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Direct MessagesDate/Time: Sat, 18 May 2024 14:10:37 +0000
Post From: Back adjusting price in SC for ES contract on AMP-CQG account
| [2015-12-12 15:35:56] |
| Yoda - Posts: 106 |
|
I'm using Sierra Chart (SC) Package 3 with AMP and CQG. Under Chart Setting -> Continuous Contract I have Continuous Futures Contract - Data Rule Rollover, Back Adjusted. On Thursday, Dec 10, SC rolled the ES contract F.US.EPZ15 to F.US.EPH16. Based on the information at the CME, the back adjustment amount between the two contracts was -7.75. However, Sierra used -8.50: F.US.EPH16 [CB] 15 Min #4 | Back adjust amount for symbol F.US.EPZ15 is -8.5. | 2015-12-10 16:04:51
My broker contacted CQG to find out what the issue might be and they said that SC is probably not picking up the settlement figure. I tried to fix the issue by increasing the open price on Dec 10 to 2038 from 2037.25 in the E.US.EPH16.dly file...using the steps noted here: https://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html Unfortunately, while it worked on a historical chart, as soon as I switched to an intraday chart and chose Reload and Recalculate, the -8.50 reappeared. I don't know if the following note in the above link was the reason that the -8.50 kept reappearing in the intraday charts: "If you are modifying the open prices for the last two dates in a Historical Daily data file, this will be a problem because those will be rewritten at least once a day. You will have to periodically update those open prices until they are no longer the most recent two days in the Historical Daily data file."
So my questions are: 1. Why is SC not properly back adjusting the historical prices by -7.75 ? 2. How do I fix it so that SC properly back adjusts prices by -7.75 ? Thank you for your help. Richard |