Support Board
Date/Time: Mon, 25 Nov 2024 11:50:42 +0000
Gaps in NQ after rollover despite being backadjusted
View Count: 498
| [2024-03-13 14:31:03] |
| maxm1987 - Posts: 116 |
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Dear support team, I am attaching a chart of the NQ after I rolled over to the june contract. I have evertyhing set to continiuous contract backadjusted but there remains a huge gap between the rth and the eth session of 200 points. I attached a tpo chart for you to have a look but this gap appears on all chart, incl. my other candlestick charts. I tried delete all data and download but the gap remains. could you please have a look and tell me if thats normal behaviour? For me it would be the first time ever to have such a gap after rollover |
 Chartbook20.Cht - Attached On 2024-03-13 14:27:18 UTC - Size: 21.44 KB - 190 views Attachment Deleted. |
| [2024-03-13 16:55:33] |
| John - SC Support - Posts: 36238 |
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We are not seeing any issues with the chartbook. Please get us an image of a chart without the TPO study, we just need to see bars. Follow these instructions to get us the image: Support Board Posting Information: Attaching or Posting a Screenshot/Image (Optional) For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-03-13 21:20:51] |
| maxm1987 - Posts: 116 |
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https://www.sierrachart.com/image.php?Image=1710364286285.png please see attached the image of a 4 hour candle chart which a 240 point gap betwenn the close of the 2 pm candle and the start of the 6 pm candle on march 12. Also note how the high comes in at roughly 18500. Now compare that with the screenshot of a tradingview 4 h candle chart for the same time, there is no gap during this time and there is a high of 18700. Both charts show the june contract and are back adjusted. |
 Tradingview.PNG / V - Attached On 2024-03-13 21:20:41 UTC - Size: 86.25 KB - 60 views |
| [2024-03-14 06:22:34] |
| maxm1987 - Posts: 116 |
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https://www.sierrachart.com/image.php?Image=1710397074159.png hi there, referring back to the topic it is now getting even more confusing for me. Take a look at the provided link. the image for nq now shows no gap during the 12 and 13 of march after starting my charts back up, whats now confusing for me is that it shows yesterdays high at roughly 18240 instead of 18500 in my prior screenshot. And now instead of the huge gap from yesterday there is a 250 point gap in the screenshot i provided... so basically the gap moved one day further and the high is now totally different. IB and tradingview show consistent prices.. please advise |
| [2024-03-14 07:25:40] |
| binaryduke - Posts: 369 |
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I experienced the same situation on Wednesday after rolling on Monday on both NQM4 and ESM4. Chart was set to Continuous/date rule/not back adjusted. I deleted/downloaded all data and no change. I changed to Volume rule and it was ok. It does seem however that the roll date is creating gaps that are moving forward each day. |
| [2024-03-14 07:38:22] |
| maxm1987 - Posts: 116 |
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Thank you for sharing binaryduke.. There remain questions for me and maybe Sierra can jump in: You said you don’t back adjust. May I ask why and may I ask what your high for NQ is? My understanding is and always has been that gaps are created in case you DONT back adjust and back adjusting the charts levels out the price differences and will remove gaps not create them. @sierra: my questions remain, I’m not sure if the gaps truly exist and what the high true is. Please take a look at the screenshots and explain the discrepancies |
| [2024-03-14 10:01:45] |
| Sierra_Chart Engineering - Posts: 17172 |
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Refer to: Please Read: Continuous Contract Rollover Issues 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 |
| [2024-03-14 10:46:16] |
| maxm1987 - Posts: 116 |
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dear Sierra_Chart Engineering i always appreciate your service but this must have been the most disappointing answer i ever received from you. I meticulously followed every step for sending a screenshot to make sure it follows your guidelines incl. rollover dates, chart header, scale etc., I explained in detail where my problem is namely, that there are huge gaps when rolling over and backadjusting the new contract. And all you do is direct me to a luckluster sticky post in which you accuse your users not to have followed the guidelines when this is exactly what i did in the first place? wow thats disappointing |
| [2024-03-14 11:48:20] |
| binaryduke - Posts: 369 |
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People's rollover issues on CME equity index futures/continuous contract - date rule are being caused by the default date rule in SC still being 1 calendar day prior to the 3rd Friday of the month rather than 4 calendar days (Monday) prior to the 3rd Friday of the month which the CME brought into effect in December 2022. 15 March 2024 is the 3rd Friday of the month as the month started on a Friday, so, the current rollover date (Monday 11th - when the volume shifted) is occurring before the legacy rollover date (Thursday 14th) hence the gaps that people are experiencing. Changing the rollover date rule in symbol settings for the CME equity index futures contracts to the current CME rule (4 days prior to 3rd Friday) resolves this. |
| [2024-03-15 03:52:30] |
| Sierra_Chart Engineering - Posts: 17172 |
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Regarding post #8, what we wrote is not necessarily in regards to the images you have posted. We have so many users and so many postings, we cannot keep track of everyone and we do not know who is who when answering questions. This image you posted does not show the vertical line with the month and year showing the new contract month: https://www.sierrachart.com/image.php?Image=1710397074159.png Unless no rollover occurred on any of the visible dates. Regarding post #9 we will see about that. We do not want to make disruptive changes. And actually that is not going to matter, with the volume-based rollover. And changes, to the rollover date, affects prior rollovers in the past. 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: 2024-03-15 03:53:20
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| [2024-03-15 04:54:40] |
| maxm1987 - Posts: 116 |
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Just to wrap this up: the hint in post #9 worked for me.
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| [2024-03-15 07:41:50] |
| binaryduke - Posts: 369 |
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@SCE - re post 10 and changes to the rollover date affecting prior rollovers, this is indeed a total PITA. It would be nice to support multiple rollover rules each of which have a 'valid until' date, however, I appreciate that this is a larger and low priority coding effort for a specific CME-introduced situation.
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