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Direct MessagesDate/Time: Sun, 28 Apr 2024 23:58:56 +0000
[User Discussion] - Continous contract rollover offset
View Count: 1054
| [2016-12-02 22:16:16] |
| User885971 - Posts: 4 |
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Hi, I'm trading an index futures symbol that has very low quality/incomplete historical daily data. As I understand, the back adjustment offset is calculated from the delta of the daily open prices of the the involved contacts on roll over day. There's a couple of issues with this. 1. In my case, the historical chart symbol is different from the intraday symbol, and is delivered EOD. This means I can't roll over with back adjustment on start of roll over day, unless I manually enter the open price into the correct "dly" file. 2. My symbol trade between 8.30am to 5.25pm. Between 8.30am and 9am (before cash open) there's EXTREMELY low volume (a sporadic trade here and there), which makes comparing the open of the daily bars unpredictable since there can be several minutes difference in when the bar opens. For me, the following improvements to the futures workflow would make life easier: a, Possibility to calculate the offset using the intraday files. Either at a time defined by me, or the Session Time Start Time defined in the chart. Multiple samples for accuracy? b, Possiblity to manually set an offset to each contract in the Global Symbol Settings. This would allow me to calculate and set the offset a day or two before rollover. Looking forward to hearing your feedback on this. |
| [2016-12-02 22:30:20] |
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There is no chance we can help with this. Refer to: Notice: Suggestions (Currently not accepting) 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 |
| [2016-12-02 22:50:06] |
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Really what you would have to do is manually adjust the historical data using this function: Adjusting Data 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 |
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