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[Locked] - Very Impressive!: New Continuous Futures Contract Feature

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[2013-12-27 09:36:20] #25 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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

[2013-12-27 11:53:35] #26 [Go To First Post]
ejtrader - Posts: 688
SC Team - Thank you for these new developments. Related to the following comment - From what I see(with continuous contract option "unchecked" - it just "replaces" the symbol to the current contract and doesn't actually joins any intraday data. Unless there are any technical issues to keep this feature - would prefer this option to replace the symbol among multiple charts in the chartbook. Alternately - if you can provide the option to replace the symbol for all charts in a chartbook - similar to "perform Futures Contract Rollover" - without joining the contract data - that should be fine as well. Thanks 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. Date Time Of Last Edit: 2013-12-27 12:36:46

[2013-12-27 12:10:23] #27 [Go To First Post]
Outlander - Posts: 91
Any plans to get replay to work? Regards Outlander

[2013-12-27 18:14:42] #28 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The Chart >> Perform Futures Contract Rollover command will remain. Only the join function within it will be removed. The reason is we do not want users to use it because it combines data from another futures contract month into a file name with a different contract month. Data for each contract month should be in its own file for consistency reasons. And unless the user is using a Continuous Futures Contract symbol from the external Data service, we want a single method to create continuous contracts. Definitely Replay will be supported with the new Continuous Futures Contract options. We need to think about how to do this. We will do our best to get this out as soon as possible. For the time being, the way that you can accomplish replay is by using the Join Intraday Data function to combine multiple files together into a single file and replay that: https://www.sierrachart.com/index.php?l=doc/doc_JoinIntradayData.php 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 18:16:14

[2013-12-27 18:48:05] #29 [Go To First Post]
ejtrader - Posts: 688
SC Team - Thanks for the clarification. Makes sense now. The Chart >> Perform Futures Contract Rollover command will remain. Only the join function within it will be removed. The reason is we do not want users to use it because it combines data from another futures contract month into a file name with a different contract month. Data for each contract month should be in its own file for consistency reasons.

[2013-12-29 10:42:12] #30 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We discovered a problem where when using the volume rollover method and the necessary historical daily data files do not exist or are incomplete, they will not be downloaded. Will work on resolving this. 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

[2013-12-29 14:21:48] #31 [Go To First Post]
Zosimus - Posts: 345
Would it be possible to add the Replay functionality to the Back Adjusted Continuous contracts ?

[2013-12-29 19:43:46] #32 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes, this is coming. We will try to get to it as soon as we can. Probably not for about two weeks. 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: 2013-12-29 19:44:03

[2013-12-30 10:14:14] #33 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have released version 1067 which solves some issues with the Volume-based rollover. 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

[2013-12-30 16:43:36] #34 [Go To First Post]
infpz - Posts: 826
For the purpose of this feature can you please define "Back Adjusted"? Thanks, PZ

[2013-12-30 17:05:36] #35 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
A quick explanation is that back adjusting means that prior contract months in a Continuous Futures Contract chart are adjusted by the rollover gap which occurs from one contract month to the next. For example, if there is a price difference of -6.5 when rolling over from December to March ES futures, then the December futures prices are decreased by 6.5 in the chart. Here's an example of this: ESH14 [CB] 30 min #1: Performing continuous futures contract back adjustment calculations. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: ESU13 Open price on 2013-09-12 is 1689.75. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: ESZ13 Open price on 2013-09-12 is 1683.25. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: ESU13 price difference to ESZ13 is -6.5. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: ESZ13 Open price on 2013-12-12 is 1780.75. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: ESH14 Open price on 2013-12-12 is 1774.25. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: ESZ13 price difference to ESH14 is -6.5. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: Back adjust amount for symbol ESU13 is -13. \| 2013-12-30 12:05:05 ESH14 [CB] 30 min #1: Back adjust amount for symbol ESZ13 is -6.5. \| 2013-12-30 12:05:05 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: 2013-12-30 17:06:19

[2013-12-30 17:47:38] #36 [Go To First Post]
Paul.M - Posts: 113
TY, great feature

[2014-01-01 01:48:04] #37 [Go To First Post]
enemyspy - Posts: 304
thanks sierra chart team

[2014-01-01 02:41:51] #38 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
OK. 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

[2014-01-01 11:32:06] #39 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have released version 1069. This solves the volume-based rollover problem that occurs with some markets like CL. An issue with historical data downloading relating to continuous futures contracts, has been fixed as well. At this point, the Continuous Futures Contract feature is considered nearly complete. The only remaining item is replay support. 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

[2014-01-01 22:16:38] #40 [Go To First Post]
PTG - Posts: 57
Intraday data for 6E now goes back to July 11th, 2008. This is good. One difference I notice is that IQFeed apparently use the front month at the time and the SC feed doesn't, which leads to thin volume up until the rollover date of that contract. The volume of the SC continuous contract picks up from November. All this leads to a distortion of the long time volume profile relative to the one from DTN in the range from 1.2500-ish to 1.5860-ish. Is there something you can do about this, by e.g. providing more historical contracts ? (at least one more I reckon). Next question: I notice differences in shorter term volume profiles between SC and DTN on 6E, for example from Nov 1st to Nov 27th resulting in different VAH/VAL/POC values. Do you notice that as well, and if so, what then ? Next question: historical data now goes back to Sept 2003 (6E). IQFeed have more data, it goes back to Jan 4th, 1999. Are you going to make more historical data available ? Last question: I notice that 6B data goes back to Dec 13th 2010. Are you going to make more intraday data (as well as historical) available on other contracts too ? Wishing you all the best for 2014 !

[2014-01-02 01:06:58] #41 [Go To First Post]
Rino - Posts: 124
When you get a minute could you expound on - Volume Based Rollover as opposed to Date Rule Rollover. Also when you should use which one. Thanks Happy New Year!

[2014-01-02 10:22:16] #42 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will prepare detailed documentation for each one. Date-based rollover is faster and works fine for Stock index futures. Volume-based rollover is good for the commodity markets that do not have a definite rollover date. For performance reasons, we recommend date-based rollover, unless the results are not quite accurate. The Date-based rollover rules are set through Global settings >> Symbol Settings. 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

[2014-01-02 18:43:43] #43 [Go To First Post]
abrown8703 - Posts: 64
SC, to me this improvement in the continuous contract load speed is your best work to date. Cheers! To your continued success!

[2014-01-02 18:43:45] #44 [Go To First Post]
abrown8703 - Posts: 64
SC, to me this improvement in the continuous contract load speed is your best work to date. Cheers! To your continued success!

[2014-01-02 21:47:20] #45 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes it is. Is a dramatic improvement. One of the best features we have put out. 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

[2014-01-02 22:12:51] #46 [Go To First Post]
conr - Posts: 204
This is great! Thank you SC. Just out of curiosity, is SC under new ownership or management?

[2014-01-02 23:48:50] #47 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Descriptions for all of the available Continuous Futures Contract options can now be found at step 6 here: http://www.sierrachart.com/index.php?l=doc/doc_ChartSettings.html#ContinuousFuturesContract To answer the prior question, no there is not new management. We are just making a greater effort to complete long overdue development and provide market data services ourselves. 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: 2014-01-02 23:49:35

[2014-01-03 02:54:36] #48 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Intraday data for 6E now goes back to July 11th, 2008. This is good. One difference I notice is that IQFeed apparently use the front month at the time and the SC feed doesn't, which leads to thin volume up until the rollover date of that contract. The volume of the SC continuous contract picks up from November. All this leads to a distortion of the long time volume profile relative to the one from DTN in the range from 1.2500-ish to 1.5860-ish. Is there something you can do about this, by e.g. providing more historical contracts ? (at least one more I reckon). This is not clear for us. Please start a new thread and post an image of the chart. Clearly point out in the chart what you are referring to and the particular time range. Next question: I notice differences in shorter term volume profiles between SC and DTN on 6E, for example from Nov 1st to Nov 27th resulting in different VAH/VAL/POC values. Do you notice that as well, and if so, what then ? As long as you have a tick by tick data configuration: http://www.sierrachart.com/index.php?l=doc/doc_TickbyTickDataConfiguration.php And you are using the Sierra Chart futures market data feed, then what Sierra Chart is providing is definitely accurate. You can re-download the data to make sure you have the correct data. Last question: I notice that 6B data goes back to Dec 13th 2010. Are you going to make more intraday data (as well as historical) available on other contracts too ? We will load in more data for 6B. We will load in more data upon request for particular symbols. This thread should also not be used for a series of various questions. Please start a new one if you have any further questions. At this time, we are going to lock this thread from further postings. 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: 2014-01-03 05:14:11

[2014-01-03 05:16:54] #49 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Next question: historical data now goes back to Sept 2003 (6E). IQFeed have more data, it goes back to Jan 4th, 1999. Are you going to make more historical data available ? We think we misunderstood this question originally. We deleted the response. We had thought you were referring to Intraday data. Are you referring to Historical Daily data? If so, and if you are using the Continuous Futures Contract feature, then we know what is causing a limitation of how far back you can go. We will be removing that for users of the Sierra Chart Futures data feed. 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

[2014-01-05 10:38:17] #50 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
A question that has come up among several users is a limitation for 4 years with Historical Daily Continuous Contract charts. In 1071 this has been increased to 10 years. This may be subject to change based upon the number of queries to our historical data system and our cost of this. But for the time being we have increased it to 10 years. If you are using your own market data feed account, the Sierra Chart Real-time Futures data feed, then the years back limit is even higher. It is 20 years. 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: 2014-01-05 10:39:26

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