Support Board
Date/Time: Sat, 30 Nov 2024 04:27:37 +0000
Contract rolls on OI
View Count: 456
| [2022-12-21 17:48:54] |
| aroymukherjee - Posts: 22 |
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I have a couple of questions on contract rolls: 1. Is it possible to roll contracts on OI (second consec trigger) on Sierra for backtesting (pic enclosed from a different platform). 2. When running an autotrader for a portfolio what is the best way of getting a summary report every day for roll triggers (I say this as I have seen guidance from Sierra NOT to select autorollovers but to do it manually. |
 Contract rolls on second OI trigger.png / V - Attached On 2022-12-21 17:48:12 UTC - Size: 9.55 KB - 87 views |
| [2022-12-22 05:12:25] |
| Sierra_Chart Engineering - Posts: 17267 |
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1. No this is definitely not supported. 2. We are not sure exactly what you are asking about here. You can set Sierra Chart to tell you when to perform a rollover based upon the volume between the current contract and the next contract.: 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-12-22 13:17:39
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| [2022-12-23 04:20:18] |
| aroymukherjee - Posts: 22 |
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Point 1. Why cant this be done with Open Interest? Point 2. Currently I am running a live simulated portfolio (more than 20 markets) with the following contract roll settings (see enclosed) BUT (and I don’t have the screenshot for this) I actually had to go to the RB chart in the chartbook a few days ago to see a message that the contract needs to be rolled over so it had not happened automatically. In case this happens frequently it is an issue I don’t know why a daily contract roll cannot be done by a futures data provider like Denali – which, while not identical looks like the one below |
 Sierra contract rolls issue 23 Dec 2022.pdf - Attached On 2022-12-23 04:18:23 UTC - Size: 106.69 KB - 146 views |
| [2022-12-23 09:09:00] |
| Sierra_Chart Engineering - Posts: 17267 |
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1. This is not supported and we have 0% interest in doing this. It will not work well and will have massive problems. It is not supported and under no circumstances ever ever would it be supported. It will not work. 2. We do not believe in automatic rollovers. We do not believe, that a contract should be abruptly changed by a program. The user needs to make that decision. Notice is given but you have to take action. There are very serious consequences to automatically changing a 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-12-23 09:09:19
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| [2022-12-25 02:07:19] |
| aroymukherjee - Posts: 22 |
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OK - thanks for all that passion and opinion. Opinion on point 2 aside may I please ask what to do in case I see the automatic rollover not happening as I have already mentioned - no point in saying I can do a manual rollover or date based rollover or anything else for that matter - that is not the question: if it has not automatically rolled over on volume (which your settings do allow) is there something wrong with my settings? I have shared the pdf with the settings
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| [2022-12-27 12:09:58] |
| Sierra_Chart Engineering - Posts: 17267 |
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There is no support for automatic rollover of a futures contract symbol based upon Volume.
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 |
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