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Direct MessagesDate/Time: Thu, 25 Apr 2024 02:11:24 +0000
Problem with rolling over from June to Sept. contract using volume based option
View Count: 1068
| [2014-06-12 23:31:04] |
| Shelby Cobra - Posts: 22 |
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For years i have manually rolled my Equities Contracts on the beginning of Friday's trading day (6pm EST), being that the volume switch from the old contract to the new contract usually happens about friday morning. My problem is when using the [CV] volume based option for rolling the contract, it puts Sept. data for Thursday's trading, when on thursday June is still the volume leader all day. I tried to using all the other options (date rule, CBV, CB) and all still roll the chart beginning of thursday, shouldn't [CV- volume based rollover] be on friday or when volume switches friday morning? Basically all i'm looking for is when i roll my contracts from June to Sept., on the beginning of friday's trade day, i want it to keep thursdays data of the June contract. Is this possible? Thank you for time in this matter.
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| [2014-06-12 23:43:52] |
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What symbol specifically? So we can test this.
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 |
| [2014-06-13 00:26:20] |
| Shelby Cobra - Posts: 22 |
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YMM4 to YMU4, so far. haven't rolled anything else tonight.
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| [2014-06-13 00:29:42] |
| Shelby Cobra - Posts: 22 |
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also when rollover this chart in YM, it is a tick (trades) based chart, if that helps.
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| [2014-06-13 02:05:04] |
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This is answered at number 7 here: http://www.sierrachart.com/index.php?l=doc/doc_ContinuousFuturesContractCharts.html#Notes 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 |
| [2014-06-13 13:30:25] |
| Shelby Cobra - Posts: 22 |
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my problem still remains for the YM, which is sept. contract data is being display for thursday trade day. When i rolled ES last night and reload & Recalculate after 12am EST last night, the chart replaces thurday data with June contact (since higher volume was in June), so all is well in the ES. Basically i fixed ES, but YM is still displaying Sept. data for thursday when volume based rollover rules state that i should be displaying june's contract for thursday. Why is this happening, their seems to be a problem here This is from your website- (Continuous Futures Contract - Volume Based Rollover: This option will create a Continuous Futures Contract chart and the transition date from one futures contract to the next is determined by when the daily volume becomes greater from one contract to the next at a particular day. At that particular day, the rollover occurs. This method is preferred for commodity futures which do not have a very definite calendar-based rollover rule and the rollover date can vary from one rollover to the next.) Basically all i'm looking for is for YM to rollover thursday night at midnight, instead of wednesday at midnight. this would be the correct way volume based rollover should be, am i correct on this? Sierra is a wonderful charting package, but the only problem i have ever had is with rollover. Sorry for the problem. |
| [2014-06-13 16:54:52] |
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It works properly for us, refer to this image: http://www.sierrachart.com/image.php?l=1402678445462.png Make sure you reload the chart with Chart >> Reload and Recalculate. If there still is a problem we recommend going to File >> New/Open Historical Chart. Delete the June and September 2014 YM files. Press Cancel and then go to the chart and select Chart >> Reload and Recalculate. 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: 2014-06-13 16:56:07
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