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Direct MessagesDate/Time: Mon, 29 Apr 2024 12:38:05 +0000
futures rollover
View Count: 1718
| [2017-09-07 13:17:15] |
| dtl-saw - Posts: 79 |
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just rolled over into next ES futures contract and I'm using continuous contracts for the continuous contracts chart setting i'm using "continuous futures contract - date rule rollover" i'm not using the "back adjusted" setting. i didn't expect there would be any changes in the prior contract prices on my chart but they are changed by -2.25 points. is this expected behavior? if so, what do i need to do to get no prior contract price changes when rolling over futures contracts thanks |
| [2017-09-07 13:32:59] |
| dtl-saw - Posts: 79 |
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i should add more specific info Globex 24hour all time high on 8/7/2017 for ES now shows 2486.25 with the rollover When I look at just the DEC contract the high on 8/7/2017 is 2486.25 When I look at just the SEP contract the high on 8/7/2017 is 2488.50 I would like my charts to leave the SEP contract prices unchanged and have the 8/7/2017 high price of 2488.50 when I'm using continuous contracts with no back adjust Is that possible? what are the settings please? thanks |
| [2017-09-07 13:54:28] |
| gomifromparis - Posts: 244 |
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That's what back adjust is for...
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| [2017-09-07 14:20:10] |
| dtl-saw - Posts: 79 |
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thanks for reply gomifromparis, but when i use "Continuous futures contract - Date Rule Rollover, Back adjusted" then the globex all time high on 8/7/2017 for ES is 2486.75, not what i was looking for. what i was want to happen is to see the 2488.50 print we got on that day (8/7/2017) |
| [2017-09-07 15:13:25] |
| dtl-saw - Posts: 79 |
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now the "Continuous futures contract - Date Rule Rollover" is working like i expect and the 2488.50 8/7/2017 all time high is printing on the screen. Can someone explain if that was from a program or data glitch or did something need to be updated from Sierra Charts HQ? In 3 months I will have forgotten about this and don't want a repeat. thanks |
| [2017-09-07 18:20:36] |
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We did not change anything from our side. This is a specific issue on your side only. Globex 24hour all time high on 8/7/2017 for ES now shows 2486.25 with the rollover When I look at just the DEC contract the high on 8/7/2017 is 2486.25 Refer to the information here: http://www.sierrachart.com/index.php?page=doc/ContinuousFuturesContractCharts.html#DisplayingRolloverTransitionTimesAndContractMonths You need to know what contract month you are looking at for a particular date in the chart. If there is an issue with that, we can help. 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 |
| [2017-09-07 18:30:22] |
| dtl-saw - Posts: 79 |
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When I did a manual rollover from SEP to DEC this morning the charts didn't reload and recalculate properly and my chart had DEC prices for the SEP bars even though i had selected "no back adjust". After the manual rollover i had to go through all of my open charts and manually click charts->reload and recalculate Is that what is expected or should it have reloaded and recalculated as part of the rollover step when i clicked the button in the middle of the chart that said "rollover contract" |
| [2017-09-07 19:40:40] |
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We definitely would not expect any problem like this. At this point we cannot say why there was an issue. It is essential to show the rollover dates so that you know exactly what futures contract each bar belongs to. Otherwise, we are just making guesses. Changing the symbol of a chart always involves a reload. There is no other possibility. There is also a command on the Edit menu to reload all charts in case you want to do that. 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: 2017-09-07 19:40:51
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| [2017-09-07 20:26:32] |
| dtl-saw - Posts: 79 |
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I just duplicated the same behavior on a different machine and install of SC. Steps to replicate for ES SEP to DEC contract roll - 1) load a chartbook that hasn't rolled over yet - i.e. still has SEP contract, and the chart rollover settings are "Continuous Futures Contract - Date Rule Rollover" 2) once the chart loads get the "rollover futures now button in the middle of the chart" 3) click the button and the futures contract switches to DEC and after a refresh DEC is now the current contract, but the SEP values are not part of the continuous data now. I know because all my trend lines from SEP are screwed up and also I measured the all time high value for 8/7 at 2488.50 before rollover and after rollover it was 2486.25 which is the value of the DEC contract on 8/7/2017. 4) reload and recalculate fixes it So, if you intend everyone to manually reload and recalculate after a rollover then I can do that - no problem, just need to know ahead of time and I wouldn't post the ticket. If you don't intend that behavior (manual "reload and recalc") then maybe there's something missing in the rollover routine and you could add it. Date Time Of Last Edit: 2017-09-07 20:28:39
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| [2017-09-07 20:51:53] |
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We will try to duplicate this but we do not expect to encounter this. It really makes no sense to us as to how this could even be the case. Tell us the exact symbol of the chart you are rolling over. 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: 2017-09-07 20:52:28
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| [2017-09-07 20:54:51] |
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Actually, one thing we want you to do is to perform a Full Reset of the Symbol Settings: https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#FullResetSymbolSettingsSteps It might be related to that. But even this does not make any sense. If this were an issue you would notice the problem consistently no matter how many times you reload the chart. 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: 2017-09-07 20:55:40
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| [2017-09-07 21:01:08] |
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We cannot reproduce what you are describing using a Historical Daily chart. We are certain there is no problem like this. Whatever issue there is must be an isolated case for reasons which are not clear or a misunderstanding. Here is the chart: http://www.sierrachart.com/image.php?Image=1504818032594.png Here is the chart data for the bar mentioned: ******************************************* Chart Values for Tools Y: 2392.00 Mon 2017-08-07 00:00:00.000 Bar Begin Time Region 1 ESZ17 [C] Daily #1 () Price Chg: 5.50 Open: 2472.25 High: 2478.25 Low: 2472.00 Last: 2477.50 Volume: 599701 OpenInt: 3053147 OHLC Avg: 2475.00 HLC Avg: 2475.92 HL Avg: 2475.13 Bid Volume: 0 Ask Volume: 0 We bolded the correct high-value. 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: 2017-09-07 21:01:46
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| [2017-09-08 00:35:01] |
| dtl-saw - Posts: 79 |
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Okay, i retested with SC data and no problems it works as you say without issue. BUT, I'm using Interactive Brokers! - and it's still doing the nasty thing I experienced this morning. If you view the attached mp4 file you can see what's happening on my screen and I show the issue. So I guess it's up to you if you want to chase down another Interactive Brokers issue or not, but now at least I'm satisfied that I've got a repeatable issue with Interactive Brokers and also that I match your results with SC. Bottom line is that nothing got broken and like you said, a "download and recalc all charts" will fix it up. |
 futures_roll_glitch.mp4 - Attached On 2017-09-08 00:31:43 UTC - Size: 1.06 MB - 273 views |
| [2017-09-11 09:16:19] |
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It does not make sense this is Interactive Brokers specific. For the time being we just have to let this go. We do not think we can even reproduce it even with that service.
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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