Support Board
Date/Time: Mon, 25 Nov 2024 04:31:00 +0000
Sierra keeps deleting some of the intraday chart files
View Count: 1961
| [2014-01-05 14:06:23] |
| Pawel_Szpak - Posts: 48 |
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Hi, I've had a strange issue crop up. For some reason, when loading my chartbook with a continuous contract on FGBL, Sierra keeps truncating 2 of the intraday files (FGBLH3 and FGBLU2) effectively making them empty. I've attached the message log and 2 images of my sierra chart folder. What I've done is as follows: 1) Start SC and connect to open e-cry. 2) Find symbol - open intraday chart for FGBLU2 and FGBLH3. The data downloads (see screen shot 1) 3) Disconnect from open e-cry 4) Open a chartbook which includes a intraday chart ranging all FGBL contracts FGBLM2 - FGBLH4 5) For some reason SC then truncates specifically the FGBLU2 and FGBLH3 files to zero length, but loads everything else ok. (screen shot 2) 6) Resulting continuous chart then has missing 3 month gaps where data from these 2 contracts should go (screen shot 3) Why is this happening? I can get around this gap by making sure I reload the continuous chart whilst connected to open e-cry, but sierra will still truncate and re-download data for those 2 files every time. This is an issue as I am making a manual adjustment to the data files to make sure the back-adjustments agree to a continuous chart from IQFeed (it doesn't by default). As these 2 files are continually deleted and redownloaded the adjustments for these 2 files don't "stick". Message Log for the above 6 steps follows below. Software version: 1068 | 2014-01-05 13:47:14 Usage end date: 2014-01-11 | 2014-01-05 13:47:14 Enabled for: Sierra Chart Historical Data Service. | 2014-01-05 13:47:14 Active service: Open E Cry | 2014-01-05 13:47:14 Time Zone: +00:00:00 (GMT+00BST+01,M3.5.0/01:00,M10.5.0/02:00) | 2014-01-05 13:47:14 2014-01-05 13:47:14 Local computer clock time | 2014-01-05 13:47:14 2014-01-05 13:47:14 GMT time | 2014-01-05 13:47:14 2014-01-05 13:47:14 Time zone adjusted time | 2014-01-05 13:47:14 Time difference to server time: 0 seconds. | 2014-01-05 13:47:14 Program path: C:\SierraChart\ | 2014-01-05 13:47:14 Data Files path: C:\SierraChart\Data\ | 2014-01-05 13:47:14 OS Version Number: 6.1 | 2014-01-05 13:47:14 Checking for new symbol settings for oec | 2014-01-05 13:47:14 Currently no data in file to display. Will start historical data download and real-time updates. File: C:\SierraChart\Data\FGBLU2.scid | 2014-01-05 13:47:30 Connecting to Open E Cry server: prod.openecry.com:9200... | 2014-01-05 13:47:31 HD Request # 2 - Downloading Intraday chart data for FGBLU2 to the file FGBLU2.scid. Service: oec | 2014-01-05 13:47:32 HD Request # 2 - Download start Date-Time: 00:00:00.0 | 2014-01-05 13:47:32 HD Request # 2 - Using server: ds5.sierracharts.com port 10149 | 2014-01-05 13:47:32 Resolved address ds5.sierracharts.com to IP 204.15.192.106 | 2014-01-05 13:47:32 The network socket is connected. | 2014-01-05 13:47:32 HD Request # 2 - Sending historical data logon request message. | 2014-01-05 13:47:32 HD Request # 2 - Requesting up to 365 days of Intraday data. Record interval: 0 | 2014-01-05 13:47:33 The network socket for historical data has been closed. | 2014-01-05 13:47:33 HD Request # 2 - Historical data for FGBLU2 is delayed because connection to main data feed is not present. Current data will be received upon connection. | 2014-01-05 13:47:33 HD Request # 2 - Received 0 records and wrote 0 records for FGBLU2 | 2014-01-05 13:47:33 HD Request # 2 - Intraday download COMPLETE for FGBLU2 | 2014-01-05 13:47:33 Open E Cry: Connected. | 2014-01-05 13:47:35 Open E Cry - Starting real-time market data updates for: FGBLU2 | 2014-01-05 13:47:35 HD Request # 3 - Downloading Intraday chart data for FGBLU2 to the file FGBLU2.scid. Service: oec | 2014-01-05 13:47:35 HD Request # 3 - Download start Date-Time: 00:00:00.0 | 2014-01-05 13:47:35 HD Request # 3 - Using server: ds3.sierracharts.com port 10149 | 2014-01-05 13:47:35 Resolved address ds3.sierracharts.com to IP 65.182.172.164 | 2014-01-05 13:47:35 The network socket is connected. | 2014-01-05 13:47:35 HD Request # 3 - Sending historical data logon request message. | 2014-01-05 13:47:35 Symbol Error - FGBLU2 is unknown, unavailable, or improperly formatted. | 2014-01-05 13:47:35 HD Request # 3 - Requesting up to 365 days of Intraday data. Record interval: 0 | 2014-01-05 13:47:35 HD Request # 3 - Decompressing data. | 2014-01-05 13:47:35 HD Request # 3 - Receiving Intraday data for FGBLU2 starting at 2012-06-07 07:01:05 | 2014-01-05 13:47:35 HD Request # 3 - Timestamp of first Intraday data file record written: 2012-06-07 07:01:05 | 2014-01-05 13:47:35 The network socket for historical data has been closed. | 2014-01-05 13:48:01 HD Request # 3 - Received 1499187 records from 2012-06-07 07:01:05 to 2012-09-06 11:29:52 (91.2 days) and wrote 1499187 records for FGBLU2 | 2014-01-05 13:48:01 HD Request # 3 - Intraday download COMPLETE for FGBLU2 | 2014-01-05 13:48:01 Real-time Intraday chart data file updates started for FGBLU2 | 2014-01-05 13:48:01 Currently no data in file to display. Will start historical data download and real-time updates. File: C:\SierraChart\Data\FGBLH3.scid | 2014-01-05 13:48:21 Open E Cry - Starting real-time market data updates for: FGBLH3 | 2014-01-05 13:48:22 HD Request # 4 - Downloading Intraday chart data for FGBLH3 to the file FGBLH3.scid. Service: oec | 2014-01-05 13:48:22 HD Request # 4 - Download start Date-Time: 00:00:00.0 | 2014-01-05 13:48:22 HD Request # 4 - Using server: ds5.sierracharts.com port 10149 | 2014-01-05 13:48:22 Resolved address ds5.sierracharts.com to IP 204.15.192.106 | 2014-01-05 13:48:22 Symbol Error - FGBLH3 is unknown, unavailable, or improperly formatted. | 2014-01-05 13:48:22 The network socket is connected. | 2014-01-05 13:48:22 HD Request # 4 - Sending historical data logon request message. | 2014-01-05 13:48:22 HD Request # 4 - Requesting up to 365 days of Intraday data. Record interval: 0 | 2014-01-05 13:48:22 HD Request # 4 - Decompressing data. | 2014-01-05 13:48:22 HD Request # 4 - Receiving Intraday data for FGBLH3 starting at 2012-12-06 14:55:32 | 2014-01-05 13:48:22 HD Request # 4 - Timestamp of first Intraday data file record written: 2012-12-06 14:55:32 | 2014-01-05 13:48:22 The network socket for historical data has been closed. | 2014-01-05 13:48:39 HD Request # 4 - Received 1194424 records from 2012-12-06 14:55:32 to 2013-03-07 11:29:57 (90.9 days) and wrote 1194424 records for FGBLH3 | 2014-01-05 13:48:39 HD Request # 4 - Intraday download COMPLETE for FGBLH3 | 2014-01-05 13:48:39 Real-time Intraday chart data file updates started for FGBLH3 | 2014-01-05 13:48:39 File >> Disconnect selected. | 2014-01-05 13:52:51 Disconnected from Open E Cry. | 2014-01-05 13:52:51 Date rule based rollover from FGBLH3 to next contract occurs at 2013-03-07 | 2014-01-05 13:52:54 Date rule based rollover from FGBLM3 to next contract occurs at 2013-06-06 | 2014-01-05 13:52:54 Date rule based rollover from FGBLU3 to next contract occurs at 2013-09-06 | 2014-01-05 13:52:54 Date rule based rollover from FGBLZ3 to next contract occurs at 2013-12-06 | 2014-01-05 13:52:54 Date rule based rollover from FGBLH4 to next contract occurs at 2014-03-06 | 2014-01-05 13:52:54 Symbols used for FGBLH4 continuous contract chart: | 2014-01-05 13:52:54 FGBLH3 | 2014-01-05 13:52:54 FGBLM3 | 2014-01-05 13:52:54 FGBLU3 | 2014-01-05 13:52:54 FGBLZ3 | 2014-01-05 13:52:54 FGBLH4 | 2014-01-05 13:52:54 Date rule based rollover from FGBLM2 to next contract occurs at 2012-06-07 | 2014-01-05 13:52:55 Date rule based rollover from FGBLU2 to next contract occurs at 2012-09-06 | 2014-01-05 13:52:55 Date rule based rollover from FGBLZ2 to next contract occurs at 2012-12-06 | 2014-01-05 13:52:55 Date rule based rollover from FGBLH3 to next contract occurs at 2013-03-07 | 2014-01-05 13:52:55 Date rule based rollover from FGBLM3 to next contract occurs at 2013-06-06 | 2014-01-05 13:52:55 Date rule based rollover from FGBLU3 to next contract occurs at 2013-09-06 | 2014-01-05 13:52:55 Date rule based rollover from FGBLZ3 to next contract occurs at 2013-12-06 | 2014-01-05 13:52:55 Date rule based rollover from FGBLH4 to next contract occurs at 2014-03-06 | 2014-01-05 13:52:55 Symbols used for FGBLH4 continuous contract chart: | 2014-01-05 13:52:55 FGBLM2 | 2014-01-05 13:52:55 FGBLU2 | 2014-01-05 13:52:55 FGBLZ2 | 2014-01-05 13:52:55 FGBLH3 | 2014-01-05 13:52:55 FGBLM3 | 2014-01-05 13:52:55 FGBLU3 | 2014-01-05 13:52:55 FGBLZ3 | 2014-01-05 13:52:55 FGBLH4 | 2014-01-05 13:52:55 Date rule based rollover from FGBLU3 to next contract occurs at 2013-09-06 | 2014-01-05 13:52:55 Date rule based rollover from FGBLZ3 to next contract occurs at 2013-12-06 | 2014-01-05 13:52:55 Date rule based rollover from FGBLH4 to next contract occurs at 2014-03-06 | 2014-01-05 13:52:55 Symbols used for FGBLH4 continuous contract chart: | 2014-01-05 13:52:55 FGBLU3 | 2014-01-05 13:52:55 FGBLZ3 | 2014-01-05 13:52:55 FGBLH4 | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: Performing continuous futures contract back adjustment calculations. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: FGBLU3 Open price on 2013-09-06 is 138.35. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: FGBLZ3 Open price on 2013-09-06 is 136.42. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: FGBLU3 price difference to FGBLZ3 is -1.9299999. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: FGBLZ3 Open price on 2013-12-06 is 139.76. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: FGBLH4 Open price on 2013-12-06 is 139.59. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: FGBLZ3 price difference to FGBLH4 is -0.17. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: Back adjust amount for symbol FGBLU3 is -2.0999999. | 2014-01-05 13:52:55 FGBLH4 [CB] 1 day #7: Back adjust amount for symbol FGBLZ3 is -0.17. | 2014-01-05 13:52:55 HD Request # 5 - Downloading Intraday chart data for FGBLH3 to the file FGBLH3.scid. Service: oec | 2014-01-05 13:52:55 HD Request # 5 - Truncating file to starting Date-Time. | 2014-01-05 13:52:55 HD Request # 5 - Error reading last record after truncate. Error: No record at index -1. | 2014-01-05 13:52:55 HD Request # 5 - Download start Date-Time: 2012-11-06 00:00:00.0 | 2014-01-05 13:52:55 HD Request # 5 - Using server: ds3.sierracharts.com port 10149 | 2014-01-05 13:52:55 Resolved address ds3.sierracharts.com to IP 65.182.172.164 | 2014-01-05 13:52:55 The network socket is connected. | 2014-01-05 13:52:55 HD Request # 5 - Sending historical data logon request message. | 2014-01-05 13:52:55 HD Request # 5 - Requesting up to 365 days of Intraday data. Record interval: 0 | 2014-01-05 13:52:55 The network socket for historical data has been closed. | 2014-01-05 13:52:55 HD Request # 5 - Historical data for FGBLH3 is delayed because connection to main data feed is not present. Current data will be received upon connection. | 2014-01-05 13:52:55 HD Request # 5 - Received 0 records and wrote 0 records for FGBLH3 | 2014-01-05 13:52:55 HD Request # 5 - Intraday download COMPLETE for FGBLH3 | 2014-01-05 13:52:55 HD Request # 5 - Reloading Intraday charts for symbol. | 2014-01-05 13:52:55 HD Request # 6 - Downloading Intraday chart data for FGBLU2 to the file FGBLU2.scid. Service: oec | 2014-01-05 13:52:55 HD Request # 6 - Truncating file to starting Date-Time. | 2014-01-05 13:52:55 HD Request # 6 - Error reading last record after truncate. Error: No record at index -1. | 2014-01-05 13:52:55 HD Request # 6 - Download start Date-Time: 2012-05-08 01:00:00.0 | 2014-01-05 13:52:55 HD Request # 6 - Using server: ds5.sierracharts.com port 10149 | 2014-01-05 13:52:55 Currently no data in file to display. Will start historical data download and real-time updates. File: C:\SierraChart\Data\FGBLH3.scid | 2014-01-05 13:52:55 Resolved address ds5.sierracharts.com to IP 204.15.192.106 | 2014-01-05 13:52:55 The network socket is connected. | 2014-01-05 13:52:55 HD Request # 6 - Sending historical data logon request message. | 2014-01-05 13:52:55 HD Request # 6 - Requesting up to 365 days of Intraday data. Record interval: 0 | 2014-01-05 13:52:55 The network socket for historical data has been closed. | 2014-01-05 13:52:55 HD Request # 6 - Historical data for FGBLU2 is delayed because connection to main data feed is not present. Current data will be received upon connection. | 2014-01-05 13:52:55 HD Request # 6 - Received 0 records and wrote 0 records for FGBLU2 | 2014-01-05 13:52:55 HD Request # 6 - Intraday download COMPLETE for FGBLU2 | 2014-01-05 13:52:55 HD Request # 6 - Reloading Intraday charts for symbol. | 2014-01-05 13:52:55 HD Request # 7 - Downloading Intraday chart data for FGBLH4 to the file FGBLH4.scid. Service: oec | 2014-01-05 13:52:55 HD Request # 7 - Download start Date-Time: 2014-01-03 20:59:55.0 | 2014-01-05 13:52:55 HD Request # 7 - Using server: ds3.sierracharts.com port 10149 | 2014-01-05 13:52:55 Currently no data in file to display. Will start historical data download and real-time updates. File: C:\SierraChart\Data\FGBLU2.scid | 2014-01-05 13:52:55 Resolved address ds3.sierracharts.com to IP 65.182.172.164 | 2014-01-05 13:52:55 FGBLH4 [CB] 5 min #1: Download is complete for all contract months in chart. Proceeding with data load. | 2014-01-05 13:52:55 FGBLH4 [CB] 5 min #1: Performing continuous futures contract back adjustment calculations. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLH3 Open price on 2013-03-07 is 145.14. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLM3 Open price on 2013-03-07 is 143.28. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLH3 price difference to FGBLM3 is -1.86. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLM3 Open price on 2013-06-06 is 143.8. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLU3 Open price on 2013-06-06 is 143.76. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLM3 price difference to FGBLU3 is -0.039999999. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLU3 Open price on 2013-09-06 is 138.35. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLZ3 Open price on 2013-09-06 is 136.42. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLU3 price difference to FGBLZ3 is -1.9299999. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLZ3 Open price on 2013-12-06 is 139.76. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLH4 Open price on 2013-12-06 is 139.59. | 2014-01-05 13:52:56 The network socket is connected. | 2014-01-05 13:52:56 HD Request # 7 - Sending historical data logon request message. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: FGBLZ3 price difference to FGBLH4 is -0.17. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: Back adjust amount for symbol FGBLH3 is -4. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: Back adjust amount for symbol FGBLM3 is -2.1399999. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: Back adjust amount for symbol FGBLU3 is -2.0999999. | 2014-01-05 13:52:56 FGBLH4 [CB] 5 min #1: Back adjust amount for symbol FGBLZ3 is -0.17. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Download is complete for all contract months in chart. Proceeding with data load. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Performing continuous futures contract back adjustment calculations. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM2 Open price on 2012-06-07 is 144.58. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU2 Open price on 2012-06-07 is 143.5. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM2 price difference to FGBLU2 is -1.08. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU2 Open price on 2012-09-06 is 143. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ2 Open price on 2012-09-06 is 141.28. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU2 price difference to FGBLZ2 is -1.72. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ2 Open price on 2012-12-06 is 143.24. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH3 Open price on 2012-12-06 is 145.03. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ2 price difference to FGBLH3 is 1.79. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH3 Open price on 2013-03-07 is 145.14. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM3 Open price on 2013-03-07 is 143.28. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH3 price difference to FGBLM3 is -1.86. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM3 Open price on 2013-06-06 is 143.8. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU3 Open price on 2013-06-06 is 143.76. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM3 price difference to FGBLU3 is -0.039999999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU3 Open price on 2013-09-06 is 138.35. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ3 Open price on 2013-09-06 is 136.42. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU3 price difference to FGBLZ3 is -1.9299999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ3 Open price on 2013-12-06 is 139.76. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH4 Open price on 2013-12-06 is 139.59. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ3 price difference to FGBLH4 is -0.17. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLM2 is -5.0100002. | 2014-01-05 13:52:56 HD Request # 7 - Requesting up to 365 days of Intraday data. Record interval: 0 | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLU2 is -3.9300001. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLZ2 is -2.21. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLH3 is -4. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLM3 is -2.1399999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLU3 is -2.0999999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLZ3 is -0.17. | 2014-01-05 13:52:56 HD Request # 7 - Historical data for FGBLH4 is delayed because connection to main data feed is not present. Current data will be received upon connection. | 2014-01-05 13:52:56 The network socket for historical data has been closed. | 2014-01-05 13:52:56 HD Request # 7 - Received 0 records and wrote 0 records for FGBLH4 | 2014-01-05 13:52:56 HD Request # 7 - Intraday download COMPLETE for FGBLH4 | 2014-01-05 13:52:56 HD Request # 8 - Downloading Intraday chart data for ZNZ3 to the file ZNZ3.scid. Service: oec | 2014-01-05 13:52:56 HD Request # 8 - Download start Date-Time: 2013-12-19 16:28:14.0 | 2014-01-05 13:52:56 HD Request # 8 - Using server: ds5.sierracharts.com port 10149 | 2014-01-05 13:52:56 Resolved address ds5.sierracharts.com to IP 204.15.192.106 | 2014-01-05 13:52:56 The network socket is connected. | 2014-01-05 13:52:56 HD Request # 8 - Sending historical data logon request message. | 2014-01-05 13:52:56 HD Request # 8 - Requesting up to 365 days of Intraday data. Record interval: 0 | 2014-01-05 13:52:56 HD Request # 8 - Historical data for ZNZ3 is delayed because connection to main data feed is not present. Current data will be received upon connection. | 2014-01-05 13:52:56 The network socket for historical data has been closed. | 2014-01-05 13:52:56 HD Request # 8 - Received 0 records and wrote 0 records for ZNZ3 | 2014-01-05 13:52:56 HD Request # 8 - Intraday download COMPLETE for ZNZ3 | 2014-01-05 13:52:56 |
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| [2014-01-05 19:16:55] |
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This problem has already been resolved. Update Sierra Chart by selecting Help >> Download Current Version. This is an issue as I am making a manual adjustment to the data files to make sure the back-adjustments agree to a continuous chart from IQFeed (it doesn't by default)
What manual adjustments are you making? In what way do the back adjustments not agree to IQ Feed? You can see exactly what Sierra Chart is doing here: FGBLH4 [CB] 1 day #2: Performing continuous futures contract back adjustment calculations. | 2014-01-05 13:52:56
FGBLH4 [CB] 1 day #2: FGBLM2 Open price on 2012-06-07 is 144.58. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU2 Open price on 2012-06-07 is 143.5. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM2 price difference to FGBLU2 is -1.08. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU2 Open price on 2012-09-06 is 143. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ2 Open price on 2012-09-06 is 141.28. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU2 price difference to FGBLZ2 is -1.72. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ2 Open price on 2012-12-06 is 143.24. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH3 Open price on 2012-12-06 is 145.03. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ2 price difference to FGBLH3 is 1.79. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH3 Open price on 2013-03-07 is 145.14. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM3 Open price on 2013-03-07 is 143.28. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH3 price difference to FGBLM3 is -1.86. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM3 Open price on 2013-06-06 is 143.8. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU3 Open price on 2013-06-06 is 143.76. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLM3 price difference to FGBLU3 is -0.039999999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU3 Open price on 2013-09-06 is 138.35. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ3 Open price on 2013-09-06 is 136.42. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLU3 price difference to FGBLZ3 is -1.9299999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ3 Open price on 2013-12-06 is 139.76. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLH4 Open price on 2013-12-06 is 139.59. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: FGBLZ3 price difference to FGBLH4 is -0.17. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLM2 is -5.0100002. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLU2 is -3.9300001. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLZ2 is -2.21. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLH3 is -4. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLM3 is -2.1399999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLU3 is -2.0999999. | 2014-01-05 13:52:56 FGBLH4 [CB] 1 day #2: Back adjust amount for symbol FGBLZ3 is -0.17. | 2014-01-05 13:52:56 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: 2014-01-05 19:17:38
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| [2014-01-05 20:20:10] |
| Pawel_Szpak - Posts: 48 |
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I've updated to the current version. Will have a look. As for the difference to IQFeed: This could be just due to Open E-Cry. The symbol settings by default for rollover are: Number of Calendar Days before friday count within contract month Number of calendar days = 0 Friday count within contract month = 3 This makes no sense. Trading largely shifts onto the new contract on the last day / last 2 days. The last day to trade is a half day session that ends at 12:30CET. I'm rolling the chart over so that the morning of the last day to trade, I am on the new contract, as I'm not interested in the low volume half day session on the old contract. I only seem to be able to achieve this by using the following date rollover rule: Number of business days before specific calendar days before contract month Number of business days = 1 Specific calenday days before contract month = -8 (minus 8). This gives me the dates as per the log above, which I see as correct. Please advise if there is a better way to achieve this. However, the resulting chart then doesn't match IQFeed. (I deleted & downloaded all data for the series of contracts making up the continuous chart to make sure the problem wasn't some adjustment I did) As for the differences, I obtained a daily high from an IQFeed continuous chart for all the contracts making up my chart. Comparing these to the Sierra result, I get a result as per the attached comparison.png. |
| comparison.png / V - Attached On 2014-01-05 20:19:53 UTC - Size: 6.62 KB - 458 views |
| [2014-01-05 21:41:52] |
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We obtain the rollover rules from the EUREX exchange website. Maybe we got it wrong. Trading largely shifts onto the new contract on the last day / last 2 days. Are you saying that trading goes to the last business day or two in the contract month? So the last rollover would have been December 30? Are using one of the back adjusting Continuous Futures Contract options? 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: 2014-01-05 21:43:29
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| [2014-01-05 22:56:29] |
| Pawel_Szpak - Posts: 48 |
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I'm using the continuous futures contract option - date rule rollover, back adjusted Hmm, think we're talking around each other a bit here. I can only find the contract spec's on the Eurex website, nothing about rollover. Now, specifically, taken from http://www.eurexchange.com/exchange-en/products/int/fix/14770/ ("trading" section, not "latest") Delivery Day The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day. Last Trading Day Two exchange days prior to the Delivery Day of the relevant maturity month. Close of trading in the maturing futures on the Last Trading Day is at 12:30 CET. So for FGBLZ3 (Dec contract) the delivery day was 10 December 2013, and the last trading day was Friday 6 December 2013. The last trading day is however, only a half day session with little volume. Now per IQFeed, they roll over the same contract 1 day before expiration day (taken from: http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed&guide=commod&web=IQFeed&symbolguide=guide&displayaction=support§ion=guide&type=eurex ) Symbol there is BDH14 for FGBLH4 So effectively, the last day with data for FGBLZ3 / BDZ13 is Thursday 05 December 2013, and from 06 December 2014 they will show FGBLH4 / BDH14 I'm a bit confused about where December 30 came from? |
| [2014-01-05 23:04:34] |
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OK not sure what we were looking at previously in the EUREX specifications. So we have to create a rule like: Number of Business Days Before Business Calendar Day in Contract Month. December 30 was based upon this in relation to a December 2013 contract: Trading largely shifts onto the new contract on the last day / last 2 days.
It was not based upon the alternative Rollover Rules that you described. Since those were not completely clear because of the negative number. We were just commenting on that one particular statement to try to get a sense of the 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-01-05 23:04:48
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| [2014-01-05 23:25:26] |
| Pawel_Szpak - Posts: 48 |
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Trading largely shifts onto the new contract on the last day / last 2 days. <-- Apologies, rereading that, that was very unclear from my side.One thing, given Delivery Day The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day. That "succeeding day" might complicate this slighty. Example was March 2013. 10th March 2013 = Sunday, so delivery day is Monday 11th 2013, rather than Friday 8th March 2013. And thus the last trading day is 7th March 2013. Using your existing rule Number of business days before specific calendar days before contract month Number of business days = 1 Specific calenday days before contract month = -8 (minus 8) Seems to get the correct rollover date (assuming you want to match IQ Feed) of 1 day before last trading day for the contracts I've used so far. However, this still left the resulting charts looking different to what IQFeed apparently has (as per that comparison.png) |
| [2014-01-05 23:37:38] |
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We understand the rollover rule, and we can program it working according to the exchange rules. This is no problem. Once we get this working, we will look more closely at why there is a difference to IQ Feed. Must be something about the back adjustment calculations. 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 |
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