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Date/Time: Fri, 17 Sep 2021 04:37:00 +0000



Futures contract rollover - volume based

[2019-09-14 02:56:00]
User629461 - Posts: 115
Hi, can someone please assist.
I use continuous ES futures contract (vol based rollover - not back adjusted) for daily and intraday. At rollover, I want to display the current contract data until the vol is greater on the new contract. I have 'Auto rollover futures' unchecked in chart settings and 'Detect Rollover Of Current Futures Contracts Symbols Based On Real Time Volume' checked in Global settings. On Fri, the msg to rollover based on volume came up (Thur vol was still greater on the old contract - fine). So I rollover BUT the chart updates Thur chart data with the new contract data (where vol was less) and throws out my levels etc and tick charts display minimal data due to the low activity on Thur.
My question - how do I setup SC so that it displays the new contract data ONLY from the point where the new contract has higher volume?
Thanks
[2019-09-16 11:14:23]
Sierra Chart Engineering - Posts: 97763
That is how it works. You can validate that by looking at the daily volume in the individual Historical Daily charts for the current and prior contract months for that futures market.
Sierra Chart Support - Engineering Level

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[2019-09-17 04:22:47]
User629461 - Posts: 115
That's how it should work but from my experience doesn't in real time.

On Friday, when the day session opened, it was definitely showing prior day (Thur) with the new contract data (low vol) - as all my lines/levels on the chart had moved (or more precisely the chart data had moved) and volume was extremely low. Also the rollover date vertical line (which i have active) was showing Dec contract rollover at start of Thur trading. After Fri completed and when I was reviewing over the weekend, Thursday data had reverted back to the old contract and Fri was the new contract and rollover date marker was at Fri start of trading.
[2019-09-18 08:36:31]
Sierra Chart Engineering - Posts: 97763
We think we know why this happens. We will work on improving this, but we cannot guarantee that it is always going to work as expected in real time.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2021-07-26 20:39:58]
User155017 - Posts: 23
Hi,
some futures like corn or soy can skip some months when volume or open interest rule are used for roll over.
For example for corn now December is the front month according to volume roll, not September.
Is the continuous future constructed accordingly, or it always roll to the next calendar month, even it is not the most traded?
From the documentation I got the impression it can just roll to the next calendar months, and the same algorithm is applied backward to construct the continuous contract.

This is quite important, since the price series can change completely
Thanks
[2021-07-30 12:23:53]
User155017 - Posts: 23
Hi,
any reply? This very important to use continuous future data
[2021-08-02 10:02:54]
Sierra Chart Engineering - Posts: 97763
Continuous futures charts, do use only the contract months which are actively traded. There is a setting for this in the Global Symbol Settings:
https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php

The setting is:
Continuous Contract Months:
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2021-08-02 10:03:43
[2021-08-04 00:06:46]
User155017 - Posts: 23
I m talking about active contracts indeed. Sometime the most traded contract can be far in the future. For example corn December is now the most traded, which does not mean earlier contracts are not actively traded, it just means have lower volume( while large volumes).
How are continuous future contracts constructed in these cases where there is a jump, even if all the intermediate contracs are actively traded?
Form the documentation it seems only the next month is used, so for example march would never be continued by december.
[2021-08-11 22:25:00]
User155017 - Posts: 23
Can you confirm if the algorithm rolls to next most traded instrument, or just ot the next calendar month its volume exceeds that of previous month?
For example now the front month for corn is December 2021, not july.
[2021-08-12 17:17:15]
User212764 - Posts: 484
Remove the contract month that isn't traded actively using Global Symbol Settings. Should work.
[2021-08-13 17:30:32]
Sierra Chart Engineering - Posts: 97763
What is the exact symbol of the chart you are referring to? We need to know the exact symbol.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.

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