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Direct MessagesDate/Time: Fri, 26 Apr 2024 08:40:17 +0000
Back adjusting confusion
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| [2021-10-28 03:03:52] |
| User19165 - Posts: 346 |
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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.  MK-2021-10-28_154504.png / V - Attached On 2021-10-28 03:03:17 UTC - Size: 8.34 KB - 154 views |
| [2021-10-28 23:29:29] |
| Sierra_Chart Engineering - Posts: 14092 |
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You can try to re-download that historical daily data which the open prices come from following the instructions here: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data 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. 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 |
| [2021-10-29 00:25:10] |
| User19165 - Posts: 346 |
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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] |
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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: Global Symbol Settings: Disabling Custom Symbol Settings 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. 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 |
| [2021-10-29 11:34:23] |
| User19165 - Posts: 346 |
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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
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| [2021-10-30 00:37:29] |
| User19165 - Posts: 346 |
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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: 346 |
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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
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| [2021-11-25 03:13:38] |
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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. 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: 2021-11-25 03:13:53
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