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Direct MessagesDate/Time: Mon, 20 May 2024 14:17:05 +0000
Post From: ES Back Adjusted Data Issue
| [2018-11-20 20:55:20] |
| distilledmatt - Posts: 10 |
|
Nothing in the rollover tab under Custom Continuous Contract Back Adjustment Amounts. I followed the instructions at the link provided, but the problem still isn't fixed. I checked under Message Log, and I'm guessing the calculated price difference would be okay if 275 became 2.75. It looks like there's a manual way to adjust these, but I've never had to do that before, and I'd rather not for the future. Here's a copy of the rollover part (I use volume based, back adjusted FWIW) of the Message Log: F.US.EPZ18 [CBV] 1 Day #1 | Reloading chart. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Date rule based rollover from F.US.EPZ17 to next contract occurs at 2017-12-07. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Date rule based rollover from F.US.EPH18 to next contract occurs at 2018-03-08. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Date rule based rollover from F.US.EPM18 to next contract occurs at 2018-06-07. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Date rule based rollover from F.US.EPU18 to next contract occurs at 2018-09-13. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Date rule based rollover from F.US.EPZ18 to next contract occurs at 2018-12-13. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Checking Intraday data file for symbol F.US.EPZ17 for the date range from 2017-09-07 to 2017-12-07. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Checking Daily data file for symbol ESZ17 for the date range from 2017-09-07 to 2017-12-07. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Skipping checking Intraday data file for symbol F.US.EPH18 since download was already done in last 24 hours. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Checking Daily data file for symbol ESH18 for the date range from 2017-12-07 to 2018-03-08. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Skipping checking Intraday data file for symbol F.US.EPM18 since download was already done in last 24 hours. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Checking Daily data file for symbol ESM18 for the date range from 2018-03-08 to 2018-06-07. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Skipping checking Intraday data file for symbol F.US.EPU18 since download was already done in last 24 hours. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Checking Daily data file for symbol ESU18 for the date range from 2018-06-07 to 2018-09-13. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Skipping checking Intraday data file for symbol F.US.EPZ18 since download was already done in last 24 hours. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Checking Daily data file for symbol ESZ18 for the date range from 2018-09-13 to 2018-11-20. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Price data for daily data file ESZ18.dly. Date: 2018-09-13, Price: 291025. Date: 2018-11-20, Price: 264375 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Price data for daily data file ESU18.dly. Date: 2018-06-07, Price: 277600. Date: 2018-09-12, Price: 288850 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Price data for daily data file ESM18.dly. Date: 2018-03-08, Price: 274425. Date: 2018-06-06, Price: 277225 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Price data for daily data file ESH18.dly. Date: 2017-12-07, Price: 264225. Date: 2018-03-07, Price: 272325 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Price data for daily data file ESZ17.dly. Date: 2017-09-07, Price: 246475. Date: 2017-12-06, Price: 262925 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Symbols used for continuous contract chart: | 2018-11-20 15:46:09 ESZ17 | 2018-11-20 15:46:09 ESH18 | 2018-11-20 15:46:09 ESM18 | 2018-11-20 15:46:09 ESU18 | 2018-11-20 15:46:09 ESZ18 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Checking for volume based rollover dates. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Volume based rollover from F.US.EPZ17 to F.US.EPH18 occurs at 2017-12-08 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Volume based rollover from F.US.EPH18 to F.US.EPM18 occurs at 2018-03-12 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Volume based rollover from F.US.EPM18 to F.US.EPU18 occurs at 2018-06-11 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Volume based rollover from F.US.EPU18 to F.US.EPZ18 occurs at 2018-09-14 | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Performing continuous futures contract back adjustment calculations. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPZ17 Open price on 2017-12-08 is 263950. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPH18 Open price on 2017-12-08 is 264225. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPZ17 price difference to F.US.EPH18 is 275. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPH18 Open price on 2018-03-12 is 278400. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPM18 Open price on 2018-03-12 is 278875. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPH18 price difference to F.US.EPM18 is 475. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPM18 Open price on 2018-06-11 is 277100. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPU18 Open price on 2018-06-11 is 277675. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPM18 price difference to F.US.EPU18 is 575. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPU18 Open price on 2018-09-14 is 290475. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPZ18 Open price on 2018-09-14 is 290950. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | F.US.EPU18 price difference to F.US.EPZ18 is 475. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Back adjust amount for symbol F.US.EPZ17 is 1800. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Back adjust amount for symbol F.US.EPH18 is 1525. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Back adjust amount for symbol F.US.EPM18 is 1050. | 2018-11-20 15:46:09 F.US.EPZ18 [CBV] 1 Day #1 | Back adjust amount for symbol F.US.EPU18 is 475. | 2018-11-20 15:46:09 |