Support Board
Date/Time: Mon, 25 Nov 2024 08:23:18 +0000
SC 2528 vs 2604
View Count: 224
| [2024-03-19 20:54:23] |
| User579155 - Posts: 7 |
|
Hi, I recently updated my SC from 2528 to 2604 and there is a few irregularities in the data I found, while performing compare check between those two versions. While I know 2528 is outdated version, I am trying to figure out the reason for some of those differences I found: 1) Back-adjustment (Continuous Futures Contract - Date Rule Rollover) It is clear the two versions have different back-adjustment mechanic. This is clearly visible from different historical prices. When plotting the prices, it seems like the 2604 is smoother and more consistent, however v2528 provides me with very different prices. I am, however, unable to find any mention about change in back adjustment in SC update notes. Could you please give me more info on this one? 2) Numbers bars When comparing numbers bars for CME futures, both versions are pretty close, give or take 1% of multiple-year sample. However, when comparing numbers bars data for EUREX instruments, I am looking at two almost different data sets. Is there any explanation for how can this be? 3) Roll dates When comparing the two versions in real time side by side, I observe that rollover dates are cut around 13:00 for 2528, but are complete for the v2604. I assume the 2604 version is the correct one and I am also quite certain, in the past, even the 2528 provided full days even for roll days. Was there any change done? The reason I must do very detailed compares is the number of my custom studies I am using, so this is the way I am checking, whether my studies work properly compared to previously used version. This time around, I found a lot of differences as described above. I am aware there is a long time gap between those versions and will update more frequently going forward, but I still need to make sure which version is correct. Thank you for your reply in advance. If needed, I can provide further info. |
| [2024-03-19 21:55:02] |
| Sierra_Chart Engineering - Posts: 17172 |
|
1. There are absolutely no changes regarding this. And it is 100% the same. The rollover date could be different. Due to various reasons. Refer to this section to determine the rollover date at each contract: Continuous Futures Contract Charts: Displaying Rollover Transition Times and Contract Months 2. There is 100% no difference at all with the software in this regard. Numbers Bars will be 100% identical as long as the underlying data is the same. Re-download the data in both versions to get fresh data so that it will be identical. Re-download all the data in the chart by going to the chart and selecting "Edit >> Delete All Data and Download" from the main Sierra Chart menu. You just need to do this once per symbol and not for each chart. This command is on the main Sierra Chart menu at the top. Only use it from that location. 3. Definitely no changes with this either between those versions. This is with certainty. Refer to: Continuous Futures Contract Charts: Setting Rollover Time to Match Session Times Even though it makes mention of newer versions, those newer versions would be dating back years ago. The exact time of the rollover, within a day is according to Session Times. 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: 2024-03-19 21:56:17
|
To post a message in this thread, you need to log in with your Sierra Chart account: