Support Board
Date/Time: Tue, 04 Mar 2025 13:25:31 +0000
Incorrect Eurex data after roll-over
View Count: 710
| [2021-12-07 11:25:38] |
| User740709 - Posts: 153 |
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Hello, I would like to enquire about the discrepancy in the data after the Eurex BUND rollover from Dec to March22 contract. On the Eurex website (https://www.eurex.com/ex-en/markets/int/fix/government-bonds/Euro-Bund-Futures-137298), the roll premium calculated based on the difference in yesterday (Dec 6) settlement prices between Dec 21 and Mar 22 contracts, you get +1.82, while my chart used +1.78 for rolling over. Could you explain the reason? Thank you. |
| [2021-12-07 15:52:10] |
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That is not how it is calculated. Read the description here: Continuous Futures Contract Charts: Continuous Futures Contract - Date Rule Rollover, Back Adjusted (Continuous Futures Contract - Date Rule Rollover, Back Adjusted) 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: 2021-12-07 15:53:43
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| [2021-12-08 07:05:35] |
| Eighteen_0_Six - Posts: 21 |
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Hello sc support, I have the same problem, with a 6 tick difference. I Tried to solve this since yesterday and can't find any solution. Each rollover period it's a mess. |
| [2021-12-08 07:23:19] |
| Eighteen_0_Six - Posts: 21 |
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Attached the chart exemple : https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=57927 |
 Capture.PNG / V - Attached On 2021-12-08 07:21:26 UTC - Size: 30.37 KB - 190 views Attachment Deleted. |
| [2021-12-08 11:24:11] |
| User740709 - Posts: 153 |
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Hello again, I) I have similar issue, I see the same thing as the other user - yesterday (Dec 7th) after the Eurex close, the Bund 0322 contract high was at 174.57 which changed to the official high of 174.60 when I opened the platform today. The same happend to Dec 7th low, which yesterday after Eurex close was at 174.05 and today in the morning it is suddently displayed at 174.06. Could you please explain? II) Would it be possible to add an option to use settlement for the rollover calculation? Thank you. H. Date Time Of Last Edit: 2021-12-08 11:25:07
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| [2021-12-08 11:51:20] |
| Eighteen_0_Six - Posts: 21 |
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Hi 740709, I changDd in the specifiaction product the nbre of day before the roll over.... chart setting> edit global symbol setting> custom roll over method set to 3 business day before.... Let me know if it works for you then.. |
| [2021-12-08 11:56:07] |
| User740709 - Posts: 153 |
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Thank you, Eighteen_0_Six, As the OHLC levels changed to correct values after I closed the platform last night and opened again this morning, I do not need to change that settings. I need the roll premium to be based on settle, i.e. to be 1.82. I am trying to add that amount based on the procedure and that may do the trick. (EDITED) Thanks anyway. Date Time Of Last Edit: 2021-12-08 12:00:52
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