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Direct MessagesDate/Time: Tue, 16 Apr 2024 20:36:06 +0000
Post From: Rollover based on volume too early
| [2021-06-11 10:40:07] |
| joshtrader - Posts: 437 |
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It seems I go through this once per rollover (quarterly), and I dread it each time. Please tell me if I'm doing something wrong here. I've posted a chart which has the continuous option enabled, volume-based back-adjusted rollover. For two symbols (NQ and RTY), the chart is rolling on June 10, showing data for that day from the September contract. For ES and YM, it works as expected and is showing June 10 data from the June contract. The way I understand, rollover based on volume uses the volume found in the daily chart. Here are the entries for June 10: F.US.ENQM21: (NQ, Jun 21) 2021/06/10, 13817.00000000, 13976.50000000, 13726.00000000, 13959.75000000, 492336, 226362 F.US.ENQU21: (NQ, Sep 21) 2021/06/10, 13809.25000000, 13966.25000000, 13716.25000000, 13950.75000000, 53142, 30188 So, a chart of Sep should show June 10 data from the Jun contract, not Sep. What's going on? I have attached ES, to show that it is rolling over on Jun 11, and NQ, incorrectly rolling over on Jun 10. I have displayed the rollover date for easy comparison. Date Time Of Last Edit: 2021-06-11 10:59:44
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nqu.png