Support Board
Date/Time: Mon, 10 Mar 2025 22:29:07 +0000
Continuous futures contract issue with RB
View Count: 502
| [2022-04-06 15:39:08] |
| User987654 - Posts: 69 |
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Hi, I am using "Continuous Futures Contract - Volume Based Rollover, Back Adjusted" for RB futures (CME). I have noticed that it is not prompting me to roll when the next month contract has more volume than the current month. For example, the May contract (RBK22) had daily volume of 29.687k on April 5th and the June contract(RBM22) had volume of 32.658k on the same day but the message to roll is not showing up today. I noticed this happening last month as well. The volume based roll works for other contracts I look at, like CL. The only thing I can think of is that the change in volume between contracts is happening so early in the month for RB relative to its date rollover rule? |
| [2022-04-08 14:49:46] |
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Make sure this option is enabled: General Settings Window: Detect Rollover Of Current Futures Contracts Symbols Based On Real Time Volume (Global Settings >> General Settings >> Charts >> Symbol) 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 |
| [2022-04-08 16:13:15] |
| User987654 - Posts: 69 |
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Thanks support, I see what is happening. For other people who might come across the same thing, this is the reason, "If the absolute value of the difference between the current date and the rollover date based upon the date rollover rules for the symbol, is more than 4 days, then a volume-based rollover analysis is not performed. In other words if the current date is not within 4 days of the date based rollover date for the symbol, then a volume-based rollover analysis is not performed." |
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