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Direct MessagesDate/Time: Thu, 19 Sep 2024 21:45:48 +0000
Post From: ZB,ZF,ZN Futures roll from Mar14 (H4) to Jun14 (M4) contract front month
| [2014-02-26 19:39:44] |
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What we have found based on volume is that the rollover for the bond contracts occurs one day before the last business day of the month before the contract month. This is what we now have set the rollover rules to. They are all consistent. Do not use the volume-based rollover. It must be date-based. And if the date of the rollover has not actually come yet, the back adjustments are not going to work correctly. When we set it to be 3 days before the last business day, and it is Date-based, the back adjustments do work correctly: ZFM13 | 2014-02-26 14:38:07 ZFU13 | 2014-02-26 14:38:07 ZFZ13 | 2014-02-26 14:38:07 ZFH14 | 2014-02-26 14:38:07 ZFM14 | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Performing continuous futures contract back adjustment calculations. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFM13 Open price on 2013-05-29 is 123.0469. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFU13 Open price on 2013-05-29 is 122.5. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFM13 price difference to ZFU13 is -0.54689997. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFU13 Open price on 2013-08-28 is 120.7266. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFZ13 Open price on 2013-08-28 is 119.8281. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFU13 price difference to ZFZ13 is -0.89850003. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFZ13 Open price on 2013-11-27 is 121.8984. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFH14 Open price on 2013-11-27 is 121.0625. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFZ13 price difference to ZFH14 is -0.83590001. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFH14 Open price on 2014-02-26 is 120.7344. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFM14 Open price on 2014-02-26 is 119.7031. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFH14 price difference to ZFM14 is -1.0312999. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFM13 is -3.3126001. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFU13 is -2.7656999. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFZ13 is -1.8671999. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFH14 is -1.0312999. | 2014-02-26 14:38:07 Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |