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Direct MessagesDate/Time: Thu, 25 Apr 2024 13:00:19 +0000
Treasury futures - bad roll - ZNZ5 contract bad data at midnight Aug-30/31 (last night)
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| [2015-08-31 21:30:50] |
| User71961 - Posts: 144 |
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if you look at ZNZ5 (continuous contract, with volume based rollover) and back adjusted for the roll, my chart has a 6 tick gap from 127-04+ --> 127-10+ at midnight last night (Aug-31st). There was no gap in the actual contract. There should be no gap. There was no significant trading activity at that point in time. It looks like there is a problem with the back adjustment, because ZNZ5 was trading in the range of 127-09+ --> 127-12 for an hour on either side of midnight last night. It looks like the other US treasury future also have a problem with the rollover last night (ZF has a similar large error...ZB has an error, but small). i am using ThinkorSwim as my trading platform, and the SC data feed. |
| [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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| [2015-09-01 01:01:47] |
| User71961 - Posts: 144 |
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i see the problem. You are using the opening prices of the session, but this particular session had a bad open for US treasury futures(if you look at a chart of the spread between sept and dec, the bad spread at the open only lasted for a minute). How can i fix this? |
| [2015-09-01 01:47:17] |
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Refer to the documentation here about this: https://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html#ControllingRolloverAmount Also the opening prices that Sierra Chart has are the official prices: http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note_quotes_settlements_futures.html 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 |
| [2015-09-01 01:54:35] |
| User71961 - Posts: 144 |
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To "fix" the roll, should i change the open price of Sept, or Dec?
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| [2015-09-01 02:07:36] |
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Either one. It does not matter. However, when the daily data files are updated which happens at least once a day and when restarting Sierra Chart, the two most recent dates are rewritten. So you will have to do the change again tomorrow because the change will be overwritten. 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 |
| [2015-09-01 02:16:08] |
| User71961 - Posts: 144 |
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ok, i saved the changes in the .dly files, and then reloaded my charts, and they look good. Thanks for your help. |
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