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Date/Time: Thu, 02 May 2024 10:54:52 +0000

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Post From: 6E Continuous Backadjust log report wrong price levels

[2019-04-19 21:53:38]
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User925794 - Posts: 17
Instead of opening another support request, I'm leaving it in this thread.

This all has to do with back adjusted contract charts.

I am still finding two issues regarding rollover.

Issue 1: Regarding 6E
Global Settings > Symbol Settings > 6E > default has Method 3 > Number of Calendar Days = 8; Friday Count Within Contract Month = 3. The "Number of Calendar Days" should be set = 0 for this method. When I upgrade to newest release, the default goes back to =3. As a suggestion, either set these defaults correctly or give the user the responsibility and control of these settings without default override changes.

Issue 2: Regarding YM (and would assume for ES, NQ, other equity symbols?):
Part 1: Similar as for 6E above: Global Settings > Symbol Settings > 6E > default has Method 4 > Number of Business Days = 3; Wednesday Count Within Contract Month = 3. The "Number of Business Days" should be set = 2. When I upgrade to newest release, the default goes back to =3. As a suggestion, either set these defaults correctly or give the user the responsibility and control of these settings without default override changes.


Part 2: In a chart with 23 hour session from globex open to close, under "Chart Settings">"Advanced Settings">"Continuous Contract">Continuous Futures Contract - Date Based Rollover, Back Adjusted": on the transition date of Friday - March 15th, the chart data stops @ 08:30 CST and starts again on Sunday - March 17 @ 17:00 CST. Why is the chart not plotting data between 08:30-17:00?

When I change the setting from date based to volume based back adjusted "Chart Settings">"Advanced Settings">"Continuous Contract">Continuous Futures Contract - Date Based Rollover, Back Adjusted" to "Chart Settings">"Advanced Settings">"Continuous Contract">Continuous Futures Contract - Volume Based Rollover, Back Adjusted", the data plots correctly including on the volume roll date7.