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Date/Time: Fri, 29 Mar 2024 11:27:01 +0000



Volume Based vs Data RuleContinuous Contract

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[2014-03-07 20:21:02]
amblizniak - Posts: 6
Happy Friday,

I ran into a couple of issues this morning with a client when looking at charts of Natural Gas (NGJ4). We were looking back at February 24th. The high when loading back at volume Based was 5.209 while when loading up a date rule, there is gap from February 21st to February 25th and the high gets to 6.400.

Why is there such a big discrepancy between the date rules and volume based?
[2014-03-07 22:20:31]
Sierra Chart Engineering - Posts: 104368
In either case, you did you choose one of the back adjusted Continuous Futures Contract options?
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

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[2014-03-10 12:21:45]
amblizniak - Posts: 6
I chose back adjusted for both of them. Going through them all, only the Volume Based Back Adjusted resemble anything close to the contract if you had picked "none."

Looking at a historical chart from the CME, they have a high of 5.210 as well, not 6.400.0
[2014-03-10 17:02:03]
Sierra Chart Engineering - Posts: 104368
You will want to use the one of the Volume-based continuous futures contract rollover options. That works best for commodity futures since it is not possible to define a precise rollover rule since there is no precise rollover date-based rule.

Unless you know what it should be for natural gas? Currently we have it set to 4 business days before the delivery month.
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: 2014-03-10 17:04:06

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