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Direct MessagesDate/Time: Tue, 30 Apr 2024 14:13:08 +0000
Rollover Methodology
View Count: 944
| [2019-09-14 09:29:11] |
| User864893 - Posts: 26 |
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Recently we had within the convergent community a discussion about the rollover methodology. SC uses the open prices on the rollover days to determine the rollover adjustment, which is for example for ESU19->ESZ19 = 1.25. However according to futurestrader71 the official way to roll is to use the settlement prices on the rollover day which would be 1.75 for the ES. Especially on charts with several rollovers the differences could add up which would lead to more inaccurate charts. Is there any chance that SC could offer a rollover methodology based on settlement prices. Thanks in advance |
| [2019-09-15 19:30:33] |
| User7097040000 - Posts: 13 |
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+1
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| [2019-09-16 08:42:04] |
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This is something that we definitely we will not change or add an option for and it is only going to create more support burden upon us. Settlement prices are not reliable for this purpose. Perhaps they could be reliable in the case of certain types of futures markets but in general, they are not a reliable technique to use. The final trade price for the last trading day could be used but that is not what exists in the historical daily data where the back adjustment data is obtained from. 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 08:45:09
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| [2019-09-16 08:59:40] |
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But you can alter the rollover amount for each individual contract month through a setting documented here: Continuous Futures Contract Charts: Controlling Rollover Amount for Back Adjustments So in the end you can accomplish what you want. 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 09:31:40
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