Support Board
Date/Time: Sat, 08 Nov 2025 23:10:55 +0000
this is a little complex but need your help
View Count: 97
| [2025-10-29 13:44:25] |
| User849502 - Posts: 400 |
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Hi John, Maybe you can help me sort something. I am trying to contact the B3 exchange and DNT for help but I thought I'd run this buy you. It has to do with the WIN index contract on the B3. A huge contract trading millions a day. The thing is in all the 20 contracts I have worked on this one has a weird issue. Namely it doesn't allow for a continuous contract back adjusted...Yes, they have something called WIN# which is the perpetual continuous, and then you get the month contacts like WINz25. BUT you cannot take the WINz25 and select 'continuous...back adjusted'. Or you can but it just gives you the history of the specific Dec contract-which means if you go back 3 mos the volume is shit. It's not rolling. The issue is when it rolls(always on an exact date) the price on the continuous makes a giant gap to whatever the next month is. So as you will see in the screen shot of WIN# on the day it rolls, boom a gap. So it simply takes the October and then adds on Dec which is the next month. There isn't another contract I have found that does this. Every single contract, even ones like CL which you don't really want continuous as each month is its own beast, you can make the front month continuous. But not WIN. Any ideas how I can create a chart which shows all the historic back volume and rolls??? Help me John! thanks mate, Karen |
| [2025-10-29 15:11:55] |
| John - SC Support - Posts: 42874 |
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In the image you provided the symbol is "WIN#". In this case there are no separate contracts such that Sierra Chart can do the calculations for a Continuous Futures Contract. If there is a way to get individual contracts, then you can use Sierra Chart to do the back-adjustment. But if there are not separate symbols for each contract, then this can not be done. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-29 15:45:28] |
| User849502 - Posts: 400 |
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But there are individual contracts! The current front is Dec and the last expired is Oct. If I take the current Dec contract and select the dropdown of 'continuous roll, volume adjusted...' It ignores it and just continues to give only Dec price and volume action. Just like if I had selected NONE as my choice. Find attached the screenshot of the Dec contract, with Continuous...back adjusted... selected. What happens? NOTHING, it ignores it and gives you Dec contract all the way back as you scroll. I scrolled back to Aug, and look at the volume profiles - there is no volume because it isn't showing what the front month was doing then, but literally Dec. Obviously Dec had zippo volume in Aug... So now do you see? The separate contracts refuse to obey and go continuous. Whilst the win# continuous contract isn't really continuous but a series of the front months stuck together. Is it clearer now? I have never seen anything like this. thanks mate! |
| [2025-10-29 15:46:37] |
| User849502 - Posts: 400 |
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I forgot the attachment!!!
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 decnotrolling.png / V - Attached On 2025-10-29 15:46:34 UTC - Size: 350.5 KB - 11 views |
| [2025-10-29 17:01:00] |
| John - SC Support - Posts: 42874 |
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The "Continuous Futures" notation is showing as "[CB-D]" where the "D" stands for Disabled. There is something about this that the system does not like and therefore is not able to build the Continuous contract. Did you create special symbol settings for this? If so, then we would recommend disabling the option for "Global Settings >> Symbol Settings >> Use Custom Symbol Settings Values". After you select "OK" to close the Symbol Settings window select "File >> Reconnect", then see if the chart deals with the continuous contract properly. You may need to select "Edit >> Delete and Download Data" for that chart to get everything updated. Another possibility is that you are not getting the daily historical data for this symbol. If the above does not fix it, then try to open an historical (daily) chart for WINZ25 and see if you have that data. If not, then you will not be able to do a back-adjusted continuous contract, so you would be best served to use the perpetual contract anyway. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2025-10-29 17:38:01] |
| User849502 - Posts: 400 |
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John, just so you know, for future people who use DNT... I was told when I first joined that if you wanted a continuous contract, you added # after the product code. WRONG! That will just get you what I got, which is all the front months stuck together...What you have to add is #C, and presto, you get the SC/Teton equivalent of my using drop-down and selecting 'continuous...back adjusted...' Who fucking knew??? Only because I kept asking the question in a different way did the tech team at DNT realise I was using # and not #C, which I never knew existed... thanks for your time mate! |
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