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Direct MessagesDate/Time: Fri, 19 Apr 2024 03:25:40 +0000
Rollover based on volume too early
View Count: 849
| [2021-06-11 10:40:07] |
| joshtrader - Posts: 439 |
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It seems I go through this once per rollover (quarterly), and I dread it each time. Please tell me if I'm doing something wrong here. I've posted a chart which has the continuous option enabled, volume-based back-adjusted rollover. For two symbols (NQ and RTY), the chart is rolling on June 10, showing data for that day from the September contract. For ES and YM, it works as expected and is showing June 10 data from the June contract. The way I understand, rollover based on volume uses the volume found in the daily chart. Here are the entries for June 10: F.US.ENQM21: (NQ, Jun 21) 2021/06/10, 13817.00000000, 13976.50000000, 13726.00000000, 13959.75000000, 492336, 226362 F.US.ENQU21: (NQ, Sep 21) 2021/06/10, 13809.25000000, 13966.25000000, 13716.25000000, 13950.75000000, 53142, 30188 So, a chart of Sep should show June 10 data from the Jun contract, not Sep. What's going on? I have attached ES, to show that it is rolling over on Jun 11, and NQ, incorrectly rolling over on Jun 10. I have displayed the rollover date for easy comparison. Date Time Of Last Edit: 2021-06-11 10:59:44
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nqu.png| [2021-06-13 04:35:06] |
| Sierra_Chart Engineering - Posts: 14006 |
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The problem is very simply that the NQ chart is set to the September contract and that is not the active contract month. You need to change it back to June. This is explained at item 3 here: Continuous Futures Contract Charts: Incorrect Rollover Date 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
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