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Direct MessagesDate/Time: Tue, 30 Apr 2024 19:46:47 +0000
Futures volume-based rollover override by date rule
View Count: 1243
| [2019-09-12 08:19:12] |
| User315411 - Posts: 47 |
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Hi, By default in symbol settings CME ES date rule for rollover is "8 calendar days before the 3rd Friday of the contract month", which means ESU19 will roll to ESZ19 on 9/12, today. In a ES chart I tried to set the Continuous Contract in Advanced Settings to "Volume Based Rollover", so it could hold on ESU19 since ESZ19 volume is still smaller than ESU19, but it turns out the chart shows rollover to ESZ19 anyway on 9/12 afternoon opening. How to make the rollover follow the volume-based continuous contract rule setting, not overridden by the date rule? Thanks. |
| [2019-09-12 22:39:35] |
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The Continuous Contract setting for continuous futures contract charts does not do what you want. Instead refer to this setting: General Settings Window: Detect Rollover Of Current Futures Contracts Symbols Based On Real Time Volume (Global Settings >> General Settings >> Charts >> Symbol) 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: 2019-09-12 23:37:54
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| [2019-09-13 08:45:49] |
| User315411 - Posts: 47 |
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It looks "Chart Settings -> Automatically Rollover Futures Symbol" is only date based (it may be better add "date-based" to the name), so untick it since I want volume-based rollover. But what's the difference between "Detect Rollover Of Current Futures Contracts Symbols Based On Real Time Volume" and "Chart Settings -> Advanced Settings -> Continuous Contract" rules? Does the Continuous Contract only applies to historical part of the chart? What if the "Detect ... On Real Time Volume" is checked but Continuous Contract rule is set to "Date Rule Rollover", which takes precedence when the real-time volume rollover happens? Will the historical part be date-based rolled and the newest part is volume-based rolled? |
| [2019-09-16 11:09:40] |
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This setting is completely unrelated and irrelevant to the current symbol of the chart: "Chart Settings -> Advanced Settings -> Continuous Contract". 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: 2019-09-16 11:10:11
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