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Direct MessagesDate/Time: Tue, 14 May 2024 13:14:47 +0000
Problem with volume-based rollover
View Count: 2004
| [2016-11-23 15:07:43] |
| skelcap - Posts: 139 |
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I have been downloading a bunch of futures data using volume-based rollover. Normally it works fine but I just noticed a problem with Sugar No. 11 ("SB") futures where the intraday data files fall short of the rollover dates. My .scid data files in each market were all downloaded simultaneously using a continuous futures contract with volume-based rollover selected. For example, volume-based rollover for SBN14->SBV14 is on 6/12/14, but SBV14.scid data file doesn't start until 6/20/2014, so I have a 7 day hole in my intraday series. The earlier intraday data for SBV14 does exist on your servers, but in order to download it I have to create a separate chart for just that one contract with no rollover selected and do "delete & download" in order to get the whole data series for that contract. Then I have to repeat the process for all 30 intraday sugar contracts, so it is laborious. Now I'm checking and a few other markets have the same problem ... Am I doing something wrong here or is there a workaround? Thanks |
| [2016-11-23 18:50:13] |
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The rollover for sugar (SB) is sooner than was programmed. We adjusted the rollover rule to solve this. Update the Symbol Settings as explained here: http://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#UpdateSettingsSteps After that is done, you can re-download the data in the chart following these instructions: http://www.sierrachart.com/index.php?page=doc/ContinuousFuturesContractCharts.html#ReDownloading Let us know what other symbols have the problem and we will make a similar adjustment. 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 |
| [2016-11-23 20:50:32] |
| skelcap - Posts: 139 |
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Ok, also in Sugar you have: - SBV12 rolls off 9/9/2012 but next contract SBH13.scid no data until 9/27/2012 - SBV10 rolls off 9/8/2010 but next contract SBH11.scid no data until 9/27/2010 There are a bunch of other symbols which have the same problem, i.e. I agree with the volume-based roll date but the new contract data doesn't start until days after the roll date: - COIL (Brent Crude) - RB (RBOB Gasoline) - GE (Eurodollar) - CGB (Canada 10y Bond) - VIX - GC (Gold) - AUD (Aussie Dollar) - ZW (Wheat) - ZM (Soybean Meal) - ZL (Soybean Oil) - KC (Coffee - need more of this) - HO (Heating Oil) Most of those I was able to get the missing data by downloading each contract individually without specifying rollover. But there's a couple where it seems you don't have the data: - A6Z10 (Australian Dollar) rolls off 12/10/2010 but next contract A6H11.scid doesn't start until 1/3/2011 so you're missing 3-4 weeks of data. - GCQ10 (Gold) rolls off 7/29/2010 but next car GCZ10.scid starts 9/29/2010 so 2 months missing. |
| [2016-11-24 05:26:15] |
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We are going to be updating the rollover rules for all of the symbols to ensure there is no missing data in the chart. Allow a few days for this. For the specific symbols mentioned which actually have missing data on the server, those have now all been filled in. Let us know if there any others. 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 |
| [2016-11-24 16:51:11] |
| skelcap - Posts: 139 |
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Ok thanks. I'm still not getting any earlier data for GCZ10.scid
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| [2016-11-24 20:50:21] |
| skelcap - Posts: 139 |
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ZMZ11 (soybean meal) rolls on 6/24/11 but .scid data doesn't start until 8/1/2011
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| [2016-11-24 20:55:03] |
| skelcap - Posts: 139 |
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And ZMN11 rolls on 4/19/11 but .scid data doesn't start until 5/26/2011
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| [2016-11-24 20:56:39] |
| skelcap - Posts: 139 |
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Same problem with soybean oil (ZLN11 and ZLZ11)
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| [2016-11-24 21:12:33] |
| skelcap - Posts: 139 |
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SBH10 (sugar) rolls on 9/10/2009 but no .scid data until 9/28/2009
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| [2016-11-24 21:28:26] |
| skelcap - Posts: 139 |
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GCG10.scid needs more data at the front
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| [2016-11-24 21:38:26] |
| skelcap - Posts: 139 |
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CGZ15.scid (Canada 10y Bond) has a 2 week 10 hole right in the middle: 10/23/2015-11/5/2015
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| [2016-11-24 21:41:19] |
| skelcap - Posts: 139 |
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CGM15.scid needs more data at the front
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| [2016-11-25 05:37:17] |
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All mentioned symbols have had missing data filled in. You can re-download the data now. For sugar (SB) we did all contract months during 2010. 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 |
| [2016-11-25 19:02:34] |
| skelcap - Posts: 139 |
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In the symbol settings for UB (US Ultra Long Bond), the historical/daily chart symbol needs to be "UD?##". This field was blank in the SC symbol settings and for Interactive Brokers it was "UD##", so neither works properly
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| [2016-11-25 19:31:58] |
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We are correcting this now. Thank you for pointing that out.
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 |
| [2016-11-25 19:53:01] |
| skelcap - Posts: 139 |
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Thanks. Please will you let me know once you have updated the rollover rules.
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| [2016-11-25 19:53:53] |
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OK this is going to be done next week.
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 |
| [2016-11-25 21:10:09] |
| skelcap - Posts: 139 |
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Dunno if you can do anything about this, but in NIFTY (SGX CNX Nifty Index) futures you have missing daily data: - NHG02.dly file is completely missing - NHM02 rolls off 6/27/2002 but last .dly record is 11/30/2001 - NHU02 rolls off 9/26/2002 but last .dly record is 11/30/2001 |
| [2016-11-25 21:15:58] |
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Post #18 we can definitely not help with. This is too far back in time.
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 |
| [2016-11-30 13:20:59] |
| skelcap - Posts: 139 |
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I see you have fixed the volume-based roll in COIL (Brent Crude), however there are a couple which are out of sequence: CBJ11 3/9/2011 CBK11 3/9/2011 - should be 4/12/2011? CBM11 5/13/2011 CBV15 9/11/2015 CBX15 9/1/2015 - should be 10/12/2015? CBZ15 11/10/2015 |
| [2016-11-30 18:11:02] |
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What is the method of rollover being used in these cases? Inherently there could potentially be problems for this particular market because of a major change regarding rollover for the contract that the exchange made earlier in the year. It is now one month earlier. 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 |
| [2016-11-30 20:40:43] |
| skelcap - Posts: 139 |
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I was using Volume Based Rollover. The out of sequence roll dates causes problems with the chart display (see attached)
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coil.jpg| [2016-11-30 21:31:31] |
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Not sure we can help with this. At this point only thing we can say is to re-download the data: http://www.sierrachart.com/index.php?page=doc/ContinuousFuturesContractCharts.html#ReDownloading We cannot commit further time with this now. The result is what it is. If it does not work properly, then do not use the Continuous Futures Contract feature for that particular market with a large number of days back, or try using a date-based rollover. 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: 2016-11-30 21:33:10
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| [2016-11-30 22:02:03] |
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We will have a look. Just give us a few days. We apologize for the prior response. But do let us know if redownloading the data following the instructions solves the problem.
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: 2016-11-30 22:02:26
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| [2016-12-01 04:10:27] |
| skelcap - Posts: 139 |
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I redownloaded the data but nothing changed. Your volume-based rollover algorithm is capturing all of the other roles in COIL reasonably well, so looks like it's just some kind of glitch with those two contracts CBK11 and CBX15.
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