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Direct MessagesDate/Time: Sun, 05 May 2024 17:38:07 +0000
Post From: Very Impressive!: New Continuous Futures Contract Feature
| [2013-12-26 00:10:15] |
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Sierra Chart uses the open prices on rollover day to calculate the price difference. This seems to work well. We do not use the settlement prices because those are not a reliable method to calculate the price difference because of the special algorithm used by exchanges to calculate the settlement. Settlement will not provide an accurate calculation because these prices are not based upon trading at a specific point in time. We observed this clearly during testing. You can see a log of the back adjustment calculations being done in the Window >>Show/Hide Message Log. /ESH4 [C] 60 min #1: Download is complete for all contract months in chart. Proceeding with data load. | 2013-12-26 05:05:23
/ESH4 [C] 60 min #1: Performing continuous futures contract back adjustment calculations. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESM3 Open price on 2013-06-13 is 1610.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESU3 Open price on 2013-06-13 is 1605. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESM3 price difference to /ESU3 is -5.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESU3 Open price on 2013-09-12 is 1689.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESZ3 Open price on 2013-09-12 is 1683.25. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESU3 price difference to /ESZ3 is -6.5. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESZ3 Open price on 2013-12-12 is 1780.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESH4 Open price on 2013-12-12 is 1774.25. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESZ3 price difference to /ESH4 is -6.5. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: Back adjust amount for symbol /ESM3 is -18.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: Back adjust amount for symbol /ESU3 is -13. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: Back adjust amount for symbol /ESZ3 is -6.5. | 2013-12-26 05:05:23 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: 2013-12-26 10:10:50
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