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Post From: Rollover back adjustment issue

[2018-03-08 00:52:23] Link To Thread - Link To Post [Go To First Post]
Usermb - Posts: 126
Using 1713 Symbol: CQG=F.US.DBM18 SC=GGM18 I manually rolled over from H18 to M18 because of the higher volume. Issue: the price is not back adjusted, there is a big gap down between yesterday and today caused by the big price difference between the contracts. The message log contains: F.US.DBM18 [CBV] [M] 377 Trades #11 \| Checking for volume based rollover dates. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| Volume based rollover from F.US.DBZ17 to F.US.DBH18 occurs at 2017-12-05 \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| Volume based rollover from F.US.DBH18 to F.US.DBM18 occurs at 2018-03-07 \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| Performing continuous futures contract back adjustment calculations. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| F.US.DBZ17 Open price on 2017-12-05 is 163.23. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| F.US.DBH18 Open price on 2017-12-05 is 162.9. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| F.US.DBZ17 price difference to F.US.DBH18 is -0.33. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| F.US.DBH18 Open price on 2018-03-07 is 159.43. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| Error while getting daily open price with date 2018-03-10 from file. C:\SierraChart\Data\GGM18.dly. Error: Date not found \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| F.US.DBH18 price difference to F.US.DBM18 is 0. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| Back adjust amount for symbol F.US.DBZ17 is -0.33. \| 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 \| Back adjust amount for symbol F.US.DBH18 is 0. \| 2018-03-08 01:48:16 My theory is that SC tries to get the price for the last trading day of the H18 contract, but there are two problems with this: - the date lies in the future - on that date, the exchange (Eurex in this case) is closed, it's a Saturday IMHO when calculating the back adjust amount, when the last day of the contract rolling from lies in the future, the last open should be used instead.