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Post From: rollover on 1239

[2015-03-03 10:07:28] Link To Thread - Link To Post [Go To First Post]
User81946 - Posts: 9
Good afternoon I have updated the program from version 1224 on 1239. The program not correctly connects contracts (rollover) Help please. Yours faithfully Vais Aleutdinov TF.20150300.ICE_IN [CBV] 30 Min #7 \| Symbols used for continuous contract chart: \| 2015-03-03 12:12:06 TF.20140600.ICE_IN \| 2015-03-03 12:12:06 TF.20140900.ICE_IN \| 2015-03-03 12:12:06 TF.20141200.ICE_IN \| 2015-03-03 12:12:06 TF.20150300.ICE_IN \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Checking for volume based rollover dates. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Volume based rollover from TF.20140600.ICE_IN to TF.20140900.ICE_IN occurs at 2014-06-13 \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Volume based rollover from TF.20140900.ICE_IN to TF.20141200.ICE_IN occurs at 2014-09-12 \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Volume based rollover from TF.20141200.ICE_IN to TF.20150300.ICE_IN occurs at 2014-12-12 \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Performing continuous futures contract back adjustment calculations. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20140600.ICE_IN Open price on 2014-06-13 is 116070. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20140900.ICE_IN Open price on 2014-06-13 is 115510. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20140600.ICE_IN price difference to TF.20140900.ICE_IN is -560. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20140900.ICE_IN Open price on 2014-09-12 is 117390. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20141200.ICE_IN Open price on 2014-09-12 is 116800. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20140900.ICE_IN price difference to TF.20141200.ICE_IN is -590. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20141200.ICE_IN Open price on 2014-12-12 is 116140. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20150300.ICE_IN Open price on 2014-12-12 is 115620. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: TF.20141200.ICE_IN price difference to TF.20150300.ICE_IN is -520. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Back adjust amount for symbol TF.20140600.ICE_IN is -167000. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Back adjust amount for symbol TF.20140900.ICE_IN is -111000. \| 2015-03-03 12:12:06 TF.20150300.ICE_IN [CBV] 30 Min #7: Back adjust amount for symbol TF.20141200.ICE_IN is -52000. \| 2015-03-03 12:12:06 Date rule based rollover from TF.20140600.ICE_IN to next contract occurs at 2014-06-12. \| 2015-03-03 12:12:06 Date rule based rollover from TF.20140900.ICE_IN to next contract occurs at 2014-09-11. \| 2015-03-03 12:12:06 Date rule based rollover from TF.20141200.ICE_IN to next contract occurs at 2014-12-11. \| 2015-03-03 12:12:06 Date rule based rollover from TF.20150300.ICE_IN to next contract occurs at 2015-03-12. \| 2015-03-03 12:12:06 Checking Intraday data file for symbol TF.20140600.ICE_IN for the date range from 2014-03-13 to 2014-06-12. \| 2015-03-03 12:12:06 Checking Daily data file for symbol TF.20140600.ICE_IN for the date range from 2014-03-13 to 2014-06-12. \| 2015-03-03 12:12:06 Checking Intraday data file for symbol TF.20140900.ICE_IN for the date range from 2014-06-12 to 2014-09-11. \| 2015-03-03 12:12:06 Checking Daily data file for symbol TF.20140900.ICE_IN for the date range from 2014-06-12 to 2014-09-11. \| 2015-03-03 12:12:06 Checking Intraday data file for symbol TF.20141200.ICE_IN for the date range from 2014-09-11 to 2014-12-11. \| 2015-03-03 12:12:06 Checking Daily data file for symbol TF.20141200.ICE_IN for the date range from 2014-09-11 to 2014-12-11. \| 2015-03-03 12:12:06 Checking Intraday data file for symbol TF.20150300.ICE_IN for the date range from 2014-12-11 to 0. \| 2015-03-03 12:12:07 Checking Daily data file for symbol TF.20150300.ICE_IN for the date range from 2014-12-11 to 2015-03-03. \| 2015-03-03 12:12:07


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