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Rollover for FDAX from Dec 22 to March 23

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[2022-12-16 13:05:41] #1 [Go To First Post]
User740709 - Posts: 153
Hello, I am using Denali datafeed and yesterday, the FDAX Dec22 contract (EUREX) rolled to March23. However it seems that your rollover premium is incorrect by 4 points. As per the EUREX page it should be 77 pts while when I look at the rollover premium in my platform, my message log says it is 81 points. I tried to manually adjust, however as soon as I do so, my whole chart moves by 4 points which shifts the daily high and low which would then result in incorrect prices for the whole day. Could you please advice what to do? Thank you. Kind regards H.

[2022-12-29 19:18:09] #2 [Go To First Post]
Sierra_Chart Engineering - Posts: 17266
We calculate with the data provided by Sierra Chart it will be 77 points. Re-download the data for the last two contract months in that chart: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data And remove any custom adjustment you are using. 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 Date Time Of Last Edit: 2022-12-29 19:18:29

[2023-01-02 07:10:25] #3 [Go To First Post]
User740709 - Posts: 153
Thank you, you are correct but that is valid only for the historical chart. When I set the charts to intraday with the session stopping at 17:30, it disregards the settlement price and uses only the last price. Could you please confirm it is so? Or is there a setting how to have the settlement price on an intraday chart? Thank you. Regards, H.

[2023-01-03 05:01:33] #4 [Go To First Post]
Sierra_Chart Engineering - Posts: 17266
For back adjustments on Intraday continuous charts, the settlement prices from the historical daily data is used. It does not originate from Intraday chart data. 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

[2023-01-03 07:53:24] #5 [Go To First Post]
User740709 - Posts: 153
I am not sure what you mean. Please find attached a screenshot of the same chart, the first is Chart Data Type: Historical Chart, the second Chart Data Type: Intraday Chart. Both are full session (i.e. the intraday chart has Session Times set from 00:00:00 to 24:59:59) As you can see in the Compact Tool Value window, the last prices are different. It is the settlement for Historical, but last for Intraday. I am not sure how I can transfer the settlement price into the intraday chart. Can you please help? Thank you. Regards, H.


FDAX hist intra.png / V - Attached On 2023-01-03 07:53:03 UTC - Size: 28.8 KB - 79 views

[2023-01-03 14:53:32] #6 [Go To First Post]
Sierra_Chart Engineering - Posts: 17266
When Sierra Chart is performing back adjustment calculations, it loads the settlement prices from the historical daily data. It does not come from Intraday charts. So what you actually see in the Intraday chart is not relevant for 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2023-01-04 08:33:24] #7 [Go To First Post]
User740709 - Posts: 153
Thank you. This is fully understood and you are correct. I appreciate your time. There is still one thing that I want to ask. Is there a way how to translate the Settlement from historical charts to intraday? The issue is that everything I create and use, I do it in intraday charts, not historical. All studies etc. are within my intraday charts. So while using intraday charts with restricted session times (to include the "cash" session only), I am unable to work with Settlement because that is only in historical charts that include the full session. Is there a way how to do it? Any settings? Study? How to incorporate Settlement into a classic intraday chart? Thank you. Much appreciated. Kind regards, HK

[2023-01-04 18:03:45] #8 [Go To First Post]
Sierra_Chart Engineering - Posts: 17266
No this is not possible: Is there a way how to translate the Settlement from historical charts to intraday? Although in our market data infrastructure, settlement prices are included in the Intraday data but they are not passed through to the Sierra Chart desktop program. 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

[2023-01-05 13:13:20] #9 [Go To First Post]
User740709 - Posts: 153
I am sorry to bother you with this again and I will understand if you reject but would it be possible to add the Settlement price to the studies? There is a study for the Previous Close Line. Would it be possible to add Previous Settlement Price line? Thank you very much. HK.

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