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Direct MessagesDate/Time: Wed, 15 May 2024 11:02:42 +0000
Post From: Incorrect Volume Based Rollover
| [2018-08-04 23:23:38] |
| Usermb - Posts: 126 |
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Using latest stable version, 1785, but this appears to be the same in older SC versions. The Volume Based Rollover doesn't appear to work correctly. You can reproduce using Symbol ZC. SC determines the rollover date from ZCU17 to ZCZ17 should be on 2017.08.01: "ZCU18 [CBV] Daily #25 | Volume based rollover from ZCU17 to ZCZ17 occurs at 2017-08-01" Based on the SC documentation: ... 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.
To help you visualize the problem, I attached a screenshot showing a continuous ZC contract with "Volume Based Rollover, Back Adjusted". This chart contains daily historical data. At the bottom of the chart, there are bars for the daily volume of ZCZ17 (green) and ZCU17(orange). The volume figures are based on historical daily data for these two contracts. As you can see, the daily volume of ZCZ17 has been larger than the daily volume of ZCU17 ever since 2017.06.30 Based on this I would expect the rollover date to be 2017.06.30 instead of 2017.08.01 If this is not what you intend (i.e. SC is correct), could you please update your documentation to reflect what algorithm you use? Thank you. Date Time Of Last Edit: 2018-08-04 23:34:01
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 ZCU18 [CBV] Daily #25 2018-08-05 01_14_25.283.png / V - Attached On 2018-08-04 23:14:52 UTC - Size: 45.7 KB - 250 views |