Support Board
Date/Time: Mon, 25 Nov 2024 12:52:42 +0000
SP Futures Rollover data issue
View Count: 255
| [2024-03-12 14:31:30] |
| User310898 - Posts: 38 |
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Hi are you aware of any data issues with the latest ES (SP500 Futures) rollover? See attached. Contract was rolled over, I have Volume Based Rollover, Back Adjusted been rolling over for years with no problem. Suddenly I am faced with an 80 point gap that is not real. I have tried Edit - > Delete all Data and Download. No resolution. I am using the Denali feed – I see a few other asking about this so I assume it is an issue your end? Could you assist? Thanks! |
Attachment Deleted.  ES rollover issue.png / V - Attached On 2024-03-12 14:31:05 UTC - Size: 85.15 KB - 63 views |
| [2024-03-12 15:16:53] |
| Tony - Posts: 518 |
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Your chart shows Mar. contract on the left side of the gap, and Jun. contract on right side of the gap (their prices are always different), this is what "Continuous Contract" does. If you just want to view current contract only, set "Continuous Contract (List)" to None, and under "Data Limiting", set "Days To Load for Intraday Chart Data Type" to 90. I think Jun. contract started to trade end of last year with very little volume.
Date Time Of Last Edit: 2024-03-12 15:20:07
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| [2024-03-12 15:35:14] |
| User310898 - Posts: 38 |
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That does not make sense - I have my intraday period set to 60 so less than 90 anyway. I want to see both contracts but on a CONTINUOUS basis, so March should smooth into June. Been rolling over for years never had this issue as described - there is clearly a problem with the Volume Based Rollover, Back Adjusted setting on Sierra Chart side as many others are reporting the same problem. @Support - can you assist? |
| [2024-03-12 15:49:15] |
| Tony - Posts: 518 |
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I would be curious to know too, how could we "continue" 2 different contracts with different prices without a gap...
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| [2024-03-12 15:55:12] |
| User310898 - Posts: 38 |
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@support issue appears to have resolved itself. I deleted the .scid files for both contracts and restarted. backadjusting seems to have completed successfully now. must have been a bug in the backend anyway all resolved. thanks |
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