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Direct MessagesDate/Time: Thu, 09 May 2024 17:43:20 +0000
Rollover back adjustment issue
View Count: 1170
| [2018-03-08 00:52:23] |
| Usermb - Posts: 126 |
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Using 1713 Symbol: CQG=F.US.DBM18 SC=GGM18 I manually rolled over from H18 to M18 because of the higher volume. Issue: the price is not back adjusted, there is a big gap down between yesterday and today caused by the big price difference between the contracts. The message log contains: F.US.DBM18 [CBV] [M] 377 Trades #11 | Checking for volume based rollover dates. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Volume based rollover from F.US.DBZ17 to F.US.DBH18 occurs at 2017-12-05 | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Volume based rollover from F.US.DBH18 to F.US.DBM18 occurs at 2018-03-07 | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Performing continuous futures contract back adjustment calculations. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBZ17 Open price on 2017-12-05 is 163.23. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBH18 Open price on 2017-12-05 is 162.9. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBZ17 price difference to F.US.DBH18 is -0.33. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBH18 Open price on 2018-03-07 is 159.43. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Error while getting daily open price with date 2018-03-10 from file. C:\SierraChart\Data\GGM18.dly. Error: Date not found | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBH18 price difference to F.US.DBM18 is 0. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Back adjust amount for symbol F.US.DBZ17 is -0.33. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Back adjust amount for symbol F.US.DBH18 is 0. | 2018-03-08 01:48:16 My theory is that SC tries to get the price for the last trading day of the H18 contract, but there are two problems with this: - the date lies in the future - on that date, the exchange (Eurex in this case) is closed, it's a Saturday IMHO when calculating the back adjust amount, when the last day of the contract rolling from lies in the future, the last open should be used instead. |
| [2018-03-08 01:19:44] |
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IMHO when calculating the back adjust amount, when the last day of the contract rolling from lies in the future, the last open should be used instead. We are not able to reproduce what you are seeing. Therefore, re-download data for the current and prior contract months: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract 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 |
| [2018-03-08 01:33:33] |
| Usermb - Posts: 126 |
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Interesting, that file was indeed empty. Not sure how it could happen, I have had a M18 chart open in the same chartbook as H18 day in, day out for the past 2 months. Only the .dly file of M18 was missing data. Anyway, fixed now, thank you. |
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