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Date/Time: Tue, 18 Mar 2025 05:45:08 +0000

Post From: ES S&P Futures Rollover Date Data

[2022-09-12 06:46:17] Link To Thread - Link To Post [Go To First Post]
User688525 - Posts: 280
Hello Sierra Chart Support, Can you please provide instructions on how to set the date that rollover data is used? For example, the December (EPZ22) contract was rolled over today (September 12, 2022), and it appears that the rollover data applies from the rollover date onwards (refer to attachment). How can the rollover data be applied to another date, for example, last Friday, September 09, 2022? Using the September (EPU22) contract, the OHLC for September 09, 2022 are: - O: 4010.25 - H: 4077.25 - L: 4005.75 - C: 4067.25 Using the December (EPZ22) contract, the OHLC for September 09, 2022 are: - O: 4028.50 - H: 4095.50 - L: 4024.00 - C: 4085.50 The continuous contract setting is: "Continuous Futures Contract - Date Rule Rollover". One more question, is there a "best practice" on when to rollover the contract, i.e., when the CME does at the end of this week (Friday, September 16, 2022), when volume is greater on the newer contract, etc? Thank you.


es-S&P-rollover-date.png / V - Attached On 2022-09-12 06:34:38 UTC - Size: 23.54 KB - 116 views