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Date/Time: Sun, 05 Dec 2021 23:57:54 +0000



Back adjusting confusion

[2021-10-28 03:03:52]
User19165 - Posts: 298
Hang Seng Index on HKFE is rolling monthly. I'm trying to adjust the chart drawings so they should be correctly inline with the backadjusted prices. I look at the message log and it looks odd. Please refer to the attached screenshot.

Chart settings continuous contract - date rule roleover, backadjusted

Detailed continuous logging set


1) HSI-202110 opening price on 2021-10-31 ?? How is that even possible, today is 2021-10-28
1) HSI-202110 I can't see any reference to where the 26050 price is coming from.
2) HSI-202111 price of 26007 is the AFTER HOURS open from 2 session of Tuesday. The roll is today, not last Tuesday.
Attachment Deleted.
imageMK-2021-10-28_154504.png / V - Attached On 2021-10-28 03:03:17 UTC - Size: 8.34 KB - 23 views
[2021-10-28 23:29:29]
Sierra_Chart Engineering - Posts: 2146
You can try to re-download that historical daily data which the open prices come from following the instructions here:
https://www.sierrachart.com/index.php?page=doc/ContinuousFuturesContractCharts.html#ReDownloadingContinuousFuturesContractData

1) HSI-202110 opening price on 2021-10-31 ?? How is that even possible, today is 2021-10-28
If this date is not available in the file it will use the closest matching date.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation
[2021-10-29 00:25:10]
User19165 - Posts: 298
Re-downloading yesterday did not make a difference.

Now today the backadjusting amount reported in the message log is totally different to yesterday. This really needs to be consistent. The day of the roll was yesterday. Every day after that and including the roll day should report the same value. This has just messed up all my back adjusted drawings.

This is a very serious problem for every trader that uses drawings historical days prior to a roll.

The reply from support shows me that they didn't even look into the problem and just responded with the standard MS Windows like response to turn it off and then on again.
[2021-10-29 08:02:11]
Sierra Chart Engineering - Posts: 98808
There is definitely nothing wrong with the Sierra Chart Continuous Futures Contract chart functionality.

When you report a problem like this, we have to tell you to re-download the data in case there is any issue with the Daily Data. For example, missing data, or data that is not up-to-date.

And you may have also changed, the rollover settings for that symbol which is the cause of the problem.

Therefore, disable the use of custom symbols values:
https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#DisablingCustomSymbolSettings

This is what we see:

HSIX21-HKFE [CB] Daily #1 | Reloading chart. | 2021-10-29 03:53:50.000
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIF21-HKFE to next contract occurs at 2021-01-28. | 2021-10-29 03:53:50.000
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIG21-HKFE to next contract occurs at 2021-02-25. | 2021-10-29 03:53:50.000
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIH21-HKFE to next contract occurs at 2021-03-30. | 2021-10-29 03:53:50.001
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIJ21-HKFE to next contract occurs at 2021-04-29. | 2021-10-29 03:53:50.001
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIK21-HKFE to next contract occurs at 2021-05-28. | 2021-10-29 03:53:50.001
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIM21-HKFE to next contract occurs at 2021-06-29. | 2021-10-29 03:53:50.001
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIN21-HKFE to next contract occurs at 2021-07-29. | 2021-10-29 03:53:50.002
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIQ21-HKFE to next contract occurs at 2021-08-30. | 2021-10-29 03:53:50.002
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIU21-HKFE to next contract occurs at 2021-09-29. | 2021-10-29 03:53:50.002
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIV21-HKFE to next contract occurs at 2021-10-28. | 2021-10-29 03:53:50.002
HSIX21-HKFE [CB] Daily #1 | Date rule based rollover from HSIX21-HKFE to next contract occurs at 2021-11-29. | 2021-10-29 03:53:50.002


HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIX21-HKFE.dly. Date: 2021-10-28, Price: 25414. Date: 2021-10-29, Price: 25414 | 2021-10-29 03:53:50.016
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIV21-HKFE.dly. Date: 2021-09-29, Price: 24515. Date: 2021-10-27, Price: 25640 | 2021-10-29 03:53:50.018
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIU21-HKFE.dly. Date: 2021-08-30, Price: 25423. Date: 2021-09-28, Price: 24476 | 2021-10-29 03:53:50.020
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIQ21-HKFE.dly. Date: 2021-07-29, Price: 26203. Date: 2021-08-27, Price: 25366 | 2021-10-29 03:53:50.022
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIN21-HKFE.dly. Date: 2021-06-29, Price: 28846. Date: 2021-07-28, Price: 25384 | 2021-10-29 03:53:50.024
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIM21-HKFE.dly. Date: 2021-05-28, Price: 28986. Date: 2021-06-28, Price: 29224 | 2021-10-29 03:53:50.026
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIK21-HKFE.dly. Date: 2021-04-29, Price: 29107. Date: 2021-05-27, Price: 29185 | 2021-10-29 03:53:50.032
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIJ21-HKFE.dly. Date: 2021-03-30, Price: 28525. Date: 2021-04-28, Price: 29026 | 2021-10-29 03:53:50.034
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIH21-HKFE.dly. Date: 2021-02-25, Price: 29960. Date: 2021-03-29, Price: 28385 | 2021-10-29 03:53:50.036
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIG21-HKFE.dly. Date: 2021-01-28, Price: 28556. Date: 2021-02-24, Price: 29696 | 2021-10-29 03:53:50.038
HSIX21-HKFE [CB] Daily #1 | Price data for daily data file HSIF21-HKFE.dly. Date: 2020-12-30, Price: 27286. Date: 2021-01-27, Price: 29279 | 2021-10-29 03:53:50.040
HSIX21-HKFE [CB] Daily #1 | Symbols used for continuous contract chart: | 2021-10-29 03:53:50.040
HSIF21-HKFE | 2021-10-29 03:53:50.040
HSIG21-HKFE | 2021-10-29 03:53:50.040
HSIH21-HKFE | 2021-10-29 03:53:50.040
HSIJ21-HKFE | 2021-10-29 03:53:50.040
HSIK21-HKFE | 2021-10-29 03:53:50.040
HSIM21-HKFE | 2021-10-29 03:53:50.040
HSIN21-HKFE | 2021-10-29 03:53:50.040
HSIQ21-HKFE | 2021-10-29 03:53:50.040
HSIU21-HKFE | 2021-10-29 03:53:50.041
HSIV21-HKFE | 2021-10-29 03:53:50.041
HSIX21-HKFE | 2021-10-29 03:53:50.041
HSIX21-HKFE [CB] Daily #1 | Performing continuous futures contract back adjustment calculations. | 2021-10-29 03:53:50.041
HSIX21-HKFE [CB] Daily #1 | HSIF21-HKFE Open price on 2021-01-28 is 29293. | 2021-10-29 03:53:50.042
HSIX21-HKFE [CB] Daily #1 | HSIG21-HKFE Open price on 2021-01-28 is 29289. | 2021-10-29 03:53:50.042
HSIX21-HKFE [CB] Daily #1 | HSIF21-HKFE price difference to HSIG21-HKFE is -4. | 2021-10-29 03:53:50.042
HSIX21-HKFE [CB] Daily #1 | HSIG21-HKFE Open price on 2021-02-25 is 29712. | 2021-10-29 03:53:50.043
HSIX21-HKFE [CB] Daily #1 | HSIH21-HKFE Open price on 2021-02-25 is 29613. | 2021-10-29 03:53:50.044
HSIX21-HKFE [CB] Daily #1 | HSIG21-HKFE price difference to HSIH21-HKFE is -99. | 2021-10-29 03:53:50.044
HSIX21-HKFE [CB] Daily #1 | HSIH21-HKFE Open price on 2021-03-30 is 28382. | 2021-10-29 03:53:50.047
HSIX21-HKFE [CB] Daily #1 | HSIJ21-HKFE Open price on 2021-03-30 is 28351. | 2021-10-29 03:53:50.048
HSIX21-HKFE [CB] Daily #1 | HSIH21-HKFE price difference to HSIJ21-HKFE is -31. | 2021-10-29 03:53:50.048
HSIX21-HKFE [CB] Daily #1 | HSIJ21-HKFE Open price on 2021-04-29 is 29045. | 2021-10-29 03:53:50.049
HSIX21-HKFE [CB] Daily #1 | HSIK21-HKFE Open price on 2021-04-29 is 28867. | 2021-10-29 03:53:50.049
HSIX21-HKFE [CB] Daily #1 | HSIJ21-HKFE price difference to HSIK21-HKFE is -178. | 2021-10-29 03:53:50.049
HSIX21-HKFE [CB] Daily #1 | HSIK21-HKFE Open price on 2021-05-28 is 29165. | 2021-10-29 03:53:50.051
HSIX21-HKFE [CB] Daily #1 | HSIM21-HKFE Open price on 2021-05-28 is 29055. | 2021-10-29 03:53:50.052
HSIX21-HKFE [CB] Daily #1 | HSIK21-HKFE price difference to HSIM21-HKFE is -110. | 2021-10-29 03:53:50.052
HSIX21-HKFE [CB] Daily #1 | HSIM21-HKFE Open price on 2021-06-29 is 29243. | 2021-10-29 03:53:50.056
HSIX21-HKFE [CB] Daily #1 | HSIN21-HKFE Open price on 2021-06-29 is 29159. | 2021-10-29 03:53:50.056
HSIX21-HKFE [CB] Daily #1 | HSIM21-HKFE price difference to HSIN21-HKFE is -84. | 2021-10-29 03:53:50.056
HSIX21-HKFE [CB] Daily #1 | HSIN21-HKFE Open price on 2021-07-29 is 25389. | 2021-10-29 03:53:50.058
HSIX21-HKFE [CB] Daily #1 | HSIQ21-HKFE Open price on 2021-07-29 is 25330. | 2021-10-29 03:53:50.058
HSIX21-HKFE [CB] Daily #1 | HSIN21-HKFE price difference to HSIQ21-HKFE is -59. | 2021-10-29 03:53:50.058
HSIX21-HKFE [CB] Daily #1 | HSIQ21-HKFE Open price on 2021-08-28 is 25360. | 2021-10-29 03:53:50.058
HSIX21-HKFE [CB] Daily #1 | HSIU21-HKFE Open price on 2021-08-30 is 25252. | 2021-10-29 03:53:50.059
HSIX21-HKFE [CB] Daily #1 | HSIQ21-HKFE price difference to HSIU21-HKFE is -108. | 2021-10-29 03:53:50.059
HSIX21-HKFE [CB] Daily #1 | HSIU21-HKFE Open price on 2021-09-29 is 24489. | 2021-10-29 03:53:50.063
HSIX21-HKFE [CB] Daily #1 | HSIV21-HKFE Open price on 2021-09-29 is 24455. | 2021-10-29 03:53:50.063
HSIX21-HKFE [CB] Daily #1 | HSIU21-HKFE price difference to HSIV21-HKFE is -34. | 2021-10-29 03:53:50.063
HSIX21-HKFE [CB] Daily #1 | HSIV21-HKFE Open price on 2021-10-28 is 25584. | 2021-10-29 03:53:50.064
HSIX21-HKFE [CB] Daily #1 | HSIX21-HKFE Open price on 2021-10-28 is 25555. | 2021-10-29 03:53:50.064
HSIX21-HKFE [CB] Daily #1 | HSIV21-HKFE price difference to HSIX21-HKFE is -29. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIF21-HKFE is -736. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIG21-HKFE is -732. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIH21-HKFE is -633. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIJ21-HKFE is -602. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIK21-HKFE is -424. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIM21-HKFE is -314. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIN21-HKFE is -230. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIQ21-HKFE is -171. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIU21-HKFE is -63. | 2021-10-29 03:53:50.065
HSIX21-HKFE [CB] Daily #1 | Back adjust amount for symbol HSIV21-HKFE is -29. | 2021-10-29 03:53:50.065
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2021-10-29 11:34:23]
User19165 - Posts: 298
As I wrote today, the back adjusting recommended value is different from yesterday (the actual day of the roll). You cannot see the problem today. The problem occurs on the rollover day every single month. Yesterday did not read -29, it read -43 as I posted in my screenshot of the message log.

Rollover method for the contract is set to 1 business day before the last business day of the month -- which is correct. Chart is set to continuous contract - date based rollover back adjusted
Date Time Of Last Edit: 2021-10-29 11:42:38
[2021-10-30 00:37:29]
User19165 - Posts: 298
You posting the message log from the day AFTER the roll is meaningless. In my initial screenshot you can see the open price that sierra is referencing for the roll adjustment on the day of the rollover. You can see that the price is the open price from two after hours sessions prior. It should instead be the most recent open price of the immediately previous after hours session.

As a trader, I am going to be adjusting all my drawings on the day of the rollover only. After I make those adjustments, it would be a completely sane and logical assumption that all subsequent days sierra would report the exact same adjustment value.

Because it is a monthly roll, the cumulative adjustment errors on drawings from 5-6 months could potentially be quite large.
[2021-11-25 01:05:09]
User19165 - Posts: 298
Has this been addressed? Rollover on Monday and I hope this works as it should.
Date Time Of Last Edit: 2021-11-25 01:09:08
[2021-11-25 03:13:38]
Sierra Chart Engineering - Posts: 98808
The issue must have to do with the historical daily data for Hong Kong futures not being current at the time of the rollover. This we have no control over. Therefore, the Continuous Futures Contract functionality cannot work correctly for Hong Kong futures. There simply is no further help we can provide.

There is nothing further we are going to do. There is nothing for us to address because it is not within our control and there is no worth with investing anything in that exchange any longer. You have to work with the data that is provided as is. There is no longer any further support we will provide.

Please do not post further on this. And if you have to find another source for Hong Kong futures data then do that.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2021-11-25 03:13:53

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