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Date/Time: Tue, 14 May 2024 08:42:15 +0000

Post From: Continous contract rollover offset

[2016-12-02 22:16:16] Link To Thread - Link To Post [Go To First Post]
User885971 - Posts: 4
Hi, I'm trading an index futures symbol that has very low quality/incomplete historical daily data. As I understand, the back adjustment offset is calculated from the delta of the daily open prices of the the involved contacts on roll over day. There's a couple of issues with this. 1. In my case, the historical chart symbol is different from the intraday symbol, and is delivered EOD. This means I can't roll over with back adjustment on start of roll over day, unless I manually enter the open price into the correct "dly" file. 2. My symbol trade between 8.30am to 5.25pm. Between 8.30am and 9am (before cash open) there's EXTREMELY low volume (a sporadic trade here and there), which makes comparing the open of the daily bars unpredictable since there can be several minutes difference in when the bar opens. For me, the following improvements to the futures workflow would make life easier: a, Possibility to calculate the offset using the intraday files. Either at a time defined by me, or the Session Time Start Time defined in the chart. Multiple samples for accuracy? b, Possiblity to manually set an offset to each contract in the Global Symbol Settings. This would allow me to calculate and set the offset a day or two before rollover. Looking forward to hearing your feedback on this.