Support Board
Date/Time: Wed, 27 Nov 2024 08:34:13 +0000
Historical data inconsistency after rollover
View Count: 311
| [2023-09-12 06:07:12] |
| User785723 - Posts: 57 |
|
I am using "SC Data - All Services". When the symbol rolls over from ESU23-CME to ESZ23-CME, I see a large difference in historical prices. You can see the examples as well as my chart settings in the attached file. As an example, May 3rd prices for ESZ23-CME are ~50 points more than ESU23-CME. What could be the reason? |
 ESU23-ESZ23.pdf - Attached On 2023-09-12 06:06:45 UTC - Size: 169.69 KB - 182 views |
| [2023-09-12 15:49:03] |
| John - SC Support - Posts: 36309 |
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The reason is that these are two different contracts that do not trade at the exact same prices. This is normal. But, you may want to look into the Continuous Futures Contract Chart. The information is at the following link: Continuous Futures Contract Charts For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-09-14 02:10:31] |
| User785723 - Posts: 57 |
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As you can see from the attached chart settings, I am using "Continuous Futures Contract - Volume Based Rollover, Back Adjusted". Hence, I am expecting the month 5 data to remain identical after the rollover. |
| [2023-09-14 02:13:40] |
| User785723 - Posts: 57 |
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Can it be due to the back adjustment?
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| [2023-09-14 02:56:22] |
| Sierra_Chart Engineering - Posts: 17191 |
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Yes, the back adjustment does change the historical prices. And each past contract changes by a larger amount with each additional rollover.
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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