Support Board
Date/Time: Sat, 11 Jan 2025 16:53:08 +0000
Post From: Problem with volume-based rollover
| [2016-11-23 15:07:43] |
| skelcap - Posts: 139 |
|
I have been downloading a bunch of futures data using volume-based rollover. Normally it works fine but I just noticed a problem with Sugar No. 11 ("SB") futures where the intraday data files fall short of the rollover dates. My .scid data files in each market were all downloaded simultaneously using a continuous futures contract with volume-based rollover selected. For example, volume-based rollover for SBN14->SBV14 is on 6/12/14, but SBV14.scid data file doesn't start until 6/20/2014, so I have a 7 day hole in my intraday series. The earlier intraday data for SBV14 does exist on your servers, but in order to download it I have to create a separate chart for just that one contract with no rollover selected and do "delete & download" in order to get the whole data series for that contract. Then I have to repeat the process for all 30 intraday sugar contracts, so it is laborious. Now I'm checking and a few other markets have the same problem ... Am I doing something wrong here or is there a workaround? Thanks |