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Direct MessagesDate/Time: Sun, 05 May 2024 04:54:50 +0000
Post From: Treasury futures - bad roll - ZNZ5 contract bad data at midnight Aug-30/31 (last night)
| [2015-09-01 00:12:26] |
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This is definitely correct. We get the same result that you do. The transition from one futures contract to the next is always done at midnight in an Intraday chart. Refer to: https://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html#DisplayingRolloverDatesContractMonths The back adjustments are calculated correctly and how they are done is explained at step 8 here: https://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html#UsingContinuousFuturesContractCharts ZNZ5 [CBV] [M] 10 Min #19: Download is complete for all contract months in chart. Proceeding with data load. | 2015-08-31 20:08:29
ZNZ5 [CBV] [M] 10 Min #19: Checking for volume based rollover dates. | 2015-08-31 20:08:29 ZNZ5 [CBV] [M] 10 Min #19: Volume based rollover from ZNU5 to ZNZ5 occurs at 2015-08-31 | 2015-08-31 20:08:29 ZNZ5 [CBV] [M] 10 Min #19: Performing continuous futures contract back adjustment calculations. | 2015-08-31 20:08:29 ZNZ5 [CBV] [M] 10 Min #19: ZNU5 Open price on 2015-08-31 is 127.5156. | 2015-08-31 20:08:29 ZNZ5 [CBV] [M] 10 Min #19: ZNZ5 Open price on 2015-08-31 is 126.75. | 2015-08-31 20:08:29 ZNZ5 [CBV] [M] 10 Min #19: ZNU5 price difference to ZNZ5 is -0.76560003. | 2015-08-31 20:08:29 ZNZ5 [CBV] [M] 10 Min #19: Back adjust amount for symbol ZNU5 is -0.76560003. | 2015-08-31 20:08:29 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: 2015-09-01 00:20:40
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