Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Thu, 25 Apr 2024 17:54:42 +0000
[User Discussion] - future contract rollover
View Count: 2531
| [2013-12-13 21:26:45] |
| SKY - Posts: 45 |
|
Hi assume i'm rolling to a new contract before expiration date of the about to expire contract for example i switched TODAY (Dec. 13, 2013) from YMZ3 to YMH4 (YMZ3 will expire on Dec. 20, 2013) I wonder on which date will the charts stop displaying the current contract and then will start displaying the successor contract I already notice that i MUST set short term charts (e.g. 3 days chart) to be continues in order to force it display the successor contract) in case i don't understand something pls clarify. many tnx. |
| [2013-12-13 22:13:50] |
| vegasfoster - Posts: 444 |
|
Are you using continuous contracts?
|
| [2013-12-13 22:38:20] |
| SKY - Posts: 45 |
|
yep. i need one of my charts to display more than 3 month duration so i must use "continuous" have another short term which doesn't need "continuous" but i'm forced to use it otherwise there will be differences between the 2 charts (e.g. 24 hours opening price) but more - how do i know where lies the boundary between the 2 contracts YMZ3 and YMH4 ? YMZ3 hasn't expired yet and the Y<H4 IS the current chart's instrument tnx |
| [2013-12-14 00:17:06] |
| vegasfoster - Posts: 444 |
|
I know it analyzes volume to decide where the rollover point will be. If I load 31 days, then on mine it rolls over YM at the end of 12/11, but we are using different data feeds, so we will likely get different results. I personally don't like how the continuous contracts work either, so I don't use them. I manually rollover each contract and include the previous 3 months of data. Chart>>Perform Futures Symbol Rollover>> then select the options I want. Until they change something, I think that's probably your best option. As far as the rollover point goes, I previously requested they add a line showing the rollover point, but it was not implemented. |
| [2013-12-14 00:31:00] |
| SKY - Posts: 45 |
|
tnx!
|
| [2013-12-14 02:25:40] |
| GPST10 - Posts: 139 |
|
Hello guys, I recommend SC to use strict protocol like this: "Thursday 12th at 8:30 am CST time from the December 2013 contract to the March 2014 contract" (Industry standard)- would eliminate long discrepancies regarding the topic. Who wants to force it otherwise can do it manually - is there any problems with that? Noticed myself difference when you watching historical charts and shorter time charts - charts gives different numbers - shouldn't do so. Date Time Of Last Edit: 2013-12-14 02:26:46
|
| [2013-12-14 10:17:58] |
| |
|
There are several things to understand here. For the current contract being charged in the chart, the rollover has to be done manually or it can be done automatically if you have enabled Chart >> Chart Settings >> Automatically Rollover Futures Symbol. If you are doing it manually, then you control the rollover. If you do it automatically, then it occurs on a specific date. For how that Date is determined, refer to the documentation for the Automatically Rollover Futures Contract option. For historical contracts loaded into the chart when using the Continuous Futures Contract feature, this is based on volume. We are going to change this to work off a particular date. We will also support a volume-based rollover. And also, the only case that there is an exact rollover date is in the case of stock index futures. For commodity futures, there is a variation. There most definitely is not a standard. Not at all. When it comes to the rollover, you need to do it manually to ensure it is done at the right time. Understand what you are charting and trading. The main purpose behind the Automatically Rollover Futures Contract option, is to cause a contract which is expired, to automatically rollover if it is expired when you open up a Chartbook. It is not meant to be relied upon to tell you when you should start trading another contract. This is your responsibility. If you do not reopen the Chartbook, the automatic rollover will not occur. 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: 2013-12-14 10:21:35
|
| [2013-12-14 14:07:46] |
| SKY - Posts: 45 |
|
<For the current contract being charged in the chart ... yep ... already known >If you are doing it manually, then you control the rollover. this is unclear. i control the switching day in the chart ... but it doesn't mean that the chart will display the new contract starting the date the switch between contracts has been implemented in the charts. this is exactly what i asked. how does SC behaves in case of manual rollover. when will it start displaying the new contract. after all the software logic can start it any other day before the manual switching date i think there should be an explicit mechanism thru which the SC user will define when start displaying the new contract. more may be it should be considered to add a tool tip or information piece at the caption which relates the current contract in case the chart is rolled back to a date where the old contract prices are displayed. >For historical contracts loaded into the chart when using the Continuous Futures Contract feature, this is based on volume. this is unclear. I thought that each contract is displayed between the predecessor expiration date to the own expiration date ... appreciate if can clarify what you have wrote >When it comes to the rollover, you need to do it manually to ensure ... i absolutely agree w/ your attitude. Pls advise about open issues above. tnx |
To post a message in this thread, you need to log in with your Sierra Chart account: