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Direct MessagesDate/Time: Thu, 25 Apr 2024 17:28:49 +0000
[Locked] - Very Impressive!: New Continuous Futures Contract Feature
View Count: 10475
| [2013-12-25 03:10:05] |
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We are very grateful, that we have been able to complete the new Continuous Futures Contract functionality with back adjustments just before Christmas. We have released version 1064. To update select Help >> Download Prerelease. To utilize this functionality: 1. You need to have a futures contract chart opened. This cannot be a continuous contract symbol. It has to be a symbol which contains the specific month and year code. Like ESH4 2. Select Chart >> Chart Settings >> Advanced Settings. 3. Enable the Continuous Futures Contract option. 4. Enable the Back Adjust Continuous Contract Data option if you want to back adjust the prices. 5. Press OK. 6. All of the necessary data will be downloaded in the background and then when all the data is downloaded, if a download had to occur, the chart data from the files will be loaded into the chart. 7. Once the data has been downloaded, the process of loading the chart data into the chart, is dramatically faster than previously. Notes: -This feature currently works with Intraday charts. We will be working on adding support for this feature for Historical Daily charts in the next few days. -Another thing that needs to be said about this feature for it to work properly, is that it requires a solid market data backend/ server. This will be the case for almost all of the services except mainly for Interactive Brokers. If you are using Interactive Brokers you will need to use the Sierra Chart futures data feed: http://www.sierrachart.com/index.php?l=doc/SierraChartRealTimeFuturesStockDataFeed.php -If it is not clear already, the way that this feature works is that it works with the individual futures contract files and joins them together dynamically and performs the back adjustments, all in memory. In the past, we had thought that creating on the server side continuous futures contracts would deliver the best performance. However, you will see this feature works just as fast. And it has the major advantage that every time there is a futures contract rollover, you do not need to re-download the data since the back adjustments are performed dynamically in memory. 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: 2013-12-26 06:41:06
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| [2013-12-25 03:33:07] |
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We are working on the back adjustment algorithm and will have a new release out in about 30 minutes. Thanks to one user (Yonatan), he provided us good instructions. Update: We have the back adjustment calculations now done properly. They match IQ Feed. So we are good to go. Looking back on all this, we really wish we delivered this feature earlier and concentrated on it. It should have been done years ago. There is really so much for us to do, and it's hard to keep up. If you notice that sometimes we may be a little less responsive on the Support Board lately, for less than essential support requests, it is because there is greater focus on development because we know that is of the utmost importance which benefits all of our users. We will continue to work on getting done all of the essential features that need to be done. 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: 2013-12-25 04:03:06
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| [2013-12-25 03:57:05] |
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We have released a new version. At this time you can update with Help >> Download Prerelease. With our new market data feed: https://www.sierrachart.com/index.php?l=doc/SierraChartRealTimeFuturesStockDataFeed.php And these new features, this is really a game changer for us. You now have the ability to get everything you need, directly from Sierra Chart, at a good price. 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: 2013-12-25 04:03:51
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| [2013-12-25 07:41:56] |
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A user has pointed out a problem when using this feature when there are no rollover rules defined for the futures contract being charted. There are no rollover rules defined for CTS and Interactive Brokers. We are going to work on this in the next couple of days. 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 |
| [2013-12-25 07:50:41] |
| Zosimus - Posts: 345 |
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This is great news. Thank you so much SC team for your continuous responsiveness and development.
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| [2013-12-25 11:29:10] |
| C. Notes - Posts: 129 |
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Cheers!
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| [2013-12-25 21:12:44] |
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We will be adding the option to determine the rollover day based on a Date rule (currently how it is done) or based upon when most of the volume transitions to the next contract. We will get to this next week. Rollover rules are not defined for OEC or Rithmic either. Therefore, for many of the services, this new functionality is not going to work properly it. Rollover rules are defined for TransAct , TT and TD Ameritrade but only for the popular contracts. 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: 2013-12-25 21:13:20
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| [2013-12-25 21:52:17] |
| Zosimus - Posts: 345 |
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With Rithmic I see that I get a few RollOver rules that I can choose (On the Symbol settings window) For the equity Indexes eMinis I chose "Number of Calendar Days Before Friday Count Within Contract Month" To get results similar to the IQ back adjusted contract I chose : Number of Calendar days: 9 Friday Count Within Contract Month: 3 |
| [2013-12-25 22:34:17] |
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If you look at the image in this section you can see what we use: https://www.sierrachart.com/index.php?l=doc/doc_GlobalSymbolSettings.php#RolloverRule 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 |
| [2013-12-25 22:35:30] |
| Zosimus - Posts: 345 |
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Thanks.
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| [2013-12-25 22:53:50] |
| eagle - Posts: 92 |
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I believe the following rollover rules match the exchanges and/or convention. ES, NQ, R2000 and YM Number of Calendar Days Before Friday Count Within Contract Month Number Of Calendar Days: 8 Friday Count Within Contract Month: 3 6B, 6E, 6J and US Dollar Index Number Of Business Days Before Wednesday Count Within Contract Month Number Of Business Days: 7 Wednesday Count Within Contract Month: 3 ZB, ZF, ZN and ZT Number Of Business Days Before Contract Month Number Of Business Days: 1 |
| [2013-12-25 23:50:27] |
| Zosimus - Posts: 345 |
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The reason I use 9 days instead of 8 for the Index eMinis is: To the best of my knowledge (please correct me if I am wrong about this) If you look at the IQ back adjusted continuous contract of the ES you will see that the High of November 29th is 1806.25. If you use the 8 calendar days option you will get 1806.00for this high which is one tick lower. Using 9 Calendar Days will give you the correct 1806.25 and I also checked it against some other major swings on previous contracts. I think that the reason is that while the RollOver happens on the beginning of the Day session of the second Thursday of the month (8 days before the third friday), the gap is actually calculated according to the close or settlement at the end of the Wednesday day session. |
| [2013-12-25 23:59:40] |
| Sawtooth - Posts: 3976 |
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Rollover is actually the Thurs before the 2nd Friday, which is not always the 2nd Thurs. IQFeed does the rollover at the Wed evening Globex open (17:00 CT) |
| [2013-12-26 00:02:20] |
| Zosimus - Posts: 345 |
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Yes, and I think Wed evening requires 9 Calendar days instead of 8.
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| [2013-12-26 00:10:15] |
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Sierra Chart uses the open prices on rollover day to calculate the price difference. This seems to work well. We do not use the settlement prices because those are not a reliable method to calculate the price difference because of the special algorithm used by exchanges to calculate the settlement. Settlement will not provide an accurate calculation because these prices are not based upon trading at a specific point in time. We observed this clearly during testing. You can see a log of the back adjustment calculations being done in the Window >>Show/Hide Message Log. /ESH4 [C] 60 min #1: Download is complete for all contract months in chart. Proceeding with data load. | 2013-12-26 05:05:23
/ESH4 [C] 60 min #1: Performing continuous futures contract back adjustment calculations. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESM3 Open price on 2013-06-13 is 1610.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESU3 Open price on 2013-06-13 is 1605. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESM3 price difference to /ESU3 is -5.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESU3 Open price on 2013-09-12 is 1689.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESZ3 Open price on 2013-09-12 is 1683.25. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESU3 price difference to /ESZ3 is -6.5. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESZ3 Open price on 2013-12-12 is 1780.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESH4 Open price on 2013-12-12 is 1774.25. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: /ESZ3 price difference to /ESH4 is -6.5. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: Back adjust amount for symbol /ESM3 is -18.75. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: Back adjust amount for symbol /ESU3 is -13. | 2013-12-26 05:05:23 /ESH4 [C] 60 min #1: Back adjust amount for symbol /ESZ3 is -6.5. | 2013-12-26 05:05:23 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: 2013-12-26 10:10:50
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| [2013-12-26 00:29:50] |
| Zosimus - Posts: 345 |
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Thanks for clarifying this:-)
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| [2013-12-26 03:37:01] |
| ejtrader - Posts: 688 |
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SC team - Is it possible to "preserve" the actual contract price as part of roll-over? I mean is it possible to just join the contracts based on the expiration rules without altering/back adjusting individual contract prices. Thanks |
| [2013-12-26 06:40:44] |
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Yes. This is the default. In order to back adjust prices you need to enable the Back Adjust Continuous Contract Data option.
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 |
| [2013-12-26 11:07:21] |
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The attachment shows the new Continuous Futures Contract options coming out in the next release. Upon updating, you will need to select the desired option. The existing settings will not transfer over to the new setting. 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: 2013-12-26 11:08:12
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 2013-12-27_000617.png / V - Attached On 2013-12-26 11:06:59 UTC - Size: 12.89 KB - 584 views |
| [2013-12-26 16:57:53] |
| ejtrader - Posts: 688 |
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SC Team - If possible - would you please make the switchover date available through ACSIL when the continuous contracts chart option is used? Thanks |
| [2013-12-26 21:06:11] |
| vegasfoster - Posts: 444 |
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Waiting for the current version, but this looks pretty awesome. :)
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| [2013-12-26 21:35:09] |
| T44 - Posts: 363 |
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There are no rollover rules defined for CTS and Interactive Brokers. We are going to work on this in the next couple of days.
The attachment shows the new Continuous Futures Contract options coming out in the next release.
Upon updating, you will need to select the desired option. The existing settings will not transfer over to the new setting. Apologies. I've started two support requests for the two versions of the software I'm running as the continuous contracts have suddenly broken. Wasn't aware this was being developed. Can you please post applicable instructions for symbol reset and upgrade to latest release for CTS users when this is fixed. Thanks. |
| [2013-12-27 05:18:05] |
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Another problem we have discovered is that the back adjustment amounts are not correct when multipliers are used on the chart data. We are working through this now. Although it is possible there could be some cases we did not account for and there could be some continued problems we have to work out based on user problem reports. 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: 2013-12-27 05:18:18
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| [2013-12-27 07:30:41] |
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Another feature we will be adding related to continuous Futures Contracts is an option to show in the chart where there is a transition from one futures contract to the next. Possibly this will be on a timescale or shown as a vertical line at the particular Date-time where the transition occurs in the chart. Not totally certain at this point. We will get to this next week. 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: 2013-12-27 07:30:53
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| [2013-12-27 09:36:20] |
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OK, we think we have got everything perfected now in 1065. This is available for download. Let us know if there any issues. Historical Daily charts are done. Everything seems fine with them. To update select Help >> Download Prerelease. The most dramatic difference with this new feature, is the tremendously faster speed with loading continuous contracts. Especially historical Daily contracts. After the update be sure to check the new Chart >> Chart Settings >> Advanced Settings >> Continuous Contract option. With all of the updates to symbol settings, you may also want to reopen the chart, if there any problems. At this point, we will be removing the feature to join previous Intraday data through the Chart >> Perform Futures Contract Rollover window. There is no longer a need for that with the tremendously improved performance. 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: 2013-12-27 09:36:56
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