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Direct MessagesDate/Time: Mon, 29 Apr 2024 03:30:38 +0000
Incorrect Volume Based Rollover
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| [2018-08-04 23:23:38] |
| Usermb - Posts: 126 |
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Using latest stable version, 1785, but this appears to be the same in older SC versions. The Volume Based Rollover doesn't appear to work correctly. You can reproduce using Symbol ZC. SC determines the rollover date from ZCU17 to ZCZ17 should be on 2017.08.01: "ZCU18 [CBV] Daily #25 | Volume based rollover from ZCU17 to ZCZ17 occurs at 2017-08-01" Based on the SC documentation: ... transition date from one futures contract to the next is determined by when the daily volume, as determined from the historical Daily chart data for the symbol, becomes greater from one contract to the next at a particular day. At that particular day, the rollover occurs.
To help you visualize the problem, I attached a screenshot showing a continuous ZC contract with "Volume Based Rollover, Back Adjusted". This chart contains daily historical data. At the bottom of the chart, there are bars for the daily volume of ZCZ17 (green) and ZCU17(orange). The volume figures are based on historical daily data for these two contracts. As you can see, the daily volume of ZCZ17 has been larger than the daily volume of ZCU17 ever since 2017.06.30 Based on this I would expect the rollover date to be 2017.06.30 instead of 2017.08.01 If this is not what you intend (i.e. SC is correct), could you please update your documentation to reflect what algorithm you use? Thank you. Date Time Of Last Edit: 2018-08-04 23:34:01
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 ZCU18 [CBV] Daily #25 2018-08-05 01_14_25.283.png / V - Attached On 2018-08-04 23:14:52 UTC - Size: 45.7 KB - 248 views |
| [2018-08-05 03:12:27] |
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We are fairly sure this relates to only looking back so far in time for a rollover. This will not change. Especially if there is just one isolated case where there is a problem. So we will update the documentation.
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 |
| [2018-08-05 09:00:32] |
| Usermb - Posts: 126 |
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Just to see if I get you right, based on the above, SC uses a hard coded value of "n days" for determining how far to look back for a volume based rollover date from the expiration date of a contract. The default seems to be ~30 days. It sounds to me like you could make it a configurable parameter, instead of keeping it hard coded. |
| [2018-08-05 09:52:34] |
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No it is much more than 30 days. For the December contract you can see that it is going back to August. There are different ways this is calculated based on the rollover rules.
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: 2018-08-05 09:52:41
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