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Direct MessagesDate/Time: Fri, 03 May 2024 05:16:36 +0000
Volume based rollovers and ACSIL
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| [2021-02-10 19:09:37] |
| User987654 - Posts: 65 |
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Hi, I want to automatically roll my positions (ie. if long, sell current month/buy next month) over to the new contract when the chart rolls to the new contract. Is there a flag or function in ACSIL that indicates when the chart rolls over to the next contract? I don't need to monitor it all the time so the "within 4 days" rule is totally fine. Since this analysis is already built into SC, I am hoping that you will create a flag for it if it doesn't exist. I am an amateur when it comes to programming in C++, but if the flag can't be added, can you please point me to the right functions to use to build it myself? Thank you |
| [2021-02-12 22:51:59] |
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You just have to check for the change of symbol. You can remember the prior symbol in a persistent string: sc.GetPersistentSCString() 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 |
| [2021-02-14 16:37:22] |
| User987654 - Posts: 65 |
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Thanks, that works well. Last question, for the volume based rollover (Detect Rollover Of Current Futures Contracts Symbols Based On Real Time Volume), it says it compares the daily volume for the front and next month contract, does it do this at the end of the trading day for the given asset (ie. for Nymex WTI, 17:00 ET) or is it a set time for all assets? Reason I ask is I don't want to roll when the markets are very thin, so if it is at the end of the trading day, I will set a timer so it rolls during more liquid hours. Thanks |
| [2021-02-16 12:36:41] |
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The monitoring should be something like every minute. We would have to check though.
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 |
| [2021-02-22 15:29:38] |
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The interval for checking if a symbol is expired based on volume, occurs every 10 minutes. Documentation has been updated with this information. 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: 2021-02-22 15:29:46
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