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Direct MessagesDate/Time: Tue, 16 Apr 2024 05:21:24 +0000
Continuous future data for different months
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| [2021-07-14 22:52:28] |
| Good Man - Posts: 5 |
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In order to back-test calendar spreads strategies it is necessary to use different continuous future time series, one for the front month, and others for the following months. This can be done with Trade Station or with other services such as Quandl/SCF https://www.quandl.com/databases/SCF. I have read the documentation (Continuous Futures Contract Charts) and it is written: "11. Make certain the Symbol is set to the current futures contract month assuming that you want the latest contract month at the end of the chart. If the Symbol is set to a further forward futures contract symbol that is not currently actively traded, then this can cause a problem with the construction of the chart." 1)What is meant by "current futures contract month"? 2)Are following (after front) months continuous futures supported? Based on the above it seems not, and I tried comparing to TradeStation data or Interactive Broker continuous future data, I get different data, suing the same rollover/adjustment rules. 3)The problem is that the notion of current month depends on the rollover method, and for example the most liquid corn future at the time of writing this post is December 21, not July 21, which is presumably what is meant by current month. 4)Can I download via API the expired/active future data to construct my own continuous future series for the different months(front and following)? In general, is there a way to make some API request of the historical data? 5) On the same page it is also written "As of January 1, 2021, the Continuous Futures Contract Chart feature is not supported when using Interactive Brokers, CQG, Rithmic, CTS, Gain Capital unless you are using one of the Sierra Chart Real-time Exchange Data Feeds with those services which will provide the necessary data for this feature. " I am interested in historical continuous futures data on exchanges not supported by Denali, but only CQG. The historical and continuous future data provided by SC is reliable for those exchanges? Thanks |
| [2021-07-19 16:02:44] |
| Sierra_Chart Engineering - Posts: 13939 |
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Our recommendation is to use the functionality documented here: Continuous Futures Contract Charts Set the symbol in the chart, to what you want, and when it is set to be a Continuous Futures Contract chart, it will load in the prior contract months. If everything works as intended then good. If not, then what you are looking to do is not well supported. And we cannot provide any further help. 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 Date Time Of Last Edit: 2021-07-19 16:03:18
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