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Continuous Futures Volume Based Rollover Back Adjusted

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[2014-03-13 16:14:24] #1 [Go To First Post]
nth - Posts: 46
I must have a mental block as to how to get it right. I'm a longtime subscriber, love SC, it's a great program but continuous futures data rollover feature I might get right once out of 4 quarters. If I get it right I have no idea what I've done differently and it seems like the instructions change every time I do it? I just followed instructions at http://www.sierrachart.com/index.php?l=doc/doc_ContinuousFuturesContractCharts.html I have the latest SC 1107. I use Barchart for my data vendor. I need to rollover from YMH14 to YMM14. I wish to have at least 100 trading days of intraday history and have it set to load 200 days. IOW, I routinely need the current and prior contract months. I have a YMH14.scid file showing a size of over 28000 KB. The resulting YMM14.scid file after performing these instructions is 230KB. File data naturally is YMM14 only going back to 2/10/14. What am I doing wrong or what am I missing? Thx for your patience, nth

[2014-03-13 17:23:45] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Re-download the data for the chart following the instructions here: http://www.sierrachart.com/index.php?l=doc/doc_ContinuousFuturesContractCharts.html#ReDownloading If there still is a problem provide an image of the chart, by following these instructions: https://www.sierrachart.com/index.php?l=PostingInformation.php#Image 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

[2014-03-13 18:02:04] #3 [Go To First Post]
nth - Posts: 46
ReDownloading gave me data that wasn't even close to YMM14 which is currently trading around 16100 but displayed 14400? I deleted that chart and am back to YMH14 file now running. I tried describing what I want and the instructions I followed. IOW, I can not tell if the instructions I was following will even accomplish what I want. Obviously I did not get what I expected. Maybe if u can point me to the simplest method to having continuous futures charts, as the procedures I have been attempting for years have been so difficult? This is what I desire: Rollover from contract to contract, in this case from YMH14 to YMM14. I wish to have at least 100 trading days of "back adjusted" intraday history. IOW, I routinely need the current and prior contract months. Sorry I am so confused by this rollover procedure. It there a way to avoid the rollover entirely? A way to have current data with appropriate price adjustment automatically? Thx again for your patience. nth

[2014-03-13 18:18:22] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The Continuous Futures Contract feature should work very well with little trouble. Open a chart for YMM14 and provide an image of it: https://www.sierrachart.com/index.php?l=PostingInformation.php#Image 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

[2014-03-13 18:27:24] #5 [Go To First Post]
nth - Posts: 46
http://www.sierrachart.com/image.php?l=1394735177662.png

[2014-03-13 19:07:25] #6 [Go To First Post]
nth - Posts: 46
I think I may have done it however there remains a file size mystery? I now notice YMM14 chart displays data back to beginning of set date range of 12/9/13 but the symbol at 5 min chart top now shows YMM14[CBV] and looking at the YMM14.scid file the size seems way too small @ only 414KB? When I make another 1 min chart I wish the same YMM14 data back to 12/9/13 but unable to find a new YMM14.scid that contains that data? I can change the time from 5 mins to 1 min and back to whatever minutes on the "converted" chart YMM14[CBV], but creating additional 1, 15, 30 minute charts I don't have the [CBV] showing? Is there another data file for the YMM14[CBV] Chart? If it is not an SCID file then I have another problem with third party addin!? Help? nth

[2014-03-13 19:26:32] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
You need to enable the Continuous Futures Contract feature on all of the charts where you want to have continuous futures contract data. When you use that feature, multiple data files are loaded into the chart. So you cannot just look at the size of one of them. And please, the size of the files is not really relevant to us. If there is something not right with the chart, that is what we need to know about. 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: 2014-03-13 20:41:00

[2014-03-13 20:18:54] #8 [Go To First Post]
nth - Posts: 46
I have no idea where to "Continuous Futures Contract feature on all of the charts". But even so, I read in SC Notes section: "The advantage of this is that if you are back adjusting the data, you do not have to re-download the entire historical data for the chart, at the time of a rollover to get updated back adjusted data, since the back adjustment is done dynamically in memory. The original prices are also preserved and never modified in the chart data file. Therefore, any changes to back adjustment calculations can be dynamically done without actually modifying data." IOW, my third party addon is unable to access the modified data in an scid file if I understand correctly. If memory serves, this is why I never went this auto route in years past and have struggled with one of the other SC rollover approaches that do modify the data in the scid file. What then is my next best SC option in rolling over for dummies, i.e., me? The simplest method to have 100 futures trading days back adjusted volume roll over? Thx, nth

[2014-03-13 20:29:05] #9 [Go To First Post]
nth - Posts: 46
Oooops, that quote from Notes should read "enable Continuous Futures Contract feature on all of the charts". But even so, I read in SC Notes section: "The advantage of this is that if you are back adjusting the data, you do not have to re-download the entire historical data for the chart, at the time of a rollover to get updated back adjusted data, since the back adjustment is done dynamically in memory. The original prices are also preserved and never modified in the chart data file. Therefore, any changes to back adjustment calculations can be dynamically done without actually modifying data."

[2014-03-13 20:42:48] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
IOW, my third party addon is unable to access the modified data in an scid file if I understand correctly. If memory serves, this is why I never went this auto route in years past and have struggled with one of the other SC rollover approaches that do modify the data in the scid file. OK now we understand what you are looking for. You could use the Edit >> Join Intraday Data function and then after that use Edit >> Adjust Data to adjust the prices. This way you will have a single file. 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

[2014-03-13 21:11:47] #11 [Go To First Post]
nth - Posts: 46
Ah Hah! "Join"!!! Thx! That's the sucker I used once upon a time. Sorry I couldn't remember that... only do this 4 times a year... not often enuf to remember and I take horrible notes, but I have updated my notes as of today. Thx much for hanging in there with me. I appreciate it! Best, nth

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