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Direct MessagesDate/Time: Sun, 05 May 2024 08:52:37 +0000
Back adjusting price in SC for ES contract on AMP-CQG account
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| [2015-12-12 15:35:56] |
| Yoda - Posts: 106 |
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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 |
| [2015-12-12 23:33:30] |
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1. Because that is not the correct value according to the method Sierra Chart is using which is a solid and reliable method. We have added this to the documentation: The closing/settlement prices cannot be used because those are calculated by the exchanges using certain algorithms and will not produce correct price differences between one futures contract to the next. The open prices are the only accurate method of doing this. Furthermore, we must make it clear that the exchanges do not provide any official data about what is the correct back adjustment amount from one futures contract to the next since this concept is not anything, to our knowledge, accepted by exchanges.
2. 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: Almost certainly this is the reason. You have to keep making the adjustment as explained.
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: 2015-12-12 23:34:55
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| [2015-12-13 01:34:34] |
| Yoda - Posts: 106 |
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Thank you for the reply. If I would like to use the closing/settlement price difference for back adjustments (ignoring for the moment which method is more reliable), can you clarify whether it is possible, and if so how it can be done. In other words, how can I force SC to accept the -7.75 rather than the -8.50. As noted above, no matter how many times I changed the .dly file, SC would not use the -7.75 on the intraday charts. Kind regards, Richard |
| [2015-12-13 04:19:37] |
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No, it is not possible to use the settlement prices. In other words, how can I force SC to accept the -7.75 rather than the -8.50. As noted above, no matter how many times I changed the .dly file, SC would not use the -7.75 on the intraday charts. You might be editing the wrong files. The expired file that you need to edit is going to be ESZ15.dly We will update the documentation to explain this clearly. 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: 2015-12-13 06:08:56
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| [2015-12-14 21:19:59] |
| Yoda - Posts: 106 |
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Thank you very much for the additional information. I was able to successfully set the back adjusted amount to -7.75 I'm still not clear why using the settlement prices will not produce correct price differences between one futures contract to the next. I acknowledge that the exchanges use algorithms to calculate the settlement prices, but once the settlement price is set, what makes it inaccurate to use that figure? P.S. The help page ( https://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html ) states: ...you would want to edit either ZWZ15.dly or F.US.ZWAH16.dly
1st, There is a missing an "A" in ZWZ15.dly, it should be ZWAZ15.dly. 2nd, In testing, I found that changing the new contract file F.US.EPH16.dly did not work. The price change only worked when I changed the open price in the expired contract file EPZ15.dly. I'm not sure if I was doing something wrong, or if the help page should be referring to changing only the expired contract file. Kind regards, Richard |
| [2015-12-14 21:56:30] |
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1st, There is a missing an "A" in ZWZ15.dly, it should be ZWAZ15.dly. 2. You can edit either file. But if you are editing the last two days of data in the file they will change back to the downloaded values at least once a day. The documentation is not going to be specific as to which file to edit. That is your decision. The settlements will not provide accurate price difference results. That should be obvious because they simply do not represent the true difference in prices at a specific moment in time. The results would simply be wrong. 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: 2015-12-14 21:57:10
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