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Direct MessagesDate/Time: Thu, 02 May 2024 06:55:19 +0000
Post From: 6E Continuous Backadjust log report wrong price levels
| [2019-03-20 21:59:58] |
| User925794 - Posts: 17 |
|
No problem on delay. I need to understand the Symbol Data Rollover logic that SC is using as they do not logically follow the same as the CME has them worded in the contract specs. Q1) Where do these defaults come from? Furthermore, per the default "Rollover Rule" being "Number of Calendar Days Before Friday Count Within Contract Month (Method3): As described in my last post and at that time, "The rollover date for "ES/YM H19" is "Saturday, March 16, 2019" was the response from clicking "Check Rollover Dates". This cannot be. Just now, I checked again on ES and YM, and the response is now different and showing, ""The rollover date for "ES/YM H19" is "Friday, March 8, 2019". Additional default entries are "Number of Calendar Days" = "8", and "Friday Count Within Contract Month" = "3". Now, looking at the "Show Rollover Dates" as posted on the chart, it shows the rollover date to be March 7th on my bar which would be correct for a March 8th rollover date based on my session times. With the new posted rollover date, March 7th is indeed 8 days before the 3rd Friday. Note: the chart setting is for "date rule rollover, back adjusted". Now, I changed the value in "Number of Calendar Days" from "8" to "0", which is the logical value and now displays the correct rollover date on the chart. Q2) Are we to go back and check all the contracts of interest? For the record, the CME statement is "Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month". For March, this date is March 15th. I understand how the time can be shifted due to session times of the chart, just to be clear, that's not the issue. Yes, this is a lot but the subject is singular - back adjusted contracts. And it's really important for the well being of any quantitative analysis on these products. No thanks, I don't need a remote session. Q3) Please explain how the ES and/or YM rollover dates are being identified within the current logic. Thanks, Todd |