Support Board
Date/Time: Sun, 19 Jan 2025 03:19:42 +0000
Post From: Rollover back adjustment issue
| [2018-03-08 00:52:23] |
| Usermb - Posts: 126 |
|
Using 1713 Symbol: CQG=F.US.DBM18 SC=GGM18 I manually rolled over from H18 to M18 because of the higher volume. Issue: the price is not back adjusted, there is a big gap down between yesterday and today caused by the big price difference between the contracts. The message log contains: F.US.DBM18 [CBV] [M] 377 Trades #11 | Checking for volume based rollover dates. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Volume based rollover from F.US.DBZ17 to F.US.DBH18 occurs at 2017-12-05 | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Volume based rollover from F.US.DBH18 to F.US.DBM18 occurs at 2018-03-07 | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Performing continuous futures contract back adjustment calculations. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBZ17 Open price on 2017-12-05 is 163.23. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBH18 Open price on 2017-12-05 is 162.9. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBZ17 price difference to F.US.DBH18 is -0.33. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBH18 Open price on 2018-03-07 is 159.43. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Error while getting daily open price with date 2018-03-10 from file. C:\SierraChart\Data\GGM18.dly. Error: Date not found | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | F.US.DBH18 price difference to F.US.DBM18 is 0. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Back adjust amount for symbol F.US.DBZ17 is -0.33. | 2018-03-08 01:48:16 F.US.DBM18 [CBV] [M] 377 Trades #11 | Back adjust amount for symbol F.US.DBH18 is 0. | 2018-03-08 01:48:16 My theory is that SC tries to get the price for the last trading day of the H18 contract, but there are two problems with this: - the date lies in the future - on that date, the exchange (Eurex in this case) is closed, it's a Saturday IMHO when calculating the back adjust amount, when the last day of the contract rolling from lies in the future, the last open should be used instead. |