Support Board
Date/Time: Wed, 27 Nov 2024 06:28:22 +0000
Spreadsheet
View Count: 307
| [2023-09-26 18:22:25] |
| User377189 - Posts: 172 |
|
I had created a spreadsheet a while back to record OHLC Volume and Number of trades per day data in GC. I had also copied the data from sierra spreadsheet to MS-Excel. The last update i made to the MS-Excel file was in July of 2023. Today i opened the excel again to add data from July to Today and i noticed the OHLC data i have on my MS-Excel file does not match the spreadhsheet data. However the volume and number of trades per day data matches for a particular day but not the OHLC. I also created a new spreadsheet and issue persists. |
| [2023-09-26 20:02:31] |
| John - SC Support - Posts: 36309 |
|
This is because you were dealing with a different contract back in July than what you are viewing today. Additionally, if you are using a Continuous Futures Contract Chart and using Back Adjustment, then the data for that previous contract will have changed up or down, in order to match up to the current contract.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-09-26 22:20:58] |
| User377189 - Posts: 172 |
|
The data for spreadsheet is from a 4380-days daily chart that i had setup a while back. Even with the contract change will the above be true for delta in the OHLC values? I would assume the historic OHLC values would stay constant. The difference in OHLC values between MS-excel and the spreadsheet is 39.5 |
| [2023-09-27 14:21:51] |
| John - SC Support - Posts: 36309 |
|
Make sure you are NOT using a Back-Adjusted Continuous Futures Contract. Even then, you have to be a bit careful with when the rollover occurs and ensure that the OHLC values you are viewing are for the appropriate contract relative to rollover. In general, this will be the case, but it is possible that if you are looking at data right around the rollover time, then you may capture one contract one day, and then later a day may change to a different contract. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-09-27 14:38:48] |
| User377189 - Posts: 172 |
|
For the 4380-day GC daily chart under chart settings i do have it set as Continuous Futures Contract - Volume Based Rollover,Back Adjusted. With this when a rollover does take place the historic data will get altered? Right now the OHLC values on spreadsheet for a date in 2019 are different but the volume and number of trades is same between the spreadsheet and excel Is there a way to capture the historic OHLC values that does not change with rollover? if say the open price for GC on 09/27/2019 was 1690.5 anytime i open spreadsheet it should reflect this price? |
| [2023-09-27 15:44:23] |
| John - SC Support - Posts: 36309 |
|
With this when a rollover does take place the historic data will get altered?
Yes, the Back-Adjustment moves the data up or down for a particular contract month such that the chart looks like a continuous chart without any gaps where the rollover occurs. If you do not use the Back-Adjusted option, then this will not occur and the data will show the actual OHLC data for that contract at that time. Is there a way to capture the historic OHLC values that does not change with rollover? if say the open price for GC on 09/27/2019 was 1690.5 anytime i open spreadsheet it should reflect this price?
Do not use a Back-Adjusted Continuous Futures Contract option. Instead of using "Volume Based Rollover, Back Adjusted", use "Volume Based Rollover". For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-09-27 20:20:35] |
| User377189 - Posts: 172 |
|
Ok will do that. Would doing that on current chart revert historic OHLC values (2015-2022 values) on spreadsheet to reconcile with previously recorded values that are on the MS-excel file? Or that data cannot be reconciled and will only be possible going forward? |
| [2023-09-27 20:30:07] |
| John - SC Support - Posts: 36309 |
|
Turning off the "Back-Adjusted" option and then reloading the chart should bring everything into alignment, assuming that the data in your spreadsheet was done with non-back-adjusted data.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
To post a message in this thread, you need to log in with your Sierra Chart account: