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Direct MessagesDate/Time: Wed, 08 May 2024 04:46:55 +0000
Post From: Support request: Data issues with ES-202209-GLOBEX right now
| [2022-06-15 07:40:02] |
| WheresMoney - Posts: 56 |
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The issue came up again, i.e. after changing the bar time period, which reloaded the chart, bars were missing between 8:30 - 15:00 cst for June 14th (not all bars but some). I did "Edit >> Delete All Data And Download" and the problem is fixed. I have a theory of what is going on. Did the roll date algorithm change recently? I remember reading something about it in one of the support board posts. I have moved on the ESU22 since monday, since U has a higher volume than M now (since monday). But in SC, according to the rollover rule "The rollover date for ES-202206-GLOBEX is Thursday, June 16, 2022." So what is happening is that at chart reload, it keeps moving the roll date forward. Right now, in my ES chart, sierra shows the roll is at the end of day of June 14th. Sep(U) already has more than double to volume of Jun(M). If the roll rule is left unchanged, I expect sierra to do this again on thursday. That is, on chart reload on thursday, it will move the roll point from eod 14th to eod 15th. Which curiously, causes missing bar issue as well, for which the only fix is "Edit >> Delete All Data And Download" So 2 issue here: A) Roll rule is wrong in a real world perspective as volume changes bigly before then. The rule now is 1 day before contract expiration day. Many brokerages would force liquidation before then, you know? B) Somehow this causes missing bars issue I set up a custom roll rule to deal with it, but I do think it should be changed by sierra Date Time Of Last Edit: 2022-06-15 07:41:50
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