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Direct MessagesDate/Time: Thu, 25 Apr 2024 15:41:59 +0000
NQ Futures not rolling correctly
View Count: 1925
| [2019-03-07 15:41:58] |
| User435227 - Posts: 2 |
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NQ Futures is rolling forward about a week or so before the intended rollover date. Under Global Settings, when RollOver set to Method 3 under the Rollover Rule --- 3rd Friday and 8 days before - the check rollover dates button suggest the March Contract to be ending today i.e. March 7. This is incorrect since the 3rd Friday for March contract is March 22 and 8 days before that should be March 15th and not today i.e. March 7th. Please see if you can look into this, please. |
| [2019-03-07 15:47:00] |
| User90125 - Posts: 715 |
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https://www.cmegroup.com/trading/equity-index/rolldates.html suggests otherwise.
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| [2019-03-07 16:06:04] |
| User435227 - Posts: 2 |
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In fact - CME and I are exactly the same on this one. Even if you go by CME - i.e. 8 days before contract expiry - it comes to 8 days before March 22 which is March 15. And Sierra - is already calling it March 7 and rolling over a good one week before that. Somewhere or the other Sierra is picking a wrong contract expiry of 15th instead of 22nd for this march contract in case of NQ-Emini. |
| [2019-03-07 16:42:28] |
| User90125 - Posts: 715 |
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3rd Friday and 8 days before - the check rollover dates button suggest the March Contract to be ending today i.e. March 7.
Wrong. Remember the ROLLOVER date, is not the expiry date. CME rolls the indexes 8 days before expiry. Last trade date is March 15 (expiry). Roll date is March 7. SC's rollover rule Method 3 is correct. |
| [2019-03-07 17:40:23] |
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Disable this option: Chart Settings: Automatically Rollover Futures Symbol (Chart >> Chart Settings >> Symbol >> Symbol menu) And change the symbol back to the March contract in Chart >> Chart Settings. 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: 2019-03-07 17:40:44
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| [2019-03-23 22:31:21] |
| Chad - Posts: 231 |
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I'm confused by this also - when I check rollover date for the March 2019 expiry of ES and NQ futures, I have Method3 selected and 8 calendar days before the 3rd Friday (March 15). Yet, the 'Rollover Method Tester' indicates that the rollover date is March 14 (see screenshot). The June 2019 rollover date is reported correctly in the RMT as Thursday, June 13.
Date Time Of Last Edit: 2019-03-23 22:32:49
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 CME-ES_fut_rollover.png / V - Attached On 2019-03-23 22:31:01 UTC - Size: 32.35 KB - 305 views |
| [2019-03-24 06:10:56] |
| User90125 - Posts: 715 |
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Not certain why SC Engineering manually edited the rollover date for March 2019 indexes to 1 day before the expiry date? Probably to satisfy the whims of some traders who don't know the difference, given that the original dates were correct as published initially by the CME. https://www.cmegroup.com/trading/equity-index/rolldates.html Let's hope that it's only a one-off tweak though. |
| [2019-03-24 19:50:14] |
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In regards to post #7, update Sierra Chart again to the current version: Software Download: Fast Update This has been corrected. What is said in post #8 is not correct. 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: 2019-03-24 19:50:39
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| [2019-03-26 05:10:02] |
| User90125 - Posts: 715 |
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6E Continuous Backadjust log report wrong price levels | Post: 175218 says it all: We had modified the rule used for the CME stock index futures but had made a mistake and we think the revision you are running it is not handling it properly.
The modification that should exist is that if the third Friday is within the first half of the month, the rollover date is moved one day forward. Indeed. Thanks for looking into this and taking care of the problem correctly for all users. |
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