attached On 2021-12-09 05:14:25 UTC - Size: 278.25 KB - 236 views |
| [2021-12-09 09:35:53] |
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On Friday after the close of the market, all values were suddenly adjusted and the differences were ZERO. This does not make sense.There must be changing values in the historical daily data files, from the data provider causing this and changes with the price difference between contract months. Although a zero difference does not make any sense. You need to open Historical Daily charts for the current contract month and the prior contract month and then use this command: Edit Menu: Edit >> Edit Data - Historical Chart To look at the Open values for the day of the rollover and see what they are and see what the issue is. We do not know exactly what the problem is. If you update to the latest prerelease which is version 2334, you can use this command to update the historical Daily data required by the chart: Edit Menu: Edit >> Download Data from End of Chart Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-12-09 09:45:14
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| [2021-12-09 11:38:00] |
| nicktrader - Posts: 750 |
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On Friday after the close of the market, all values were suddenly adjusted and the differences were ZERO.
This does not make sense. There must be changing values in the historical daily data files, from the data provider causing this and changes with the price difference between contract months. Pls see pic. I made on two different days a screenshot of the highlighted contract. I used a spreadsheet to collect the data. Datafeed: Denali... mentioned time in screenshot = MEZ Date Time Of Last Edit: 2021-12-09 12:02:27
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| ES screenshots.png / V - Attached On 2021-12-09 11:37:35 UTC - Size: 23.41 KB - 220 views |
| [2021-12-09 11:58:26] |
| nicktrader - Posts: 750 |
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I do not understand yet for what purpose I can use the new command. I am only interested in finding out the exact difference after the rollover, so that I can then adjust my levels. I have taken this text from this LINK Continuous Futures Contract Charts: Continuous Futures Contract - Date Rule Rollover, 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. After the rollover, it is important for me to determine the exact difference value. I need this value only for FESX and in the past I could never get a correct fixed value. Therefore I always had to adjust these differences manually for each level and therefore it always cost me a lot of time. Therefore, I have been watching the above mentioned contracts for days now and unfortunately I now have to realize that the prices from the past are often readjusted. I think this is the problem... Many thanks |
| [2021-12-10 04:49:23] |
| nicktrader - Posts: 750 |
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Pls see pic. Today I have to adjust the levels again by the value of 0.75. Yesterday, I initially had the "start value" of 5.5, but this value did not match the levels. I had to adjust the levels by another 0.75. The total value of 6.25 corresponded to the difference value of the previous days. Today I have to readjust again by the value 0.75 |
| ES M15 Levels 211210.png / V - Attached On 2021-12-10 04:48:26 UTC - Size: 49.55 KB - 194 views |
| [2021-12-10 04:58:51] |
| nicktrader - Posts: 750 |
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post hoc...
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| ES after adjustment 211210.png / V - Attached On 2021-12-10 04:58:24 UTC - Size: 52.2 KB - 194 views |
| [2021-12-11 11:28:20] |
| nicktrader - Posts: 750 |
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Regarding the rollover procedure in connection with the level adjustment I currently see two procedures. 1. Rollover takes place in SC one day later after the official rollover day. The levels will be adjusted then. In this case, the "old" contract has to be traded. 2. Rollover takes place in SC on the official Rollover day. The difference is calculated and all levels will be readjusted by using the "Drawing Windows". One day later, the levels must be checked again and readjusted if necessary. Disadvantage of this procedure. The new levels in the new contract do not have to be adjusted, only the levels from the previous contracts. Do I see this correctly? What can you advise me? In the next week, for instance, the rollover for FDAX or FESX will take place. I do not want to have chaos. However, the problem with FDAX/ FESX is that the contracts end around lunchtime. From my point of view, therefore, only point 2 is to be favored. Friday is rollover. In this case, in the morning should be "rolled" in SC. On Monday, the adjusted levels have to be checked again and readjusted if necessary (except for the new levels that were created on Friday after the rollover). Many thanks |
| [2021-12-17 10:42:44] |
| nicktrader - Posts: 750 |
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I have done the rollover for FESX today. Every single step I tried to document. I noticed that I have determined a different difference value which is different from your documentation. Therefore, I suspect that I have to make another adjustment tomorrow. Why is today's value different from your documentation? |
 Procedure Rollover FESX (English).pdf - Attached On 2021-12-17 10:42:34 UTC - Size: 178.13 KB - 291 views |
| [2021-12-18 05:09:37] |
| nicktrader - Posts: 750 |
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Today the rollover process can finally be completed. As you can see in the picture, the rectangles have to be readjusted by a whole point Unfortunately, this procedure differs from your description in the text. |
| rectangles readjusted .png / V - Attached On 2021-12-18 05:09:24 UTC - Size: 20.21 KB - 203 views |
| [2022-02-18 19:30:00] |
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We do not have time to go over all of these posts and attachments. You have completely overwhelmed us. Understand we cannot allocate this kind of time and it is detrimental to everyone if we were to do that. And it is impossible for us to achieve anyway. If there is an issue, it just requires a little information. Just enough for us to recognize there is an issue or an ongoing issue, then we look into it using our methods. All this information is completely unnecessary. We have made changes to how Continuous Futures Contract Chart rollover adjustments are done, and also Barchart no longer provides the current days data until sometime after the end of the day which is the main part of the issue. So update to the current version: Software Download: Fast Update Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-02-19 03:40:32] |
| nicktrader - Posts: 750 |
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Everything is good. I saw that an adjustment has already been made with rel. 2346. Thank you very much. |
| [2022-03-19 04:13:50] |
| nicktrader - Posts: 750 |
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After changing the basis of calculation (from open to close price), yesterday was the first rollover in FESX. The whole rollover went without any problems. The difference to the last contract was -84.5. I used this value for the asjustment of the drawings and also today this value is still valid. Thank you very much for this great job. |
| [2022-03-21 19:21:25] |
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That is good.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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