Support Board
Date/Time: Mon, 25 Nov 2024 04:43:15 +0000
Post From: Sierra keeps deleting some of the intraday chart files
| [2014-01-05 23:25:26] |
| Pawel_Szpak - Posts: 48 |
|
Trading largely shifts onto the new contract on the last day / last 2 days. <-- Apologies, rereading that, that was very unclear from my side.One thing, given Delivery Day The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day. That "succeeding day" might complicate this slighty. Example was March 2013. 10th March 2013 = Sunday, so delivery day is Monday 11th 2013, rather than Friday 8th March 2013. And thus the last trading day is 7th March 2013. Using your existing rule Number of business days before specific calendar days before contract month Number of business days = 1 Specific calenday days before contract month = -8 (minus 8) Seems to get the correct rollover date (assuming you want to match IQ Feed) of 1 day before last trading day for the contracts I've used so far. However, this still left the resulting charts looking different to what IQFeed apparently has (as per that comparison.png) |